Changelog posts

This patch release resolves several issues:

Resolved Issues

• TRS MD Dashboard Overlay: Fixed issue where TRS MD dashboard doesn’t start Overlay
• OvernightIndex Date Settings: Ensure that the start date and end date for OvernightIndex with effectiveDateOffset are set correctly in the pricer
• Day on Day Break Test Operator: Introduced = as an operator for Day on day Break tests (Valuation data)

All changes

This patch release resolves several issues:

Resolved Issues

• NullPointerException Fix: Fixed NullPointerException when invoking “java.util.Map.getOrDefault(Object, Object)” because “this.breaksHistory” is null
• NullPointerException Fix: Fixed NullPointerException when invoking “java.math.BigDecimal.multiply(java.math.BigDecimal)” because “currentValue” is null

All changes

This major release includes exciting updates and improvements across all parts of Xplain:

New features

1. Dashboard Status Stream Resolution, Approval, and Hybrid Workflow: Enhanced dashboard workflow capabilities with stream resolution and approval processes
2. VDXM Overlay II Manual Start: Overlay II now requires user input to begin instead of starting automatically
3. Trade Modal from VD Dashboard: Open a modal displaying trade details directly from within a VD Dashboard
4. Workflow Amendments in VD & MD XM: Submit workflow amendments in Valuation Data and Market Data Exception Management
5. CDS, Credit Index & Credit Index Tranche Curves in Context: Display curves in context on MD Overlay tasks
6. Swaption Volatility Surfaces in Context: Display volatility surfaces in context on MD Overlay tasks
7. Redis Cutover: Migration to Redis infrastructure
8. Roles & Teams Display: Display roles and teams a user is assigned to
9. Vendor Conformity Tests: Vendor conformity tests in valuation data dashboards
10. Split Dashboard into Streams: Split dashboard into streams ahead of running the workflow
11. Dashboard Workflow Performance Improvements: Enhanced performance for dashboard workflows
12. TERM SOFR Curves and Pricing: Added TERM SOFR curves and pricing capabilities
13. Parsing Error Improvements: Trade/allocation upload now provides row numbers for parsing errors
14. Premium and Discounted Prem Value: Added Premium and Discounted Prem Value in Forward Premium Swaption
15. Futures Auto Roll: Automatic rolling of futures contracts
16. XVA Library Upgrade: Upgraded XVA to the latest library with bug fixes
17. Recovery Rate as Market Data: Recovery Rate is now a Market Data attribute instead of a static credit curve attribute

Improvements

• Legacy Phase Removal: Removed legacy phase in MD XM dashboard
• Credit Curve Column Headers: Renamed credit curve column headers for clarity
• CDS Curve Node Window: CDS curves now use the same node window as credit index curves
• String Display: Long strings are truncated with “…” instead of displaying on multiple lines
• Terminology: Irs renamed to IRS for consistency
• Preference Menu Title: Renamed preference menu title
• Unit Price as Valuation Data Point: Added Unit Price as a Valuation Data point for each provider
• VD Data Viewing Performance: Improved loading time and performance of viewing VD Data
• Reporting Currency Import: Allow importing of Reporting Currency to Company/Entity Settings
• Spring Boot 3.5 Update: Updated to Spring Boot 3.5
• RateCalculation Consistency: Made RateCalculation consistent in OTOS convention
• XAG and XPT Currency Codes: Added XAG and XPT currency codes
• Default Long Name Updates: Updated default long name for MDK for new instrument types
• RXJS Migration: Migrated deprecated RXJS Pluck function
• Valuation Dashboard Performance: Performance improvements for Valuation Dashboard
• Break Highlighting: Highlight rows with breaks in Underlying Details Modal for IR + Inflation asset types
• Break Test Separation: Separate standard break tests from onboarding tests in the frontend
• Description Field Addition: Added description field to VD dashboard configurable columns palette (not in default view)
• Spring Mongo Test Package: Added Spring Mongo Test Package
• FOSSA Exporter: FOSSA exporter now sorts and automatically filters
• Scheduled E2E Default Profile: Added default profile to scheduled end-to-end tests
• Virtual Threads Workflow Engine: Implemented virtual threads for workflow engine
• MD Prelim Refactoring: Refactored InstrumentPreliminaryResultView criteria in MD Prelim
• GitHub Large Runner Migration: Migrated from self-hosted to GitHub large runner (with static IPs where needed)
• Unpaged Caching: Enabled unpaged caching for calculation result paged view
• Portfolio Name Editing: Only allow editing of Portfolio Name in the Edit portfolio form
• Auto Assignment: Auto assign underlying tasks to a user that has taken out other parts of the task
• NTH Code Module: Moved nav and ipv.data and data resolution to their own ipv code module
• Duplicate Check Enhancement: Ensure all leg attributes are included during duplicate check on trade imports
• Java 21 Migration: Migration to Java 21

Resolved Issues

• NullPointerException Fix: Fixed NullPointerException when reading field “totalTestsCount” because “first” is null
• Break Action/Clear Fix: Unable to action/clear rows with breaks when Relevant Market Data only is selected
• Phase Status Correction: Status on Phases for MD Prelim/Overlay are now correct
• Entity Level NAV Matching: Entity level NAV now matches with the longest prefix
• TermOvernight Date Adjustment: Fixed date adjustment for a TermOvernight trade
• XM Task Clearing: Fixed XM task clearing issues with Submit button
• Dashboard Stream Statuses: Dashboard Stream Statuses now update and display as expected
• Donut Charts Fix: Fixed donut charts in XM Dashboards
• Resolution/Approval Screen Access: Fixed inability to enter resolve screen if items are in approval and unable to go into approval screen if items are rejected
• Deprecation Issues: Addressed deprecation issues in XM Task Clearing (yellow warnings in console)
• Dashboard List Sorting: Sorting now always uses the Date column on the dashboard list
• Navigation Button Behavior: Fixed navigation button active behavior and styling
• Column Width Preservation: Sorting no longer resets column width of columns in Task Clearing Grid
• UncheckedExecutionException: Fixed UncheckedExecutionException with rates having no currencies in common
• Valuation History Panel: Fixed Valuation History Dev Extreme panel on Security Master Trades
• Inflation Trade Auto Population: Allow inflation trades to auto populate the Accrual & Payment frequency
• Portfolio List Archive: Portfolio and Non-MTM Portfolio List archive no longer returns live portfolios
• Sub Asset Class Translation: Fixed incorrect translation of Sub asset Class in Break Task Resolution Market Data Phases
• Valuation Tasks Visibility: Fixed Valuation Tasks not visible on Task Resolution Page
• FX Rate Filter: Curve Config FX Rate filter now allows proper deselection of currencies
• Dropdown Filter Translation: Dropdown filter now uses translated labels on Market Data Page for Instrument Type
• Credit Curve Data Passing: Fixed passing values of credit curves to market data file with no data
• Portfolio List Regression: Fixed regression on Portfolio list and Non-MTM Portfolio list
• Entity Level NAV Resolution: Entity level NAV data no longer resolves if the entity is archived
• Locks Page Behavior: Admin > Monitor > Locks page now behaves correctly

Data migration

• v2.03.0_01 Update all records in exceptionManagementSettings to add onboarding period property.
• v2.03.0_02 Update all wfProcessExecution records containing trades to add a count of trades by portfolio.
• v2.03.0_03 Update all wfStepInstance records containing trades to add a count of trades by portfolio.
• v2.03.0_04 Add new index to wfProcessExecution.

