Common
- [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure.
- [New] Flat file now supports Repo trades as well as cash accounts
- [New] Migrated to .NET 5 / C# 9. Expect 30% performance improvement (except I/O)
- [New] Migrated GUI Library to DevExpress v20.2. Improved filtering capabilities in grid
- [Bug] In portfolio views, a few granularity fields such as Category 1 & 2 were missing
IR
- [New] In Contribution sources, one can now define the source type for IR Volatility (Forward or spot price, Normal or lognormal volatility)
- [New] In Risk transformations, IMM tenors are now accepted as forward tenors
EQ/CO
- [New] Added repo trade on Equities and Commodities