Highlights
- New measures API
- Extended set of measures access via the calculation API
- Renamed PV01 measures
- Add a calculator to obtain the notional equivalent
- Add currency exposure and current cash to some instruments
- Add support for known amount stubs on swaps (fixed and ibor legs)
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, FX vanilla option and FX barrier option.
For more information, see the product coverage.