Common
- [New] In historical chart, one can now choose the market data set
- [Bug] Market data from local sets were not displayed in market data explorer
- [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade)
- [Bug] Marginal allocation by Category 1 & 2 was failing
IR
- [New] LCH Initial Margin calculation now takes into account liquidity margin as well as stressed var add-on
- [New] In Risk transformations, IMM tenors are now accepted as forward tenors on all yield curves including bond and cross-currency curves.
- [New] In bond contribution, generic bonds are now true par bonds, they used to be par bonds on the ccy discount curve, not the bond curve as a proxy
- [Bug] Historical bond contribution of par bonds was biased
- [Bug] Yield curve stripping could fail when tenors where not ordered by maturity
EQ
- [Bug] Smile from PDE was wrong since v20.2.11. Had only an impact on the smile chart, not on pricing