Common
- [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA
- [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities for yield curves
- [New] On historical contribution of market data, there is now a popup telling which market data failed to contribute
- [Bug] Fixed a few issues that happened on LOCAL CLOSE when it is a root set
IR
- [New] EurexClearOTC Initial margin calculation now takes into account correlation break adjustment, liquidity margin as well as stressed var floor. A new view allows to see IM breakdown
- [Bug] Historical bond contribution of par bonds could fail
FX
- [Bug] IR Vega and correlation risks could be wrong on long dated FX options (expiry exceeding last market data tenor)