Skip to content

Release v0.16.0
Compare
Choose a tag to compare
@jodastephen jodastephen released this 05 Jul 16:31
v0.16.0
4c3e8c8

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.

Assets 4
Loading