New ARMS – cumulative release notes

Cumulative ARMS release notes from ver 3.3.1 to 3.3.7

Preview at: [ARMS Youtube channel]

Position related fixes and features
– Added amortizing support for swaps, loans, and frns
– Added mid curve swaptions as separate instrument type
– Added OIS/CSA discounting support for caps/floors and digitals
– Added support for cleared cir swaps and ir future options
– Added support for using spot-moneyness volatility surface definition
– Extended forward curve tax modeling in liability insurance positions
– Extended solver for OAS spreads in callable bonds
– New pos type “fund-of-fund” with support for arbitrary nested position types
– New pos type for handling unit-linked liabilities

Workspace releated fixes and features
– Risk factor PnL explain in historical VaR analysis
– Fixed-moneyness toggle available in relevant workspaces
– New portfolio tree component with extended search, filter, and position level selection
– What-if workspace with simulation of issue/issuer for FRTB
– What-if support for mulitple contexts and user-defined position templates
– Backtesting on both portfolio and positions level
– New workspace “ARMS Sensitivity” for efficient and flexible risk factor bump analysis

ARMS Server, data, and database fixes and features
– Enhanced performance when calculating massive scale risk factor sensitivity analysis
– Faster VaR calculations when splitting on risk factor groups
– Overhead memory reductions  when performing large rank position classification
– Quantlab platform upgrade to optimize large-scale matrices and compile time speed-ups
– External XML positions now stored in the database for fast re-mappings and edits

Module enhancements (overview)
– FRTB updates along new regulatory news and speed-ups to current calculations
– UCITS limit package update to cover more aspects of UCITS compliance for buy-side
– Solvency II SCR enhancements with more conservative Article 111 fx-risk definition
– Tbricks and WSS7 integration updates

2018-03-22 News