Common
- [New] In contribution view, added a view to detect outliers in historical market data (based on Z-Score)
- [New] Added a shortcut to open a risk-explained view when relevant (VaR/IM/Capital)
- [New] Added special treatment in hVaR on Bond and Future adjustments to account for the fact that their contribution window may begin after the first scenario date
IR
- [New] In the universal model, finalized stochastic volatility on Rates (piecewise Heston process).
- [Bug] Risk-explained P&L of Future adjustments was wrong (wrong scale)
- [Bug] Bond adjust market data was allowing contribution of bonds for which the adjustment failed to converge. Use Market Data Bulk Operations > Clean up to fix those market data
FX
- [New] Added FX baskets. All payoffs are supported. Pricing methodology ensures cross FX smiles are fitted
- [New] Added pricing of correlation swaps
- [New] Forward starting options including FVAs can now reference zero-delta forward
Assets
- [New] Added flat smile scenarios