Common
- [New] Added a file aggregator view allowing to build a portfolio out of flat files of different formats
- [New] Incremental impact is now available on most portfolio views
- [New] Scenarios are now available also on non-linear portfolio views (Capital & Initial Margin, XVA to follow)
- [New] Added Generic scenario allowing to shift any market data point individually
- [New] Added Generic parameter scenario allowing to change any market data parameter
- [New] Upgraded SIMM to v2.2. Changes were required to account for FX high vol currencies (BRL)
- [New] Upgraded SA-CCR from document d279 to CRE52 (minor changes)
- [Bug] In the API, exceptions were caught, hiding the underlying problems
IR
- [New] Added support of CME flat files
- [New] Added ‘Linear on discount factors’ legacy curve interpolation method