All changes

Xplain Configuration

app.data-grid.type
Should be set to ‘hazelcast’ or ‘redis’. If not set it will attempt to auto-discover the most appropriate configuration.

spring.threads.virtual.enabled [default: true] Enables virtual threads on Java 21. This can be disabled in the unlikely event that you experience issues with deadlocks due to thread pinning.

Other properties used to control performance tuning have been added. See the Xplain configuration document for full details.

API Breaking and Significant Changes

• GET /version now contains more detailed version information
• GET /me now contains roles and teams information about the current user
• Endpoints under /ipv-data-groups/{groupId}/values now include optional unitPrice as part of an IpvDataProviderValue
• Endpoints under /exception-management/ipv-break-tests now include PRIMARY_VS_ACCOUNTING_COST as valid IpvTestType
• Endpoints under /exception-management/break-tests now do not include zScoreObservationPeriod as part of a BreakTestForm/View
• Trades now include an optional onboardingPeriodEndDate property
• Swap legs now include additional properties relating to term overnight indices and TERM_OVERNIGHT is a valid CalculationType

New endpoints:

• PUT /market-data-keys/auto-roll/{entityId} Update roll mapping rules
• DELETE /market-data-keys/auto-roll/{entityId} Delete roll mapping rule
• GET /market-data-keys/auto-roll Get roll mapping rules
• POST /market-data-keys/auto-roll Add roll mapping rules
• POST /market-data-keys/auto-roll/run Run roll mapping
• POST /dashboard/{id}/start-phase Authorise VD dashboard to progress to the next phase
• GET /market-data-keys/auto-roll/list/{curveId} Returns all future MDKs of provided curve Id
• GET /classifiers/conventions/overnight-term Get overnight term index conventions

See the API changes document for full details.

Environment Requirements

This release requires Java 21+ and MongoDB 7+. See the environment requirements document for full details.

This major release includes exciting updates and improvements across all parts of Xplain:

New features

1. Entity Level NAV: Introduces support for managing NAV at the legal entity level
2. Overlay Contextual Market Data: View relevant Market Data in context of Overlay tasks for IR_INDEX & INFLATION
3. Highlighted Column Groups: Configurable view column groups can be highlighted with color/border
4. All Market Data Tab (MD XM): All Market Data is visible under the ALL tab in preliminary tasks
5. Preliminary Clearing—View All Data: Option to view both relevant and non‑relevant Market Data for Preliminary MD clearing
6. XM Outcome API: MD/VD Exception Management outcomes are available via API
7. CSV Export for Dashboards: Export VD & MD exceptions dashboard data to CSV
8. Client‑Side Task Results Grid: task-results-grid moved to a client‑side grid
9. Performance—Org Hierarchy: Company/Entity/Portfolio performance improvements (imports/usability)
10. Back Navigation to Task: From a dashboard → trade navigation, Back returns the user to the originating task

Improvements

• Auto‑refresh Lock Monitor: Lock monitor page now refreshes automatically as locks change
• Resolution Scope Removal: Removed the Overall/Individual resolution scope selector in MD & VD XM tasks
• FX Collar Import Validation: Put strike must be equal to or lower than the Call strike
• VD Dashboard NULL Tests: Only NULL tests are set up to run on P1 for Valuation Data Dashboard
• Exception Settings Optimization: Faster calculation of applicable settings for legal entities
• Curve Config Optimization: Improved performance for curve config IDs by marked data
• Dedicated Checkbox Column: Checkboxes are their own column and append on column click
• Dashboard Toggle Enhancement: Old dashboards toggle now applies to attached tasks as well
• Break Test Filtering: Filter and sort on Break Test values within MD & VD XM tasks
• Cashflow Export: Cashflow exports use on‑screen display formatting
• Portfolio Settings Stream: CompanyPortfolioSettingsResolver.settingsStream performance optimised
• Preliminary MD XM Visibility: In sub‑streams, data from all other providers is visible
• Task Grid “Filter by”: Added Filter by action to MD/VD XM task‑clearing grid
• Workflow Auto‑assignment: Engine can automatically assign underlying tasks
• Results Sorting: Backend sorting by ExternalTradeID / Trade Type in Calculation Results
• Date Labels: “Curve / Valuation Date” renamed to “Curve Date” and “Valuation Date” respectively
• MD Dashboard Outputs: Improved outputs for MD dashboard list and tasks
• Relevant Data Column: Dashboard list shows whether Relevant data only was applied
• Terminology: “Relevant portfolios only” renamed to “Relevant market data only”
• Test Updates: Updated tests after resolution scope removal and cleanup
• Grid Sorting/Filtering: Enable sorting and filtering on all MD/VD task‑clearing grid columns
• Button Counts: Always show counts on buttons for filtered/selected rows
• Horizontal Scrolling: Task‑clearing grids support horizontal scroll and drag
• Org List Counts: Counts added to company/entity/portfolio list window
• Bulk Non‑MTM Upload: NonMtmPortfolioUploadService supports bulk like PortfolioUploadService
• DKK3M Nodes: Added new node types to DKK3M curve
• Dashboard Grid Simplification: Removed expand/collapse from dashboard grid
• Stable Stats Window: Stats window size is no longer dynamic in XM tasks
• Smoother View Switching: Clear existing FE data while reloading on view switch
• Preferences Terminology: “Discounting Settings per Trade Type” renamed to “Index Mapping Rules for Discounting”
• Reset Break Test Forms: Break test definition forms reset properly
• Faster Task Navigation: Optimised navigation to a trade from a task

Resolved Issues

• Inflation Conventions: Use One/One instead of 1/1 to improve CSV export
• Offshore OIS References: OISOISXCCY nodes now reference Offshore OIS index correctly
• Dashboard Status Reversion: Status returns to In‑progress when tasks are re‑run
• Reactive Filtering: Surrounding tables update immediately after main table filtering
• Open Multiple Tasks: Multiple tasks can be opened without header‑too‑large errors
• Tasks View Filterable: XM tasks view supports filtering
• CLP Accrual Consistency: CLP accrual rate calculations align with accrued method
• Process Completion Marking: Dashboard marks completed on top‑level ProcessDoneEvent
• Preliminary Phase Completion: MD XM phase set to Completed when no preliminary breaks
• Dynamic Columns Sorting: Sorting/filtering works on dynamic ExternalId/Custom Field columns
• Audit Log Dates: Correct date formatting when count column has a value
• Large Dashboard Handling: Prevent Mongo >16Mb document rejections for large MD dashboards
• Task Definition Optionality: Not all fields required in task‑definition grid table (ZOHO 231)
• Permissions Enforcement: Removing Dashboard Admin prevents Exception Management settings updates
• Projection Curve Display: Correct projection curve shown in calibrated curve configuration
• Onboarding UI: Removed Collapse/Expand all button
• NAV Table Refresh: NAV table refreshes on anchor date change
• Back Navigation from VD Tasks: Navigation back to dashboard restored from VD tasks
• Portfolio Date Filters: Date filters work in Portfolio Trade List
• VDG Values Count: Values count on VDG list reflects settings
• Tree‑select Isolation: Tree‑select only uses its own dropdown values
• VD Inside VDG: View Valuation Data within a VDG when trade‑level NAV data present
• Back Navigation from Trade: Back works after navigating from a dashboard for all trade types

