Pricing
- [New] Added Mandatory termination options
- [New] Added Cap & floor blotter
Contribution
- [New] Added Missing fixings contribution screen
- [New] Added Max variation to prevent contribution errors
- [New] Added manual ATM volatility Cap & floor calibration
- [Bug] USD ATM Volatility would not open since the addition of USDCME3M curve
- [Bug] Contribution was too frequent when ‘Contribute by Group’ is unticked
Market Data Analysis
- [New] Added measures on smile views: Vega, Alpha, Rho
- [New] Added ability to choose strikes on smile views
Portfolio
- [New] Added Deal allocation on XVA
- [New] SIMM upgraded to V1.2 (Added concentration risks)