Pricing
- [New] Added Credit Default baskets, aka Nth to defaults
- [New] Added Credit Default swaptions (single name and indices)
- [New] Improved credit correlation model to support more pricing methods (exact, binomial, not just LHP)
- [New] Added support of bespoke credit portfolios, defined in absolute or relative terms
- [New] Upgraded SIMM and capital measures to support new credit products
- [New] Improved solver to solve on XVA as well as user defined measures
- [New] Added XVA optimizer at deal level (finds the optimal netting set)
- [Bug] Vol and Var swaps where last fixing data is in the past were failing to price
Market Data Analysis
- [New] Added Base correlation smile chart
- [New] Added Tranche view
Contribution
- [Bug] Fixed runaway bug at the beginning of a contribution session (a lot of contributions could be triggered by mistake, reducing the throughput of the application)
Miscellaneous
- [Bug] Improved message in case of login failure
- [New] Migrated from .NET 4.6 (C# 6) to .NET 4.7.2 (C# 7.3), minor performance improvements