Data migration

• v2.02.0_01 Create database views supporting the new Entity Level NAV feature. These are recreated on every launch.
• v2.02.0_02 Add new index to ipvDataValue
• v2.02.0_03 Add new index to companyLegalEntityNav (new collection)
• v2.02.0_04 Add new index to nonRequiredProviderData (new collection)
• v2.02.0_05 Update all records in exceptionManagementSettings to set default NAV level to TRADE_LEVEL
• v2.02.0_06 Add new vdkPrefix property to all records in companyLegalEntity
• v2.02.0_07 Add new index to portfolioItem to replace existing valuationDataKey index

All changes

This patch release offers performance improvements for large datasets and resolves several issues related to onboarding dashboards and logs.

Improvements

• Enhanced Import Performance: Significantly improved speed when importing large numbers of trades across many portfolios
• Faster Duplicate Trade Processing: Optimized performance for replacing duplicate trades in large datasets
• Improved Dashboard Navigation: XM dashboards now load immediately with faster refresh times
• Seamless Portfolio Navigation: Enhanced performance when navigating through portfolio lists with many portfolios

Resolved Issues

• Dashboard Creation: Fixed UI issue preventing creation of VD XM dashboards for large numbers of portfolios
• Deal Level Overrides: Onboarding dashboards now work correctly with trade level provider mappings
• Report Display: Onboarding dashboard frontend now displays column view of break tests similar to other dashboards
• Expanding Logs: Fixed ability to expand logs in the Show Logs window (regression issue)
• Larger Dashboards: Resolved issue where large MD dashboards created MongoDB documents exceeding 16MB limit
• Transaction Handling: Fixed portfolio import transaction errors preventing successful completion
• Null Value Processing: Resolved ClassCastException when processing null values in workflow entities
• Avoid Timeouts: Fixed company import timeout issues when operations exceed configured limits

Data migration

The data model will be automatically migrated as follows:

• Index added to portfolio collection to improve performance for large datasets.

All changes

This major release includes exciting updates and improvements across all parts of Xplain:

New features

1. Forward Rate Agreements (FRA): Added support for FRA as a new product type for enhanced trading capabilities
2. Portfolio-Driven Market Data XM: Market Data exception management now works directly with your portfolios for better integration
3. Redesigned Action Menu: Streamlined exception management interface for easier navigation
4. Separated Workflows: Split Market Data and Valuation Data exception management into distinct workflows for improved user experience
5. Enhanced TRS Management: Separated Total Return Swap and Market Data exception management for better specialization
6. Interactive Charts: Added visual distribution charts for Market Data exception management results

Improvements

• Enhanced Data Validation: Added zero value break testing for improved data quality checks
• Better Organization: Companies, entities, and portfolios now appear in alphabetical order in Valuation Data Dashboard pricing slots
• Consistent Precision: Calibration results now display consistently to 5 decimal places across all views
• Flexible Team Management: Global Approval and Resolution Teams now work as default teams with the ability to add custom teams as needed
• Improved Session Management: System requests no longer interfere with user session timeouts
• Reset Functionality: Added ability to reset applied approvals for both Market Data and Valuation Data exception management
• Enhanced Override System: Completely redesigned Valuation Data override functionality for better usability
• Better Column Display: Improved Break Test Type column presentation in Market Data results
• Dashboard Toggle: Added option to view either recent dashboards only or all dashboards (Market Data, Valuation Data, and Batch)
• Improved Visual Cues: Break test column groups now use color coding only where relevant in task-clearing views
• Currency Pair Display: Cross-currency trades now clearly show the underlying FX rate currency pairs
• Performance Optimization: Improved system performance for company portfolio settings

Resolved Issues

• System Stability: Resolved logging issues that could cause excessive system messages
• Import Defaults: FX Options and FX Collars now correctly default Premium Payment Date to Trade Date during import
• Dashboard Completion: Valuation Data exception management dashboards now complete properly even when no data providers are configured
• Translation Updates: Added missing translations for TRS trade date columns and undefined data sources
• Configuration Dropdowns: Credit index tranche override dropdown now correctly shows Sectors in curve configuration
• Data Cleanup: Deleting Net Currency Simulation results now properly removes associated PV calculations
• Lock Management: System no longer retains outdated lock information beyond 24 hours
• Column Population: Custom trade columns for FX Swaps and Collars now only populate for relevant products
• Resolution Access: Resolution field is now properly accessible in Market Data Dashboard for individual scope
• Portfolio Counts: Archived portfolios are now correctly excluded from company portfolio counts
• Error Handling: Fixed system errors related to missing data properties
• Filter Functionality: Added ability to filter TRS Valuation Results by underlying instruments
• Instrument Types: Market Data tasks now properly display only Interest Rate instrument types in the “Instrument type” column
• Archive Management: Archiving a company now properly marks all underlying portfolio trades as archived
• Provider Mapping: Valuation Data exception management dashboards now complete correctly when providers aren’t mapped to specific trades
• Navigation: “Back to dashboard” button now works correctly on Valuation Data exception management Portfolio results
• Task Filtering: Exception management task views now support proper filtering
• Service Dependencies: Resolved system injection errors for trade swaption services
• Process Completion: Dashboards now correctly mark as completed when the main process finishes

Data migration

• v2.01.0_01 Remove historic cached lock records from Hazelcast: LOCK_STATE cache
• v2.01.0_02 Update all portfolioItems and portfolioItemEntity records where the corresponding portfolio is marked as archived. If there are a large number of archived portfolios containing a large number of trades then this migration may exceed the maximum size of a transaction. In this case the change can be skipped by inserting a record in mongockChangeLog.

