Common
- [New] In contribution view, created a low latency mode to trigger contribution updates every 200ms (only available with local live sets). In API mode, an ultra-low latency is also available (10ms, use with care!)
- [New] In the portfolio views ‘Price/greeks’ and ‘Historical price & greeks’, automatically determine and calculate all relevant greeks by default
- [Bug] Bug fix in code recording. In some cases, a view could not be referenced correctly if one of its siblings had been deleted.
IR
- [New] Improved the yield curve update time through re-use of the previously contributed version to allow for ultra-low latency contribution. Dual curve (IBOR + OIS) stripping time is usually <= 3ms
FX
- [New] Added FX Conventional Delta to the greeks
- [Bug] FX Delta was wrong in the portfolio view ‘Price/greeks’ (but correct in the risk view)
EQ/FX/CO
- [Bug] Cubic spline interpolation failed with Flat volatility scenarios