Common
- [New] On CCR Capital, added SA Risk weight method
- [New] In Market status of close root sets, it is now possible to see market data at all dates
- [New] In contribution window, it is now possible to contribute into the default set but also its live ancestors
- [Bug] In flat file, some caps & floors with 12M underlying were failing
IR
- [New] In ‘IR Smile Calibration (Manual)’ it is now possible to calibrate also the beta
- [New] In ‘IR ATM Cap/Floor Calibration (Manual)’, improved calibration allowing to match simultaneously straddles with different underlyings (e.g., 3M and 6M)
- [New] Added blotters for CMS Spread Caps & floors
- [New] Added blotters for CMS Spread Single looks
- [Bug] Fixed synchronization issue in ‘Multi-Cancellable Swap’ and ‘ Bermudian swaption vs Max European’ blotters
- [Bug] in SA-CCR, delta sign was wrong for sold swaptions, non-deliverable xccy swaps were not supported
FX/CO
- [New] Recently added XAG, XPD, XPT precious metals. This version is required to get the right Bloomberg tickers for Forward points