Common
- [New] In Market Data Analysis, added a view that calculates historical term volatilities of any timeseries
- [New] In Market Data Analysis, added a view that calculates historical term covariance of any timeseries
- [New] Repo haircut can now be defined either as a haircut (convention changed) or an initial margin
- [New] Added a tool to compare all market data of two markets
- [New] Changed the market set selector to make relation between sets more explicit
- [Bug] Portfolio view Export to Excel functionality could fail when a pivot table property is null
- [Bug] VaR was wrong on Bond and Futures as idiosyncratic adjustments scenarios were missing
- [Bug] VaR volatility measure was not scaled by square root of effective horizon / calculation horizon
IR
- [New] Added historical calibration of IR Volatility, SO Correlation, CPI and YOY volatilities. historical volatility/correlation is terminal, aka sliding-converging
- [New] In Market Data Analysis swaption straddles view, added historical (term) volatility measure
- [New] Inflation delta risk now support Forward tenor transformation
- [New] An historical chart of prices is available in the bond and future booking views
- [New] Bond and bond future prices price now allow 8 decimal places