Common
- [New] Added Initial Margin calculation with the SPAN method for futures and future options
- [New] Added Initial Margin Dashboard to aggregate IM across all calculation methods (SPAN, hVaR, SIMM)
- [New] Portfolio views will now automatically open dependencies whenever they are missing
- [New] Added risks calculations in pricing screen with ability to override all sensitive market data values
- [New] Added ability to freeze the market in any pricing screen (manual overrides still apply)
- [New] Added a market viewer inside the ‘Edit Market’ window in order to view scenario impact
- [New] Grid computing (for portfolio calculations) is now available (admin rights used to be required)
Assets (FX/EQ/CO)
- [New] Added pricing of corridor variance swaps (in generic pricing screen)
IR/FX
- [New] Added FX Curves as an alternative to XCCY curves, where the instruments are forward FX quoted in pips and sensitivities are wrt to the forward FX. Did the same for non-deliverable currencies (NDF curve type)
IR
- [Bug] Implied covariance on forwards view was wrong