Highlights
- New security and position domain model
- Replaced generic future/option by generic security
- Inflation swap conventions
- Canadian holidays and indices
- Improved FX rate triangulation
- Enhanced examples
For more information, see the website.
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).
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.
For more information, see the product coverage.