Pricing
- [New] Improved modelling of dividends: dividends can be affine, added all-in ratio (accounting for taxation), no risk on announced dividends, new scenarios
- [New] Asset volatility matrices now support at the delta representation
- [New] Added sigma-beta Rate/Vol dynamics in IR Volatility (scenario and contribution). With this option, the SABR param is kept constant when rates move, implying a move on normal volatility and a different delta.
- [Bug] On commodities, spot now corresponds to the prompt forward
Market Data Analysis
- [New] Equity & Commodity forwards view
- [New] Added Instantaneous Convenience Yields view (Commodity)
Contribution
- [New] Added contribution of commodity forward curves from futures
Portfolio
- [New] Added ‘Switch to RFR’ view. It creates an amended portfolio on which one can compute any measure
- [New] Added multiple level projection (risk transformation) on yield curve delta
- [New] Improved reduced/forward tenors risk transformation by using a curve stripping. Previous method available in mode: Projection Method=Simple
- [New] FRTB SA upgraded to version d457
Miscellaneous
- [New] Future tenors such as MAR19 are now supported (alongside codes such as H19)