Common
- [New] In pricing params, added an option to refine greeks (smaller bumps), set to true by default
- [New] Added ‘bulk add bonds’ view, allowing to create bonds from ICE data
- [New] In portfolio views added allocation filter to deal with trades with multiple allocation
- [Bug] In Realized P&L View, P&L of deal traded at first date was allocated as theta instead of new event
- [Bug] There was a status inconsistency when trade event = Full termination
Assets
- [New] Added greek outputs in (Market data analysis) volatility views
- [New] Added theta and gamma measures in FX option blotter
CC
- [New] Added support of quanto futures
IR
- [New] When two curves are in spread with one another, the one with a shorter tenor is now the base curve of the other one. This allow a better behaviour on the short end of the latter curve.
- [New] Added gamma measure in various market data analysis views
API
- [New] InMemoryDataService.SaveDeals now processes trade events. Use service.Deals.Add to get former behaviour