Common
- [New] Added Monte-Carlo VaR – Risk factor simulation portfolio view. State-of-the-art implementation with fat tails (t-Student distribution) and major variance reduction
- [New] In Market Data Analysis, added new relative value measure : scenario impact
- [New] It is now possible to add a bond or equity from Bloomberg Data License
- [Bug] Bloomberg Data License is working again. Minor adjustments were required in the code
- [New] Improved Date pattern in file names : supports multiple pattern occurrences and contextual date
Assets
- [New] Pricing of American barriers in Vanna-Volga now include attenuation factors
- [New] Improved accuracy on window American barriers and window lookbacks (better control variate)
- [Bug] Window American barriers and window lookbacks were wrong in Vanna-Volga model
- [Bug] Convexity scenario was failing when strike surface had less than 3 strikes