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 used twice
Portfolio
- [New] Added Gamma P&L view on assets (FX/EQ/CO)
- [New] On Realized P&L view, added unexplained per market data type
Miscellaneous
- [New] Added support of Mifid 2 Transaction reporting. In this first version, the XML file is generated but needs to be sent manually
- [New] Added support of FIX protocol
- [Bug] Macro/Task referencing a view was lost if the view was renamed