Common
- [New] Added Filtered Historical Simulation (on hVaR)
- [New] For Historical VaR, added the ability to save shocks from historical market data
- [New] On market data analysis, it is now possible for a scenario to inherit base market properties
- [New] Improved risk calculation performance on multi-callable products (up to x3)
IR
- [New] Added option to calibrate on exercise boundary for callable products
- [New] Added option to calibrate on variable notional for exotic products
- [New] Added monotone cubic curve interpolation method
- [New] Optimised simulation of CMS rates in HJM model (-15% to -30% calculation time)