Common
- [New] IM hVaR Risk Explained view now takes the latest improvements on LCH SwapClear and Eurex OTCClear IM calculations
- [New] Added underlying value (e.g., asset forward, swap rate) in the deal pricing measures
- [New] Added scenarios for Initial Margin liquidity parameters
- [New] Fine-tuned Historical VaR to better match IM CCP calculations: burn-in period, scenarios on Log DF, scenarios on shifted log rates
- [New] On Historical VaR, improved performance and reduced memory usage
IR
- [New] Eurex Clear OTC Liquidity parameters are now calibrated from Eurex data
- [New] On swaptions, we now distinguish two cash settlement methods: Par Yield and Collateralized Cash Price. Previously all cash swaptions were assuming the Par Yield methodology.
- [New] Added a new ‘curve deformation’ scenario, more generic than steepening flattening
- [New] HJM Model now defaults to several risk factors for yield curves.
- [Bug] A yield of zero usually caused a bond contribution issue
EQ/FX/CO
- [New] Local Stochastic Volatility Model (LSV) is now the default model for pricing of exotics
- [New] Phoenix deals now support several underlyings (worst of) and a term structure of barriers
- [New] On Phoenix deals, Additional measures are available in Details: Call probability, expected coupon