Common
- [New] In Market Data Analysis, added support of unlimited number of markets
- [New] On charts, added composite lines, i.e. ability to add curves such as spread, fly, ratio of other curves
- [New] On historical data charts, added analysis lines such as (moving) historical vol/correl, linear regression, etc. Also added line analyses such as max, min, mean. More measures on request.
- [New] Roll market used in historical VaR is now perfectly accurate in shifting forwards
Assets (FX/EQ/CO)
- [New] Added pricing of Asian options. For commodities, these are options on prompt futures
- [New] Added single underlying auto-callable pricing & booking screen. Previous version is still valid and allows for hybrid structures
- [Bug] Theta market was wrong on assets, causing a slightly wrong theta/carry P&L breakdown
IR
- [New] Added Implied covariance on forwards view (in Market Data Analysis)
FX
- [New] Added more flexibility in the FX Vol contribution screen: choice of smile representation (BF/RR or Call/Put), choice of deltas
CO
- [New] Added pricing and booking of commodity swaps (including average on prompt futures)
Miscellaneous
- [New] Added SIMD vectorisation in Auto-diff and Monte-Carlo: marginal performance improvements