Pricing
- [New] Added variance/vol swap booking screen (on FX/EQ/CO)
- [New] Added daily fixing impact of var/vol swaps in risk report
- [New] Added AFI asset smile interpolation as defined in https://pdfs.semanticscholar.org/ed07/75c39330d2dd09b55f3e0af85e5684b244a8.pdf
- [New] Improved Generic Leg to support FX strips
- [Bug] IR Delta was wrong on NZCPI products (specific case where the inflation curve is built from inflation bonds break-evens)
Contribution
- [New] Added TP ICAP market data feed on Interest rates
- [New] Historical contribution of curves with fixed date instruments (Futures, CDS) now automatically rolls these instruments in the past. This is not done for bonds as there is currently no way of knowing past bond benchmarks
Portfolio
- [New] Added Export to Excel function
- [New] double-click on a deal number in a pivot table will now open the deal
- [New] Added deal underlying as new key in pivot table
- [New] Market data are now available in the risk view