New ARMS – cumulative release notes
Cumulative ARMS release notes from ver 3.3.1 to 3.3.7. The ARMS R&D department continues to deliver high quality performance enhancements and new features to the growing risk management platform. With this release, ARMS is shipped with many features that will make the users much more productive in their daily work. This includes both analytics for explaining current risk issues as well as fast pre-trade support. Fast turn around times on bespoke new instrument development has also enabled risk departments to give green-light with regards to new trades.
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
