Common [New] Added a portfolio view to convert CRIF sensitivities into standard sensitivities [New] Added a scenario ladder generator allowing to create multiple scenarios in one operation IR [New] Futures contribution views now allow automatic future rolls [New] Improved HJM Calibration by pricing exactly swaptions in the calibration stage (previous pricing, although not exact, was… Read More »
Common [New] US Bond and Bond futures input prices are now in 32nds [New] Improved deal audit by adding a comparison of Economic differences between versions IR [New] Added bond blotter [Bug] ND XCCY swaps could fail in Flat file FX [New] In exotic model, calibration of cross FX is now super-fast (almost immediate even… Read More »
Common [New] On CCR Capital views (and for KVA ccr calculation), improved the MPOR calculations for CSAs with disputes, CSAs with exotics, and settlement to market [New] Added two sources of SDR Data: DTCC SEC for single-name credit derivatives, and DTCC Canada for interest rates [New] In risk representation, it is now possible to specify… Read More »