Highlights
- New asset classes - CMS, CMS cap/floor and Ibor cap/floor
- Calculation function design simplified, with all functions operating as multi-measure
- Enhance FX conversion of function results
- Enhanced FpML parsing, including inflation swaps
- Control over the date generated for each node in curve calibration
- Synthetic curve calibrator, calibrating on synthetic instruments
- Schedule generation handling all-stub schedules, plus performance tweaks
Coverage
Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).
| PV | PV01 | Bktd PV01 | Gamma PV01 | Par Rate | CS01 | Bktd CS01 | Cashflows | |
|---|---|---|---|---|---|---|---|---|
| Swap | X | X | X | X | X | X | ||
| FRA | X | X | X | X | X | X | ||
| CDS | X | X | X | X | X | |||
| FX Forward/Spot | X | X | X | X | ||||
| FX NDF | X | X | X | X | ||||
| FX Swap | X | X | X | X | ||||
| Generic Future | X | |||||||
| Generic Future Option | X | |||||||
| Term Deposit | X | X | X | X | ||||
| STIR Future (Ibor) | X | X | X | X | ||||
| Deliverable Swap Future | X | X | X | |||||
| Term Deposit | X | X | X | X | ||||
| Bullet Payment | X | X | X |
Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS, CMS cap/floor, Ibor cap/floor, Swaptions, STIR future option and FX vanilla option.