Common
- [New] Added FRTB IMA Risk Explained portfolio view
- [New] Spread curve feeds can now handle more fallback cases when direct feed doesn’t exist (express a spread as a difference of two spreads vs the main curve)
- [New] Minor improvements in Market data comparer tool
Assets
- [New] Added pricing of American options
Portfolio Replication
- [New] Added a view to replicate a portfolio from CRIF risks
- [Beta] Portfolio replication from CRIF can be SA-CCR optimized: use deal-by-deal risks to infer the right SA-CCR bucket
- [New] CRIF to Risk converter can now use deal maturity for CRIF results that don’t have a tenor (e.g., Risk_XCcyBasis and Risk_Inflation)
- [Bug] Portfolio replication of FX curves could be wrong for some FX pairs