Common
- [New] Correlation market data (used for quanto and multi-asset exotics) can now be defined per category as fallback
- [New] Added correlation contribution between single names from historical data, and between categories from SIMM market data (when relevant)
IR
- [New] Improved bond option pricing using closed formula in HJM Model and OTM calibration at exercise boundary strike
- [New] HJM Model can now project vega on IR Vol Cube (previously only on Sabr Surface)
- [New] In IR Smile calibration views, automated smile loading from Bloomberg terminal
- [Bug] In ‘XCCY Basis Swap’ market data analysis view, EUR XCCY was vs EUROIS instead of EURRFR
- [Bug] Bond TRS sensitivities were wrong when first fixing date = pricing date