All changes

This major release includes exciting updates and improvements across all parts of Xplain:

New features

1. Enhanced Calculation Views: Added underlying column details to Compared Calculation & client PV comparison pages
2. New Currency Support: Added Israeli Shekel (ILS) and South Korean Won (KRW) overnight index swap curves and conventions
3. Streamlined Market Data Workflow: Improved data management and processing
4. Faster Performance: Enhanced curve calibration and valuation speed
5. Better Task Management: Improved user experience for clearing tasks in Market Data and Valuation workflows
6. Simplified Curve Generation: Removed technical requirements for INDEX_BASIS curves in hybrid curve creation
7. Extended Currency Support: Added delivery dates and tenors for Canadian Dollar 3M, Australian Dollar 3M, and New Zealand Dollar 3M futures
8. New Trading Instruments:
   • FX Collar trades
   • FX Swap trades
9. Enhanced User Interface: Added helpful tooltips for form fields
10. Fresh Design: Complete Xplain 2.0 visual rebrand

Improvements

• Clearer Column Names: Renamed INF01 output column in PNL Explain results to CS01/INF01 for better clarity
• Smarter Data Management: When you delete PNL Explain results, associated PV calculations are automatically removed
• Better Number Display: Removed percentage formatting for par rates in calculation results and valuation data
• Enhanced Portfolio Management: You can now delete Net Exposure calculations and their underlying valuations
• Improved FX Options: FX Option amounts are no longer restricted by Trade Currency settings
• Better Currency Defaults: Changed default currency setting to Trade Currency instead of Reporting Currency
• Improved Selection: Clicking items in tasks now adds to your existing selections instead of replacing them
• Clearer Button Labels: Apply and Submit buttons now always show counts for better clarity
• Smarter Task Management: Refresh button now automatically assigns new items to the current user
• Consistent Translations: Aligned timeline step translations across IPV and Market Data dashboards
• Better Filtering: Added translations for Market Data resolution filters
• Streamlined Data Sources: Removed fallback to preliminary data in Valuation workflows

Resolved Issues

• Improved Schedule Handling: Fixed short initial period calculations to prevent duplicate accrual schedules
• Better Performance: Resolved task reloading issues when scrolling
• Enhanced Accuracy: Improved Chilean Peso calculations to match Bloomberg standards
• Better Comments Display: Resolution and approval comments now always appear in individual scope view
• Error Handling: Portfolio valuations continue working even when individual trades have configuration issues
• Correct Time Display: Fixed option expiry time display in trade lists
• Override Capability: You can now override valuations after successful dashboard runs
• Date Calculations: Fixed expiry date adjustments in FX volatility surface displays
• Curve Shifting: Properly apply shifts to Far Leg instead of Near Leg for FX Swap nodes
• Delta Calculations: Bucketed Delta Forward now includes individual Delta Forwards for each underlying FX Forward
• Currency Exposure: Fixed net currency exposure calculations when multiple trade types are selected
• Cashflow Versioning: Resolved version conflicts in net currency cashflow calculations
• Enhanced Tooltips: Rate information now displays correctly when hovering over curves
• Consistent Interface: Standardized resolution translations across all dashboards
• Better Task Details: Bid/Ask types and Market Data Group names now display clearly
• Data Validation: Prevented incorrect currency curve configurations
• Security Updates: Resolved security vulnerabilities
• Workflow Logic: Improved overlay process handling and phase management
• Error Resolution: Fixed various system errors and type conflicts

All changes

This patch release resolves issues with z-score tests, valuations of matured credit trades, and display of dashboard results.

Changed items marked with (*) will impact the valuations of products within Xplain.

Resolved Issues

• Matured credit trades now always have a clean PV and accrued value of zero. (*)
• Z-score tests now function correctly.
• A problem where dashboard results included portfolios that had no applicable trades has been resolved.
• Fixed a display error where dashboard result data was missing from All XM Results tab.
• A problem where filtering was not applied to the valuation metrics tables has been resolved.

All changes

This patch release resolves issues with TRS calculation results display, CLP/COP curve calibration and Hazelcast configuration in non-cloud environments.

Improvements

• An index has been added to speed up queries for showing the dashboard status that are run repeatedly.

Resolved Issues

• CLP/COP curves now calibrate with smart initial stub convention in circumstances where they previously did not.
• TRS valuation results now display correctly when calculating multiple trades.
• A Hazelcast serialization error when acquiring locks whilst running with external Hazelcast configuration has been resolved.

All changes

This release adds some user-requested features but primarily focuses on improving the user experience and performance of the Valuation Data Dashboard.

Please note, IMM-FRA MDK definitions should be re-imported with updated “InstrumentType”: “ImmForwardRateAgreement” -> “IMMForwardRateAgreement”.

The data model will be automatically migrated as follows. Please note there is no downgrade path for this migration:

Note that if there are any existing market data keys for HUF-FIXED with hyphens instead of underscores, they should be manually removed prior to the migration.

Changed items marked with (*) will impact the valuations of products within Xplain.

New features

• Credit trades now use market standard accrued and clean price calculations. (*)
• The publication offset days for CHF SARON has been set to 1. (*)
• You can now filter on more Trade Details columns, and on P(x) PV(t), P(x) PV (t-1), in the Task Views.

Improvements

• The information presented on the valuation data dashboard overview has been optimised for relevance.
• It is now possible to rerun updated only in valuation dashboards.
• The accrued calculation for TRS Overnight legs is now in line with Swaps. (*)
• Valuation dashboards can now include Xplain-valued trades.
• Par Rates now return blank fields in the export when a trade is matured.
• HUF_FIXED_3M_BUBOR_3M has been renamed to HUF-FIXED-3M-BUBOR-3M.
• New views have been added to the valuation data dashboard results: “ALL XM RESULTS” and “ALL XPLAIN RESULTS”.
• The item selection box in the Valuation Data Dashboard is no longer attached to the VDG Pricing Slot column.

Resolved Issues

• Sorting in the Dashboards now works on all pages.
• It is now possible to edit user-made view task configurations.
• A problem where IMMForwardRateAgreements nodes did not calibrate has been resolved. (*)
• It is now possible to manually add a custom FX Ref Security.
• The allocation notional for FXOPT Ref Sec now applies to the FX Option Notional.
• Par Rates for Inflation swaps now return a value in all cases. (*)
• A problem where Greek scaling did not use trade currency for Delta and Vega has been resolved.

All changes

This major release, applied to all environments, includes updates to all parts of Xplain:

Valuation Data Provider Mapping

• Imports for:
  • Companies (Company definition + (Optional) SLA Deadline, Valuation Data Group, Market Data Group, Curve Configuration)
  • Entities (Entity Definition + (Optional) SLA Deadline, Valuation Data Group, Market Data Group, Curve Configuration)
  • Trade Override Provider and VDG mapping
  • Optional attributes for companies / entities will default to Xplain/ Company Settings if no Curve Configuration is defined + Reporting Ccy

Valuation Data Dashboard

• Introduction of a bespoke workflow engine
• User defined clearing grid views
• Interactive Distribution Graphs
• Additional Metrics showing task progress, Trades with breaks, Tests that have been applied
• Dashboard Task Clearing screen layout improvements

Valuations

• Addition of GB CPI LCH to Xplain
• Addition of new XCCY conventions (FixedOvernight, OvernightOvernight, IborOvernight)*
• ZOHO 186: Lenient .CSV parsing mode for imports
• ZOHO 197: IMM FRAs DKK6M, NOK6M, NOK3M, SEK3M*
• ZOHO 213: Addition of T0 Cfs (IA) columns to results
• ZOHO 228: CDS accruals getting dropped a day before IMM date (for example on 19th Mar2024)*

Misc

• Move all of the Settings pages in Xplain to be under a new Preferences Menu item

