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Release v0.11.0
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@jodastephen jodastephen released this 18 Mar 19:14
v0.11.0
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Highlights

  • New asset class - Capital Indexed Bond
  • Refactored trade model treating holidays and securities as reference data
  • Added dedicated index observation objects for querying market data
  • Type-safe attributes can be attached to trades
  • Add Canadian holidays and indices
  • Allow holiday calendars to be queried beyond known dates

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.

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