Common
- [New] On CCR Capital views (and for KVA ccr calculation), improved the MPOR calculations for CSAs with disputes, CSAs with exotics, and settlement to market
- [New] Added two sources of SDR Data: DTCC SEC for single-name credit derivatives, and DTCC Canada for interest rates
- [New] In risk representation, it is now possible to specify whether curve definition changes are applied before or after scenarios
- [New] In pricing params, one can now choose to localize or not curve risks (Yield/Inflation/Credit) by playing on spline coefficients sensitivities
- [New] In SIMM view, it is now possible to save CRIF with trade granularity (formerly only netting set)
IR
- [Beta] In the universal model added stochastic volatility on Rates (piecewise Heston process). IR Smile is now taken into account in the model
- [New] When pricing depends on CCP, it now automatically uses the right curve. Ex: a swap vs Euribor 6M cleared at Eurex, will use EURERX6M curve even if booked as EUR6M
- [New] Added support of Term RFR Rates (e.g., USDRFR3M)
- [New] Added historical contribution of Bond Future Vols
- [New] Added pricing of options on AUD bond futures (very specific convention)
- [New] In Bond risk view, added ZS01 and AS01 measures. Added support of bond futures and options. Also added non-unit sensitivities measures
- [New] Minor improvement on convexity of OIS short futures
- [New] In XCCY Curve contribution, allows decomposition into 2 feeds if ticker vs RFR curve doesn’t exist