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What's New?

This page contains the main user facing changes. For bug-fixes and developer-facing changes, refer to the release page.

1.4.0

  • The Sensitivity Upload what-if has been renamed to File Upload
    • As a part of this change, we allow you to submit what-ifs for the FXRates topic through this widget
  • The ISDA Tests have moved to their own module, where you can run your own development server to analyze the data

1.3.0

  • New What-ifs have been added:
    • Additional Margin what-if, which allows you to modify your addon trade information
    • Trade novation what-if, which allows you to move trades from one portfolio to another
  • You can now perform a trade scale what-if on any date loaded in the accelerator
  • ISDA SIMM 2.3 parameters have been added
  • ISDA Tests for v2.3 have been added, and an updated ISDA test suite has been added
  • Overriding of different vertices for a child parameter set is now supported
  • VectorExpand.java now provides two methods that can be overridden - getSensitivityForInflationOrXCcyBasis and getSensitivityForBaseCorr - allowing for customization of vertecies for sensitivities, such as inflation and cross-currency
  • An error is now logged if an input line is provided from a crif input without a qualifier
  • LookupUtil.keysHashCode is now private
  • Concentration thresholds are now represented in the amount currency

1.2.1

  • Buckets are now sorted in a more user-friendly manner
  • It is now easier to customize stores and the CrifTuplePublisher
  • We now properly handle both post and collect regulations

1.2.0

  • Exceptions are no longer thrown by the SIMM measure when you add dimensions below the portfolio-level to your query.
  • The SIMM, Additional Margin, and Total IM measures no longer return any value at the regualtory bucket level, and the new measure K_generic returns the margin for the buckets.
  • We have optimized some of our calculations, so the SIMM and Total IM measures are calulated faster.
  • Risk_Generic now allows you to expand by label and risk type.
  • AmountCurrency is now a level for the SIMM Cube.
  • Multi-regulation trades can now have input provided via multiple lines in the CRIF file.
  • A new property, default.multiple.regulation.separator has been added, for when multi-regulation trades use a delimiter other than ‘;’ to denote the regulations applicable.
  • Schedule calculations are only applied to regulations in a trade that are marked as schedule, and SIMM is no longer calculated for these entries.
  • Calls to load data in the accelerator will now respond with the status of the load, either SUCCESS or FAILED
  • You can now create custom analysis actions and save them within a bookmark or your UI session.

1.1.0

1.0.0

0.3.0

The main user-facing features included:

  • The release included SIMM aggregation for Credit Qualified / Credit Non Qualified Risk Classes
  • ISDA Test Cases for Equity, Commodity, FX
  • ISDA Test Cases for Credit Qualified / Credit Non Qualified
  • Product Classes

0.2.0

2020-02-05

New features

  • SIMM Interest Rate calculations account for the ProductClass dimension and pass the ISDA Unit tests.
  • Equity/Commodity/FX Risk class sensitivity level margin
  • Corresponding ETL
  • 10D calculation Support

0.1.0

2019-12-31

This is the initial release of the SIMM Accelerator.

New features

  • SIMM Interest Rate calculations complete (post mode)- shown through RatesFX product class and SIMM top-level calculation
  • ETL for IR
  • Parameter Sets support. Follow this link to read more: Parameter Sets
  • JDK 8 Only
  • Cube Design
  • ETL Design
  • All calculations are based on the Amount USD - single currency setup
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