Pricing [New] Added Equity and Commodity asset classes: pricing of cash/forward/vanilla options Added booking screens, dedicated scenarios and risk transformations Portfolio [New] All portfolio views now support Equities and Commodities, including Capital, Initial margin and XVA views [New] FRTB SA-CVA and BA-CVA upgraded to the finalised version (BCBS d424) Market Data Analysis [New] Added Equity… Read More »
Miscellaneous [Bug] The pricer could fail to start Portfolio [New] Added ability to save portfolio results to the database. Results are saved with Netting Set x Book x Product granularity (not deal by deal) to reduce storage size. In this preliminary version, only admin users can save to the database.
Pricing [New] Added TRY currency (IR flows and options) [New] Added Non-deliverable IRS on CNY [New] Added Non-deliverable CCS on RUB, PHP, IDR. Now supporting 27 currencies [New] Legs with notional exchange or non-deliverable future are supported in multi-leg and callable templates, thus allowing pricing of multi-callable cross-currency/ND/zero-coupon swaps [New] Added Non-deliverable CCS product template… Read More »
Pricing [New] Added Non-deliverable IRS on 4 currencies (BRL, INR, KRW, MYR) Contribution [New] Added ability for end user to contribute his own market data in CRZ Server (with user access restrictions) Miscellaneous [New] Added support of floating licences [New] Counterparty is now mapped to LEI (Legal Entity Identifier) instead of BIC for better interoperability… Read More »
Pricing [New] STIR futures convexity now takes the smile into account [New] Added support of zero-coupon rates as stripping instruments [Bug] Fixed issues on NDFs Contribution [New] Made contribution from Excel publicly available (see ContributionExamples.xls in installation folder) Portfolio [New] Significant performance improvement on historical Var/ES. Risk explained P&Ls are used to identify worst case… Read More »
Pricing [New] Add pricing of cash settled bond futures (AUD)
Contribution [Bug] Historical data contribution was failing with Bloomberg provider Miscellaneous [New] Deals can be created from a flat file. Format is similar to SDR flat files (Admin right is required).
Pricing [New] FRNs (floating rate notes) are now supported in CRZ [New] Deal status is linked to the market status: a warning/error is triggered in case any market data required for the deal pricing is out of date Portfolio [New] Added KVA (Capital Value Adjustment) for MR, CCR et CVA charges [New] Upgraded SIMM to… Read More »
XVA stands for Valuation Adjustments, i.e. the valuation of the credit, funding and regulatory capital requirements embedded in derivative contracts. Traditional risk-neutral pricing assumes risk free discounting and neglects all these aspects, so adjustments need to be added to account for them. “Adjustment” does not mean it is minor, and XVA adjustments can be very… Read More »
Pricing [New] Preparation for NDFs on BRL, CLP, CNY, COP, IDR, INR, KRW, MYR, PEN, PHP, RUB, TWD [New] Added mapping of credit curves of illiquid counterparties to Rating/Sector/Region (previously only Rating) [New] Added the ability not to include the futures convexity in the 3M yield curves [Bug] Unexpected stub due to rolls on 28/02 could cause… Read More »