Common
- [New] Autocalls can now be converted to a payoff script deal, thus providing many fully working examples
- [New] In payoff scripts, added user-defined functions allowing script factorisation
- [New] Added a portfolio view to assess discount curve changes (any portfolio measure can be calculated)
- [New] Added new bulk transformations in Market definition – Risk Representation to ease switch to RFR discount as well as switch from IBOR to RFR
- [New] In SIMM and Schedule IM, Added Jurisdiction and threshold in order to apply different regulations
- [New] Added a portfolio view to calculate AANA (Average Aggregate Notional Amount) in order to check eligibility to UMR rules
- [Bug] In SIMM, NDFs were wrongly excluded (only Physical settled FX should be excluded).
IR
- [New] Added FIGI (aka Bloomberg Id) as bond identifier