Common
- [New] Added the following asset classes in Opera exposure: Convertible Bond, Commodity, Currency, Digital Assets
- [New] Added Opera VaR, Sensitivity and Stress tests risk reports
- [New] SDR Views upgraded to support the new DTCC format. For each reported trade, added MIC
- [New] Many scenarios now have more filtering properties. For instance an equity market data can be filtered on country or capitalization size
- [New] Flat file now supports amortization schedules
- [Bug] Seasonality contribution views loaded from a file were failing
IR
- [New] Added a yield curve scenario to set piecewise constant instantaneous forward rates between central bank meeting dates
- [New] Added multiplicative yield curve scenario
- [New] Added support of BLR Inflation-Linked Bonds (NTN-B series)
- [New] Added ability to specify bond quote type (previously only clean price was supported). Added support of discount margin for FRNs
- [New] Added support of CME DataMine yield curves (csv files)
- [New] In Historical contribution of IR Vol surface, if option On Missing Feeds = Contribute If Not Empty, missing points are interpolated when their neighbours are valid
EQ
- [New] Added new greek measure: sensitivity to dividends
FX
- [New] Improved pricing of Quanto options using static replication (was applied only with Vanna-Volga, otherwise a log-normal convexity adjustment was used)