Product Updates

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.

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

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.

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.

Feature Additions

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

API Updates

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

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.

Feature Additions

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

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.