Pricing [New] Improved smile interpolation on assets (FX/EQ/CO underlyings) [New] Improved Monte-Carlo precision thanks to the ‘Match Covariance’ method (applicable on XVA and multi-callable products) Portfolio [New] Added monitoring of exposure limits [New] CEM now takes into account the ‘Settlement to Market’ CSA feature [New] Added Desk granularity Miscellaneous [New] Allow deal allocation to multiple… Read More »

Pricing [New] Added support of American barriers on assets (FX/EQ/CO underlyings) [New] Added support of event weights for asset volatility [New] FX volatility now supports several BF and RR widths, typically 25% and 10% delta Market Data Analysis [New] Added event weight view on FX Contribution [New] Added connectivity to Reuters API [New] Added event… Read More »

Pricing [New] Added ‘FWD’ yield curve instrument allowing support of meeting dates/turns of the year Contribution [New] Added contribution of rate fixings Market Data Analysis [New] Added ability to save results/export results to Excel Portfolio [New] Added grid computing. Requires admin rights in this preliminary version. Miscellaneous [New] Task Scheduler now supports several time triggers… Read More »

Pricing [New] Added support of exotic bonds (such as callable bonds): bonds are defined internally with a booking screen, linked to market identifiers (e.g. ISIN) and are bookable as a security with the usual bond screen [New] Added market scenario to bump a forward bucket of a yield curve [New] Added more flexibility in yield… Read More »

Pricing [New] Added ‘Monotone Convex’ Spline as described in www.math.ku.dk/~rolf/HaganWest.pdf [New] Added full details view on bond and bond futures to check static data as well as pricing details [New] Added market scenario to remove inflation seasonality [Bug]  Inflation bond risks were wrong (Inflation delta missing) [Bug]  Inflation bond index ratio rounding was not applied Contribution… Read More »

Pricing [New] Added LPI product [New] Added new payoffs: capped (float-call), floored (float+put), collared (float+put-call) [New] Added volatility swaps and options on volatility or variance swaps on FX, Equity and Commodity asset classes. The pricing is done thanks to an Heston model which is calibrated on the fly. [New] Deal audit improved to better spot… Read More »

Pricing [New] Option added in pricing params to automatically calculate relevant measures (in deal screens) [New] Added new pricing measures: implied IR Volatility, FX Volatility, SO Correlation and Credit Spread [New] Added CFI and Trading Venue in deal envelope [New] Added support of repo and break clauses in FpML [New] Migrated from FpML 5.7 to… Read More »

Pricing [New] Added FX Variance swaps [New] Added Total Return Swaps on bonds [New] Added (natural) Cubic and Akima splines as interpolation methods to the yield curve. Default spline switched from Hermite to Cubic. New market scenario allowing to change spline. [Bug] AED, SAR curve stripping could fail due to new kind of dependency between… Read More »

Pricing [New] Added AED, SAR, MAD and TND currencies [New] Added Gold commodity as a currency (XAU) [New] Added Equity Variance Swaps [New]  Added Equity Swaps (TRS) including the resettable IR leg