- [Bug] Market Status lag of close market sets was based on last update instead of actual market date
- [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes.
- [New] Added credit contingent payoffs to the payoff script
- [New] Added a smile chart for credit underlyings, allowing to compare market and model smiles
- [New] Did small adjustments to match RFR XCCY specific conventions (lag and periodicity)