Data migration

• All records in ipvDataGroup: add new property ‘allowAllCompanies’ set to false.
• All records in ipvTaskDefinition: add new trade types to set in property ‘teams’.
• Add indexes to instrumentResultOverlay and instrumentResultPreliminary: status_dashboardId_DEFAULT_SORT (overlay only), taskId_status_hasBreaks_DEFAULT_SORT
• Replace index fixing.archivedAt_1 with archivedAt_recordDate_data_reference.
• Add indexes to dealException and dealExceptionEntity.
• Add indexes to wfProcessExecution, wfStepInstance and ipvTradeResultOverlay: wfProcessExecution: processId_businessKey, parentStepInstanceId_triggered, processId_parentBusinessKey_currentState.vdg.entityId_currentState.trade.productGroup wfStepInstance: processId_status_reportable_stepId, processId_businessKey_reportable, executionId_reportable ipvTradeResultOverlay: valuationDate_phase_trade.key

Improvements

• Remove PV Pay/Receive leg for FXO
• Export and show Option Type for FXO in the valuation results
• Addition of GB CPI LCH to Xplain (*)
• Triangulation currency should be shown in valuation results
• Change the case of Rates & Credit Sectors in Task Granularity settings
• The name automatically generated for MDK Offshore needs to be amended
• Should allow to perform multiple same portfolio valuations at the same time
• Add T-1 Greeks to the palette of available fields for task clearing views
• Add custom fields and external identifiers to task clearing views
• Update Hazelcast to 5.3.6 across cloud envs
• Display the underlying when in Simplified View in Valuation Data Dashboards

Resolved Issues

• ZOHO 236: DB Sort Memory Error on export of Market Data Exception Management Results
• Error should not be duplicated in the error log in Xplain
• SENTRY: Trade EUROIS_5Y pv is null
• Fix OWASP vulnerabilities
• Spurious locking errors should not be seen while running long imports in cloud environments
• Only overrides belonging to the currently viewed break test should be shown in the overrides panel
• The OVERRIDE VALUATION button should not be disabled when the checkbox is clicked
• The options bar should work when inside fx volatility skew
• Cannot invoke “org.springframework.security.core.Authentication.getPrincipal()” because “user” is null
• Missing translation key: pnlExplainResultList.notification.calculationInProgress
• Pnl calculations should not fail if individual trades fail
• Allocation trades created at portfolio level should have restriction on the sign of the allocation notional that should always be positive
• Previous Day Valuation Data Delta values not being used in XM
• Trade Ccy should be harcoded to the single trade ccy where applicable
• TradeCcy for a loan note should be harcoded to the single currency of the trade
• When comparing PVs, a user should be able to compare the charts
• Amend the Stub Convention to be Smart Initial for COP/CLP (*)
• Cap/floor should show in calculation result export or UI

Items marked (*) affect valuations

All changes

This patch release fixes an issue blocking the exception management of zero month CDS nodes, and adds “Option Type” to calculation results.

Improvements

• Option Type (CALL vs PUT) will now be shown in the trade valuation results UI and export.

Resolved Issues

• 0M CDS nodes will now be able to be exception managed.

All changes

This patch release resolves an issue in loading market data providers where new versions could be created even if the provider tickers were not changed.

Resolved Issues

• New versions will no longer be created due to incorrect change detection of BigDecimal ‘factor’ on MDK provider tickers

All changes

This patch release resolves an issue in the valuation of FX Options and FX Forwards, where Par Rate (and Underlying Fx Rate in the case of FX Options) were reported using an FX Rate in the conventional order, irrespective of the trade underlying FX Rate (i.e., base/counter).

Resolved Issues

• Par Rate and Underlying Fx Rate will now be reported in line with the trade underlying fx rate.

All changes

This major release, applied to all environments, includes updates to all parts of Xplain:

1. An extension to the Managed Identifier Sources; and
2. PnL Explain; and
3. Addition of NAV Effective date for Onboarding Tests; and
4. The introduction of Configurable Task Clearing Grids; and
5. Custom Asset Position and Underlying; and
6. Explicit FX Trade Currency; and
7. TRS Valuations without Reporting Currency output; and
8. Addition of permissible values to Credit Index to allow for CMBX; and
9. An Option expiry report feature; and
10. Ability to view and export FX vol surface in call/put delta terms besides in RR/BF Terms; and
11. FX Vol interpolation using 1 delta or 3 delta or 5 delta pillar points; and
12. FX vol skew view and export in call/put delta terms; and
13. Export ZC/DF/Price Indices at EOM; and
14. Add Market Rate rates to the EOM Price Index Export and export EOM DF/ZC from Valuation Results for curves; and
15. MYR & MXN offshore curve to be added for offshore MYR swap valuation; and
16. Remove the requirement of having data in a Valuation Data Group in Xplain valued portfolios when running XM.

Data migration

The data model will be automatically migrated as follows:

• Rename curveStripping to strippingType (all records in globalValuationSettings, companyValuationSettings, companyLegalEntityValuationSettings)
• Populate identifierSource with ALL external source IDs from all external identifiers (reads all records from portfolioItem, secMasterTradeReadEntity and nonMtmPortfolioItem, writes distinct values)
• Update seasonality price indexes from e.g. GB CPI to GB-CPI (10 updates on records in inflationSeasonalitySettings)
• Add explicit trade currency field to ALL trades in portfolioItemXXX and secMasterTradeXXX (large update: reads all FX trades, updates all trades both read and write entities)
• Update FX discount currency order to EUR, GBP, AUD, NZD, USD, CAD, CHF, JPY overwriting all existing settings (all records in curveStrippingProductSettings)
• Add custom attributes read permission to all roles (all records in role)
• HARD DELETE “NOTIONAL” valuation data provider and values (1 record from dataProvider, all associated data from ipvDataValue)

Improvements

• Add a new “Discount Ccy” column in the Trade Summary section to specify what the discount ccy is
• The data providers and exception should be in alphabetical order in the curve configuration list summary
• Add the option to select all Bid/Mid/Ask on the curve calibration page
• Ensure 01 results are sorted by curve name in the export
• Improvement to the Calibration warning when bilateral/cleared curves are not found
• Add new “Spot01” tab in U/I in calculation results (METRICS window)
• Add 20th November as holiday to BRBD calendar ongoing
• Improve data display of the Onboarding information in trade panel
• Inflation curves (cleared / non-cleared) should use the same seasonality adjustment
• Move Protection and Option Position from security master to allocation trade
• Add ITRAXX EUR XOVER Tranches
• Refinement of TRS Calculation form
• CSA Ccy, Discount Ccy and Trade Ccy should fall under the “Trade Summary” category in the calculation result window
• Revised specs for FXOPT and FX FWD to allow any FX underlying and bespoke trade ccy
• Add validation for FX Volatility skew deltas (duplicate/order) Note: FX volatilities should be determined for market standard FX Currency Pairs only (i.e. pecking order or lexicographical order, as applicable). For example, SGD/CHN should be used, not CNH/SGD

