Highlights
- Calculation API tightened to clearly separate scenario from non-scenario
- DSF based on standard market price, not decimal/fractional price
- Curve calibration with a Fed-Fund swap
- More control over IborFuture curve nodes
- Add calendar and indices for Norway
- New surface interpolators - surface data must now be sorted
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.