The past ten years since the GFC have been remarkable in many ways for the derivative markets and the instruments traded. Among other things, the trend towards greater complexity in the financial markets and their increased regulation has been a dominant force, reshaping the way business is conducted, inflating the cost base and forcing consolidation.… Read More »
Contribution [New] Added possibility to allow missing feeds in a contribution screen [New] Minor adjustments to handle TP ICAP market data feed on FX Portfolio [New] Added view ‘Scenarios with re-hedge’ [New] Upgraded SIMM to SIMM v2.1 effective 01/12/2018 Miscellaneous [New] Added support of FIXML messages
Pricing [New] Added pricing of CDS Index tranches, added Base correlation market data [New] Added 5 currencies : THB, TWD, ILS, CLP, COP [New] Added incremental XVA calculation in all booking screens Contribution [New] Added TP ICAP market data feed on inflation zero-coupon swaps [Bug] Fixed bug on TP ICAP feed when the same RIC was… Read More »
Pricing [New] Added variance/vol swap booking screen (on FX/EQ/CO) [New] Added daily fixing impact of var/vol swaps in risk report [New] Added AFI asset smile interpolation as defined in https://pdfs.semanticscholar.org/ed07/75c39330d2dd09b55f3e0af85e5684b244a8.pdf [New] Improved Generic Leg to support FX strips [Bug] IR Delta was wrong on NZCPI products (specific case where the inflation curve is built from inflation… Read More »