Common
- [New] Added a view to compare two deals (Main window > Tools)
- [Bug] Portfolio deal filter could fail to open
Exotics in Universal Model
- [New] HJM Model calibration views (in Market Data Analysis) can now be linked exactly to the model used by a deal
- [New] Sensitivities to Model correlation market data (modelling multi-factor covariance of a curve) are now calculated in Risks reports
- [New] Sensitivities to Correlation market data (modelling Asset/Asset or Yield/Asset correlation) are now calculated in Risks reports
- [New] Long dated asset volatilities (beyond last expiry date defined in market data) now follow natural model extrapolation (typically increasing due to yield volatilities)
- [New] Added a Market Data Analysis view to assess smile calibration of an asset
EQ
- [New] It is now possible to define a basket where volatility surface is an input (while forwards are deduced from the constituents)
- [New] Changed Bloomberg tickers on volatility
- [New] Added bulk contribution of dividends from Bloomberg BDVD
- [Bug] ‘Strike Volatility’ scenario failed when ATM Ref was equal to Spot
- [Bug] It was not possible to contribute empty dividend market data