Product Updates

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Feature Additions

• Correlation Endpoint: Added the ability to compute correlation matrices between portfolio positions, enabling users to analyze dependencies and relationships between assets more effectively.

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API Updates

• Added new endpoint for retreiving portfolio correlations.

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Feature Additions

• Margin Calculation Engine: Launched the new margin calculation engine, enabling accurate and flexible calculations for Initial, Variation, and Continuation Margins. Built on the VaR framework, it provides advanced alternatives to SPAN-based systems.

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API Updates

• Added new endpoint for submitting margin calculations.

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Model Updates

• Introduced support for Student t-distribution assumptions in both Monte Carlo and Historical VaR methods, enabling better modeling of fat-tailed distributions and extreme market events.

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API Updates

• GPU Improvements: Additional support added, enabling efficient scaling across multiple GPUs for larger workloads.
• Backend Refactor: Complete backend software overhaul to enhance speed and processing efficiency.

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API Updates

• Added option to switch between portfolio or marginal-level results through the data_type path variable
• Added option to switch between output formats through the data_format path variable

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Feature Additions

• Comprehensive Risk Output: Separate outputs added for both marginal and portfolio-level risk results, supporting download in CSV, FpML, and JSON formats.
• Distribution Histogram: Users can now download histogram data representing the simulated profit and loss distribution from their Value at Risk assessment, providing deeper insight into portfolio risk profiles.

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API Updates

• Added option to adjust volatility calibration parameters through the volatilityLookBackDays and ewmaDecayFactor settings.
• Added option to adjust manually insert or remove specific sampled historical data points through the addedDates and excludedDates settings.

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Feature Additions

• Stress Testing support added for both Monte Carlo and Historical methods, allowing users to simulate adverse market conditions for enhanced risk assessment.

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API Updates

• Added option to switch between sampling methods through the method path variable

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Model Updates

• Historical Value at Risk (VaR): Added as a new sampling method, enabling users to perform risk analysis based on historical market data, expanding beyond Monte Carlo simulations.
• Marginal VaR: Added as a feature in the results, providing detailed breakdowns of risk contributions for individual portfolio positions.

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Feature Additions

• Futures and Commodities added as new asset classes, extending coverage beyond stocks, options, and bonds.

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API Updates

• Initial API Release: Launched with foundational support for risk analysis on stocks, options, and bonds.
• Monte-Carlo Value at Risk (VaR): Added as a new sampling method, enabling users to perform risk analysis based on simulated market data using Monte-Carlo methods.