Pricing
- [New] Added Equity/Commodity Futures and Future options
- [New] Added Dividend Futures and Dividend swaps (through SubType EQ DIVIDEND)
- [New] Added pricing of Double Knock-in and Knock-out (on FX/EQ/CO)
- [New] Auto-callable on single asset now uses asset model (e.g. LSV) instead of HJM model
- [Bug] Counterparty overrides (in market definition) could fail to apply
- [Bug] CDS Index past losses and version management were wrong
Portfolio
- [New] SA-CCR upgraded according to document BCBS d438
- [New] XVA Exposures: added flow compression to improve calculation time on large netting sets
- [New] Risks: added fixing risk breakdown by fixing ref (e.g. USNY 10:00 or ECB 14:15 for FX)