Common
- [New] Added a portfolio view to compute beta sensitivities wrt to the portfolio
- [New] Added support of Eurex xml file.
- [New] Added ability to generate a flat file row from a deal booking screen. Currently available on repo, bond and futures. Will be extended gradually.
- [New] Updated SDR Feeds to support new DTCC Format
- [New] Migrated to new documentation
CR
- [New] Added a scenario (‘Match CDS Index’) allowing to adjust single-name credit curves so that intrinsic par spread is equal to index spread. aka Portfolio Swap Adjustment
- [New] Added a view to calibrate CDS proxy factors following cross-section methodology (Microsoft Word – cva-cross-section.docx (nomura.com))
- [New] Added a view to calibrate CDS rating curves following cross-section methodology
- [New] Added scenarios to change CDS coupon and bond liquidity spread
- [New] In contribution view, one can now set CDS tenors from Bloomberg
IR
- [Bug] In yield curve contribution, changing the spline was disregarded in some cases
API
- [New] API is now published as a nuget package in nuget.org, just type in ‘Install-Package CRZ -Version 20.2.9’ in Package Manager
- [Bug] UserViewModel changes failed to apply to the current session