Common
- [New] Add market data from files: there is now an option to stop on parsing error
IR/CR
- [New] Create (European) Bond Option mask. It supports all bonds as underlyings except exotic ones (callable or convertible)
- [New] European Bond Options are now supported in flat file
- [Bug] IMM0 Tenor could fail for non-standard IMMs (AUD, CAD, NZD)
Assets
- [New] Volatility surfaces can now be defined in absolute strikes
- [New] Asset vol calibrator now supports calibration based on cubic and linear splines
- [New] Volatility surfaces allow pseudo delta type (50% delta always equals ATMF)
- [Bug] Asset vol calibrator was flawed when used with a stickiness table
CC/IR
- [New] Future adjustments can now be interpolated