Common [New] In historical chart, one can now choose the market data set [Bug] Market data from local sets were not displayed in market data explorer [Bug] In Pivot table attached chart, there was an issue when changing chart type (fix required DevExpress upgrade) [Bug] Marginal allocation by Category 1 & 2 was failing IR… Read More »

Common [New] For more transparency, most static data are now visible in Market Data Viewer (e.g., Bond types) [New] Historical contribution of fixings in yield curves now fallbacks to historical fixings if missing in the feed [Bug] Portfolio view Price Details refused to compute greeks considered as not required (e.g., IR Swap gamma) [Bug] In… Read More »

Common [New] Historical market data contribution now uses currency calendar by default [New] Historical contribution of market data: end user can now compare with existing market data when any and choose between existing or new data [New] Bond (idiosyncratic) market data: one can now choose to select only CTDs or bond future deliverables [New] It… Read More »

Common [New] Market data in local close sets are now persisted in a local database acting as a cache [New] In SIMM Risk Explained view, it’s now possible to optimise initial margin by rebalancing risk between two counterparties [New] Added support of Leverage portfolio measure with two methods: UCITS and Bond notional equivalent [Bug] Category1… Read More »

Common [New] Server has been upgraded to gRPC for better performance and .NET 5 new features [New] Most deals can now be converted into a flat file row [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them. [New] Added user-defined counterparty shortcuts (in… Read More »

Common [New] In market data conventions window, added an instrument details tab [New] Add a deal grouping portfolio view allowing to aggregate deals with similar characteristics. For instance IR swaps differing only in notional amount and fixed rate will be aggregated [New] FpML parsing is now much faster: ~x20, >500 deals parsed /core/second [New] In… Read More »

Common [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio [New] Added support of Eurex xml file. [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually. [New] Updated SDR Feeds to support new DTCC Format… Read More »

Common [New] In Market Data Analysis, added a view that calculates historical term volatilities of any timeseries [New] In Market Data Analysis, added a view that calculates historical term covariance of any timeseries [New] Repo haircut can now be defined either as a haircut (convention changed) or an initial margin [New] Added a tool to… Read More »

Common [New] Client clearing is now distinguished from house clearing in IM CCP portfolio view [New] Portfolio definition can now be a combination of deals from database and deals from flat files [New] Flat file Repo trade now supports haircuts [Bug] In ‘Add Deals from flat file’ view, cash product was corrupted

Common [New] In market data analysis, added a statistics module allowing to compute historical volatility and correlation, principal component analysis, tracking error and beta. Any measure can be used as an input to an historical data chart, becoming a rolling statistical measure. [New] Flat file now supports Repo trades as well as cash accounts [New]… Read More »