Resolved Issues

• A user should not be able to expand a row in the logs with 0 items
• Allow market data break test threshold of 0
• Sentry Error - ClassCastException AuthenticationContext in currentUser
• The values in curve shift should be visible for Bid/Mid/Ask data
• We should have versioning option when importing correlation points
• Add XccyIborOvernight permissible values in FE
• XVA proxy kafka auth issue
• Fix company/entity valuation settings CSA discounting flag
• Market Data should refresh when changing Curve date, or anchor date
• The CLP PV01 Should be the “correct” value
• Address OWASP vulnerable JavaScript libraries
• Address OWASP vulnerable Java libraries
• I should be able to manually add and import 0M Credit Curve Nodes
• The CSA Discount CCY selector should be linked to the Company/Entity Settings preference
• The Curve shift functionality should work on FX Swap nodes
• Custom fields should use “Custom Field.” prefix for column headers
• Loss of network connectivity causes browser to hit 50% instantly retrying
• It should be possible to manually add a Credit Index Tranche to Xplain through the UI
• The values inside Instrument type should be the lower case versions
• SecMaster external trade ids should be visible
• Basic Custom field permission should be initialised for all roles.
• Onboarding Break Test Threshold Not Displaying in List
• API incorrectly exposes ProductType and other enums as object - should be string
• Preliminary Market Data should be displayed correctly in Curve Configs
• Automatically expand Comment when in individual resolution
• Cashflow ccy should have distinct discount factors in the metrics cashflow table for Offshore vs Onshore trades or if CSA Ccy is applied
• Opening column settings breaks row expansion
• The calculation results should show the curve configuration, not the curve group
• Non-numeric MD Break Tests without provideType should still show as broken
• Tooltips should show the correct data
• Importing FX Skew file with only 1 of two deltas specified should be allowed
• Resolve the Type error when entering a task (valuation date)
• The overall VD verification process doesn’t properly consider the selected IDs.
• It should be possible to import FXO with base ccy CALL when paying base ccy
• Export display should export all the decimal places (it now only exports whats seen)
• Notional should be FX’d when REPORTING_CCY is chosen for dashboards
• Narrow overlay stage to only keys relevant to curve configuration
• Fix CVE-2024-22257

All changes

This patch release resolves an issue in the valuation of overnight swaps linked to an index with a 0-day publication date offset (e.g. COP OIBR). For these swaps, if a fixing was not available as of the valuation date, the previous day’s fixing would be used, instead of using the fixing value implied from the curve bootstrapping (which was the case in 1.8.4). This was true even when the “Exclude fixings from valuation date” toggle is set to true (in XPLAIN DEFAULT VALUATION SETTINGS).

Resolved Issues

• The previous day’s fixing will no longer be used in place of missing fixings as of the valuation date for overnight swaps linked to an index with a 0-day publication date offset.

All changes

This patch release resolves an issue with dashboard task re-run and includes some security updates to library dependencies.

Data migration

This release contains no new database migrations but improves the performance and reliability of migrations from previous 1.9 releases, making it a more robust direct upgrade path from 1.8. We recommend adding the following index before migration:

db.getCollection("ipvTradeResultOverlay").createIndex({
  "dashboardId" : 1
}, {"name": "dashboardId"});

Improvements

• Upgrades to dependencies to pick up security fixes.

• Resolved Issues

• An issue with the re-run of valuation data dashboards has been resolved.
• Change units have been updated with performance improvements.

All changes

This patch release adds a permissible option for Swaptions which was missing from previous releases and resolves a number of issues relating to exception management dashboards, TRS and fixing replication in simulations.

Improvements

• Add AUD-BBSW-3M to the list of permissible options when adding a Swaption

Resolved Issues

• TRS market data now prices correctly with Bid or Ask values when requested.
• Valuation data dashboards complete and consume t-1 data correctly in cases where they did not previously.
• Amendments to how fixing replication is handled in simulations.

All changes

This patch release adds a permissible option for Swaptions which was missing from previous releases.

Improvements

• Add AUD-BBSW-3M to the list of permissible options when adding a Swaption

All changes

This major release, applied to all environments, includes updates to all parts of Xplain. It also introduces a number of new features, particularly for Xplain^XM:

1. Ability to create valuation data exception management dashboards by Pricing Slot, and organise clearing by SLA Deadline; and
2. A second overlay phase in valuation data exception management, allowing two-stage clearing with different break test configurations; and
3. Graphical visualisation of break test result distribution; and
4. Choice of trade or reporting currency for valuation data exception management; and
5. Ability to value portfolios using trade-level CSA discounting; and
6. Trade onboarding history visibility; and
7. Ability to export ZC Rates, FWD Rates and Discount Factors for month ends; and
8. Support for OAuth 2.0 refresh tokens with session timeout; and
9. Support for 0M nodes in CDS Credit Curves; and
10. PV, theta, gamma, delta spot and delta forward are now expressed in the trade base currency.

Most IdPs will issue refresh tokens if the behaviour is enabled for the client application and offline_access is added to the OAuth scope by modifying the AUTH_SCOPE environment variable. Enabling refresh tokens will keep user sessions alive while they are inactive but Xplain will still time the user out after a period of inactivity.

Configuration file options

There are new configuration file options. The new configuration options are:

app.setup.environment-name: local
app.setup.reset.enabled: false
# Other app.setup.reset.* properties not documented here.

app.xva-settings.hull-white-mean-reversion: 0.03
app.xva-settings.time-end: 50
app.xva-settings.simulations-for-xva: 1023
app.xva-settings.simulations-for-pfe: 1023
app.xva-settings.pfe-percentile: 0.95

The first property configures a logical name for the environment. All Xplain cloud environments are configured with appropriate logical names. app.setup.reset.enabled controls the availability of functionality to reset (wipe) and setup a base dataset in the database. This functionality is only available in test, demo and sandbox environments. There are a number of other app.setup.reset.* properties which further configure the reset behaviour in those environments. Note that a user must have Admin permission in the CLEAN_UP category to access this functionality.

The remaining new settings apply to Xplain^XVA.

Data migration

The data model will be automatically migrated as follows. Please note there is no downgrade path for this migration.

• Company/entity valuation provider settings are migrated from a map to a list
• Dashboard and results are migrated to match those started from pricing slots
• New contractual term granularity added to VD task settings
• CSA discounting settings added
• Existing VD break tests and dashboard tasks defaulted to Overlay Phase 1.
• Legacy database collections no longer used by the product are dropped
• Performance-enhancing indexes added to calculation result, market data values and all versioned entities.
• Calculation result curves split to a separate collection from the calculation results.
• genericTradeDetails renamed to customTradeDetails for consistency.

Changed items marked with (*) will impact the valuations of products within Xplain.

