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Release v0.12.0

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@jodastephen jodastephen released this 11 Apr 17:27
v0.12.0
d21f9e3

Highlights

  • New security and position domain model
  • Replaced generic future/option by generic security
  • Inflation swap conventions
  • Canadian holidays and indices
  • Improved FX rate triangulation
  • Enhanced examples

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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