Common
- [New] Payoff Script engine now supports XVA.
- [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template.
- [New] It is now possible in the historical data chart to add portfolio-based time series, typically P&L time series. Combined with the existing tools, on can compute historical volatilities, correlations, etc.
- [Bug] Fixed a memory issue in Historical VaR
IR
- [New] In flat files, added support of settlement and margin for swaptions