New features

• offline_access scope is supported and the timeout feature now works correctly in the case where refresh tokens are available from the IdP.
• PV, theta, vega, gamma, delta spot and delta forward in FXOPT+FXFWD valuations are now expressed in the base currency of the trade. (*)
• Valuation data Xplain^XM dashboards are now started by Pricing Slot; which can now be configured with trade type granularity for a company or entity. SLA Deadlines are shown when clearing breaks.
• A new CSA Currency trade field has been added, and valuations can now be discounted using the CSA currency. (*)
• It is now possible to add 0M nodes to credit curves, which are dropped when matured.
• A second overlay phase can now be configured in Xplain^XM for valuation data dashboards. This phase has its own set of break tests, and takes its primary provider data as the output from phase 1.
• Valuation data clearing tasks now show the breaking test value distribution in a graph.
• A new global setting in EXCEPTION MNGT/SETTINGS/TASK MANAGEMENT/VALUATION DATA allows for Xplain^XM valuations to be treated as being in trade currency instead of reporting currency.
• When viewing a trade which has been flagged for onboarding, the date and status of the trade on its recent onboarding report is now shown.
• ZC Rates, FWD Rates and Discount Factors can now be exported with dates at month end, through new export menu items for both individual and lists of curves.
• Inflation initial and final indices are now shown on valuation results.
• A number of new curves and conventions have been added, including offshore curves for BRL, CLP, COP, MXN and KRW.

Improvements

• When importing credit curve definitions, existing nodes are retained, which reduces creation of redundant versions.
• When importing market data key definitions, existing provider mappings are retained, which reduces creation of redundant versions.
• On approval tasks, it is now possible to filter and view only those entries which are in Waiting Approval status.
• The default long name when creating MDK definitions for credit index and credit index tranche should include SPREAD or UF.
• Working days are now shown on when viewing a Holiday Calendar.
• External Trade IDs can now include any visible Unicode character and space.
• Database performance improvements across the application, particularly for calculation results and market data load.
• The Corp Ticker for CDS curves & Trades and Counterparty trade attribute is now converted to upper case prior to saving.
• Trade currency is now shown explicitly on calculation results.
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• A problem where tables do not refresh automatically after actions have been performed has been resolved.
• Fixed a problem where the trade list could not be filtered by columns in the Custom Trade group.
• The long name is now shown correctly in lists for Credit Index and Credit Index Tranche curves.
• Fixed a problem where a resolution task could not be re-submitted if it had previously been rejected.
• Improvements to the reliability of stale value break tests which could show false breaks in some circumstances.
• Credit curve charts are now shown as expected for all price requirements.
• The link to Xplain valuation results on a dashboard is now updated correctly following a re-run with new valuation.
• It is now possible to re-run dashboard tasks which did not result in a break on their original run.
• The rounding tolerance where sensitivities close to zero are filtered out, to avoid floating point noise causing spurious data, to appear has been tightened.
• This version also contains other improvements to performance, testing, maintenance and reliability.
• Fixed a problem where break tests could not be displayed on market data exception management results which had both preliminary and overlay breaks.
• Previous day’s fixing is now used if fixing isn’t available on publication date in overnight accrued interest calculations.
• When creating offshore calibration trades, Leg1.Offshore is now set to TRUE.
• A problem with the display of inflation curve charts has been resolved.
• NAV FX calculations will now correctly use non-overlay FX rates.
• Fixed a problem where “switch to” options were missing in Individual resolution scope.
• This version also contains other improvements to performance, testing, maintenance and reliability.

All changes

Patch release to relax a tolerance which was preventing curve calibration in some circumstances, and adjust accrual schedules in Xplain^TRS.

Improvements

• The Newton-Raphson tolerance has been relaxed to allow a wider range of curves to be calibrated.

Resolved Issues

• TRS accrual schedules now take into account holidays for payment dates.
• Fixed an issue where dashboard entries with previously-broken tests still had to be resolved after passing on re-run

All changes

This patch release addressed problems with valuations using clean market data and an upgrade to a UI dependency.

Resolved Issues

• Dropped duplicate MDKs generated from IborFixingDeposit nodes across offshore and onshore IR curves during market data cleansing.
• Reverted table colour changes that occurred due to an upgrade of Bootstrap.

All changes

Patch release fixing potential data migration issue when upgrading to version 1.8.0 from older versions of Xplain. There is otherwise no difference between version 1.8.0 and 1.8.1.

This major release, applied to all environments, includes updates to all parts of Xplain. It also introduces a number of new features:

1. CR 11 System wide search
2. CR 14 Exception Management Partial Submission
3. CR 15 Exception Management Valuation Data Reapproval
4. CR 17 Multiple Trade IDs
5. CR 18 Ability to add custom holiday calendars
6. CR 23 Exception Management Ageing
7. CR 29 Manual Valuation Data Override
8. CR 36a Credit Index Tranche product type
9. P2 2 NAV, Notional Break Test Scaling
10. P2 3 Multi-level Tolerances
11. MID_ONLY Market Data mapping
12. Pricing Bilateral and Cleared Inflation trades in the same portfolio (*)
13. XCCY IBOR overnight swap conventions
14. Allow 3M & 9M to be permissible nodes in Credit Curves

There are new configuration file options.

• control the tolerance used when determining if a trade value has changed (for the purposes of re-running dashboard tasks for updated values)
• configure the Hazelcast topic name used for cluster broadcast events
• Updates are highlighted in blue in the separate Xplain v1.8.0 Configuration Documentation.
• Note that this version requires the system timezone to be configured as UTC.

The data model will be automatically migrated as follows. Please note there is no downgrade path for this migration.

• Market data preliminary resolution and breaks, and raw value, duplicated on overlay result collection.
• Break test thresholds are migrated from a single value per test/override to a list of values, and existing dashboard entries have the triggered threshold populated.
• Dashboards updated to include started and finished timestamps.
• NAV and NOTIONAL pseudo-providers added to support loading data for scaling
• Dashboard task status IN_PROGRESS changed to IN_RESOLUTION and entry status PENDING changed to WAITING_RESOLUTION
• CREDIT_INDEX type added to existing credit curve nodes
• New permission added to all existing roles to grant read-only holiday calendar access
• Pricing slot defaulted to OTHER for all valuation data groups and SLA deadline defaulted to OTHER for all companies and entities

Changed items marked with (*) will impact the valuations of products within Xplain.

