Common
- [New] Scenario selection is more user-friendly
- [New] Refresh Markets button now also refreshes market data in the past
- [New] Illiquid issuers with neither funding nor credit curve have now their discount curve mapped to rating credit curve and CDS proxy factors
CC
- [New] Added the ability to extrapolate the crypto curve with a flat convenience yield
- [New] Added views (CC Vol Calibration) to calibrate volatilities from Deribit option prices
- [Bug] Settlement currency on inverse future options was wrong
- [Bug] Future adjustments depended on string representation of the future expiry
Asset
- [Bug] Implied volatility (displayed as output, not used in pricing) could fail to converge in extreme cases
CR
- [New] Added multiplicative delta risk transformation on credit curve risk
- [New] Added Additive Recovery shift scenario
IR
- [Bug] Historical VaR was wrong on IR Strike Vol surfaces (vol cubes) because % appearing in columns was confused with a wildcard
- [Bug] IMM0 tenor (in forward risks transformation) was corrupted for OIS curves with zero lag (e.g. GBPOIS)