Common
- [New] Added Refinitiv market data provider. Reuters, using old connectivity framework, is kept temporarily. Only real-time is supported so far, historical contribution to follow
- [Bug] Market data comparer showed many false positives (only in v21.1.12)
CR
- [New] Switched ISDA Yield curves to RFR in accordance with ISDA CDS Standard Model – News (cdsmodel.com)
EQ
- [New] Equity splits are now taken into account in past fixings and dividends
- [New] Equity splits are now taken into account in the roll markets, and hence, in the historical VaR
- [New] Equity Index look-through approach is now used in DRC (SA and IMA)
- [Bug] The functionality ‘Add an equity’ is now working, even if the counterparty is missing.
- [Bug] Equity swaps in flat file was flawed when underlying is defined by ISIN or Ticker
CO
- [New] Commodity swaps and swaptions are now supported in the flat file
IR
- [New] Added pricing of CMT (Constant Maturity Treasury) Rates
- [New] Added pricing of RFR based CMS Rates
- [Bug] In IR Volatility Contribution, it was not possible to persist removal of cap & floor columns