Common
- [New] Amended BA-CVA and SA-CVA calculations according to https://www.bis.org/bcbs/publ/d507.pdf
- [New] SIMM now accepts dummy counterparties
- [New] CCR IMM accepts dummy counterparties if the Risk weights are overridden
- [New] In most contribution views, one can right-click a cell to open the underlying deal
- [New] In Historical Chart, it is now possible to choose two historical types: (true) Historical and Roll (market is rolled from past date to today preserving the sliding forwards)
- [Bug] Generic scenario required market data name to be specified exactly. Now, % (Like operator) applies to this column
- [Bug] It was possible to contribute empty market data in some cases
- [Bug] It was possible to contribute market data even when not mapped to a ticker
FX
- [New] Universal model now gives sensitivities on FX Cross rates ATM Vega (FX where numeraire currency is not included)
IR
- [New] Added CMS, CMT, CMS Spread rates in underlyings supported by Autocall KI/KO clauses
- [New] Added Notional equivalent risk transformations on Bond and Future market data as well as CPI ATM Vega.
- [New] Portfolio replication now also replicates risks on Bond and Future market, IR Smile (Rho & Alpha), Spread Option ATM & Smile, CPI ATM Vega & smile
- [New] Added support of SGDOIS (SGD-SORA). This required a development as the new SGDOIS is not a SOR rate (FX Swap Implied rate) while SGD6M is a SOR rate
- [New] In IR Vol contribution, minor changes to allow contribution of RFR-based instruments
- [Bug] Default tenors in Bond Future contribution view were wrong