Common
- [New] Reduced memory usage in exotic pricing resulting in 15% performance improvement
- [New] Significant improvement of auto-differentiation inversion algorithms: major performance improvement (x6) on risks on asset options with AFI smile
- [New] Market Data CRZ Flat Files now support unordered tenors and strikes
- [New] File Inputs allowing multiple files now support wildcards (*,?)
Assets
- [New] Barrier options now support forward starting feature (strikes fixing in the future)
- [New] Added options on asset performance, including American barriers
- [New] Added the following exotic products as deal input masts: Reverse Convertible, Bonus Certificate, Airbag Certificate
- [New] SPAN now supports listed options
- [Bug] Pricing of average options was wrong when first fixings have passed
IR
- [New] Added a market data analysis view to compute forward bond yields and sensitivities