Common
- [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets
- [New] Improved accuracy of callable products through a better choice of regression vectors
- [New] Added a Quick Launch button
- [New] Add a PV column as well as Total PV in Local Portfolio View
- [New] Added an auto-refresh option in Price/Greeks Portfolio View
- [New] Added a filter in the Close Market window
- [New] In Task Scheduler, commands now support parameter allowing functionalities such as save as file
- [New] Improved task scheduler, using a date filter and adding a business calendar and a chaining mechanism
FX
- [New] Added ability to price differently options with different cut-offs or fixing refs: A fixing ref event weight is applied at expiry date.
- [New] In HJM Model, Cross FX volatility is now perfectly calibrated across the whole term structure (Cross FX = FX where numeraire currency does not appear)
IR
- [New] Yield Curve stripping is now deactivated when all curve instruments allow curve construction with closed formula (those instruments are FWD and ZC)