Common
- [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated
- [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks
- [New] Added historical contribution of seasonality
- [New] On CCR Capital, added a Risk weight override method. In this case, dummy counterparties are accepted
- [New] Small correction in the SIMM calculation engine to account for the addition of high FX vol currencies in SIMM 2.4 (Dec-2021)
- [New] Added an auto-updater allowing to get always the latest version (put CRZ.AutoUpdate.exe in files launched at start-up)
IR
- [Bug] IR Vol manual contribution was failing when Data provider=None
API
- [New] Made python code work with pythonnet 3.0. Updated code recording in Python to make it work