Common
- [New] For non-linear portfolio measures such as hVaR or IM, extended the stand-alone measure by adding a measures granularity that defines at which level calculation or done. If output granularity is finer, a marginal allocation is performed.
- [New] In portfolio view, added a generic viewer of scenario differences
- [New] Change Expiry scenario is now available on all volatility types (added IR, INF, CR)
- [New] Reduced Autodiff memory usage and as a consequence improved its performance. This is noticeable on XVA and exotic products sensitivities in HJM
- [New] Improved significantly the contextual help
Exotic model
- [New] HJM Model now supports Local volatility model (with deterministic rates)
- [New] HJM Model now supports Richardson Extrapolation control variate
- [Bug] American barriers were wrong in the LSV model
FX
- [New] Added a scenario to extrapolate long term volatilities with interest rate vols. Replaces automatic extrapolation.