Pricing
- [New] Added ‘Monotone Convex’ Spline as described in www.math.ku.dk/~rolf/HaganWest.pdf
- [New] Added full details view on bond and bond futures to check static data as well as pricing details
- [New] Added market scenario to remove inflation seasonality
- [Bug] Inflation bond risks were wrong (Inflation delta missing)
- [Bug] Inflation bond index ratio rounding was not applied
Contribution
- [New] Added Bloomberg Data License as new feed. Pseudo real-time with 15mn interval as well as historical data capability.
- [New] Added check that credit curves have positive hazard rate
Market Data Analysis
- [Bug] Bond view charts could be corrupted