New features

• It is now possible to search for a TradeID or External ID via the new system wide search
• Exception Management tasks are now automatically partially submitted, removing the requirement to complete the entire overlay phase prior to being able to access results
• During a valuation data dashboard, it is now possible to restart or re-run a task
• A user now has the ability to add Multiple Trade IDs through the UI or via an import file
• Holiday calendars are now able to be updated via an import file
• A new column has been added within a task displaying the number of concurrent days a test has broken for the specific VDK or MDK.
• After the completion of a valuation data dashboard, it is now possible for a user to override a valuation without the requirement of additional verification. A new role has been added to accomodate this.
• Credit Index Tranche product type and curves have been added
• New scaling for Valuation Data Dashboards have been added: NAV and Notional
• MID_ONLY Market Data mapping
• It is now possible to pricing bilateral and cleared inflation trades in the same portfolio
• XCCY IBOR overnight swap conventions
• Allow 3M & 9M to be permissible nodes in Credit Curves

Improvements

• Offshore curves should discount using USD (*)
• Prevent application startup if user.timezone != UTC
• The comment box when choosing individual clearing mode should always be shown on VD and MD tasks
• Remove the spaces in Price Indexes / ZC/FWD Rates
• Operators update across all break tests and Value Break Test
• For FX task granularity, all references to “Domestic” / “Foreign” should be replaced by “Base” / “Counter”

Resolved Issues

• MD Batch Dashboard results table shows ERR
• VD XM task granularity with custom credit by sector/trade type applies wrong override
• When CNH is selected a currency the Index and calendar should update
• Xccy Fixed Fixed should work
• Hovering over evidence file in XM dashboard MD results should show file name in tooltip
• Major version of custom trade as of anchor date should not be visible when date < anchor date (via versions navigation)
• IllegalArgumentException: Unable to find Overnight index curve: INR-OMIBOR
• Product type groups in new valuation break test should show the label not the id
• The exception list should not aggregate on anchor date changes in Curve Configuration
• Exporting display in the curve configuration should always correctly export the %age values
• The pie chart should appear on the PV Compare page
• The 1W & 2W Nodes should not clash in curves (*)
• Task clearing view should show checkboxes on rows which can be edited
• I should be able to see the MDK of a curve node in EDIT mode
• Portfolio valuation settings should reflect default settings for bid/mid/ask
• The filters in Market Data Edit should work
• Greeks checkbox not enabled on bespoke entity valuation provider settings

All changes

This patch release addressed problems with viewing curve groups and running calculations with an extremely large number of credit curve versions.

Resolved Issues

• Add “allow disk usage” parameter to mongo sort queries for credit curves
• Add compound index (validFrom -1, recordDate -1) on CreditCurve Collection.

All changes

This patch release addressed problems with viewing curve groups and running calculations with an extremely large number of credit curve versions.

Resolved Issues

• Add “allow disk usage” parameter to mongo sort queries for credit curves
• Add compound index (validFrom -1, recordDate -1) on CreditCurve Collection.

All changes

Patch release for an issue related to the Server Error message when navigating to an FX Vol surface with USD/XAU currency pair, amendments to the list of major currencies and adjustment to the calculation methodology of the expiry dates for short dated tenors in the FX Volatility matrix.

Improvements

• SGD and XAU are now included in the list of major currencies

Resolved Issues

• XAU should be an allowed ccy in the FxSpotDate calculator
• Expiry dates for tenors in D and W in the FX Volatility matrix should be calculated directly from the valuation date (*)

Items marked (*) affect valuations.

Please note, existing USD/XAU XCCY curves will need to be removed prior to installing this release. They can be re-added as XAU/USD XCCY curves.

All changes

This major release, applied to all environments, includes updates to all parts of Xplain. It also introduces a number of new features:

1. Trade valuation history; and
2. Ability to include TRS index market data in exception management dashboards; and
3. Ability to upload evidence when resolving or approving exceptions; and
4. Ability to specify break tests specific to a company/entity/portfolio for valuation data; and
5. Onboarding tests and report for deal cost, market conformity and D1 vendor check; and
6. Ability to create trades with custom asset types; and
7. Visibility of tenor dates for FX volatility points; and
8. Amendment of DV01 calculation for credit products (par rates) to incorporate rate impact on hazard rate bootstrapping. This will affect valuations.

There are new configuration file options. The new configuration options are:

app.evidence.cleanup-cron: 0 0 0 * * MON-FRI
server.compression.enabled: true
server.compression.min-response-size: 1000
server.compression.mime-types: text/csv, text/html, text/xml, text/plain, text/css, text/javascript, application/javascript, application/json, application/xml

The first property controls the schedule for cleaning up orphaned evidence which was previously uploaded but is no longer associated with an exception. The other properties control GZip compression of API response and significantly reduce request size, and therefore bandwidth usage and latency, when returning large data tables to the user. If GZip responses cannot be processed by clients or intermediate proxies, then compression can be turned off by setting server.compression.enabled: false.

The data model will be automatically migrated as follows. Please note there is no downgrade path for this migration.

• Market data key bid/ask setting BOTH is migrated to BID_ASK.
• Market data dashboard collections updated to hold dashboard date, bid/ask type and market data group.
• FXO strike is recalculated on trades to be Counter ccy amount &div; Base ccy amount.

The underlying minimum Java platform dependency for this release has been updated to Java 17 LTS.

Changed items marked with (*) will impact the valuations of products within Xplain.

New features

• Trade views now include a valuation history showing both Xplain^PV calculations and Xplain^XM dashboard results.
• When creating an Xplain^XM market data dashboard, the TRS market data group can now also be specified to run break tests and resolve exceptions on TRS indices.
• Resolvers and approvers can now upload relevant files as evidence, as well as entering a comment, when clearing exceptions on dashboards.
• Valuation data break tests can now be applied to only certain companies, entities or portfolios; and can be overridden.
• New trades can be flagged for onboarding tests including Xplain Conformity, Market Conformity and Vendor Conformity Checks.
• Six new custom asset classes for Rates, FX, Equity, Commodity, Credit and Other have been added. Each has 5 trade types which can be used for a custom purpose, with no Xplain pricing capability. These can all be exception managed in valuation data dashboards.
• DV01 calculations have been rewritten for credit products (par rates) to incorporate rate impact on hazard rate bootstrapping. (*)
• When viewing FX volatility points, the tenor date is now visible when hovering over each point.

Improvements

• TN node is now required if ON node is present for XCCY curves where spot offset = 2 days.
• The T-1 date determined when running a valuation data dashboard is now shown on the dashboard.
• When viewing the list of market data values (in Edit mode) the last updated timestamp and user are now shown.
• CLP, COP, IDR, PHP and XAU currencies have been added.
• Offshore curves have been added for CNY, INR, THB and TWD.
• GZip is now enabled for API responses to improve network efficiency and performance.
• Spring Boot platform has been upgraded to version 3.1, which requires Java 17.
• Upgrades to other dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• A warning is now thrown if an overnight fixing is not available 1 business day before valuation date during accrued interest calculations.
• Selecting Market Data Source = “Overlay” in curve configuration now correctly shows Overlay XM results in nodes
• Resolved a problem where T-1 could change between phases of market data exception management in some circumstances.
• Resolved a problem where certain data could cause Xplain^XVA to fail has been resolved.
• Tasks created with credit sector trade overrides are now allocated to the correct team.
• The strike calculation in FXO trade creation or update has now been corrected to Counter ccy amount &div; Base ccy amount.
• Fixed a problem where the root date could show as “Invalid date” in version history.
• The Entity Valuations Settings “Apply Default” button now works in the same way as the company settings.
• A problem where valuation data dashboard T-1 metrics may be taken from a manual valuation rather than a previous dashboard run has been resolved.
• Fixed incorrect labels on TRS market data settings.
• Calendars on Cap Floor trades now update automatically before saving.
• Calendars are now correctly displayed on Trades Overnight Legs.
• This version also contains other improvements to performance, testing, maintenance and reliability.

All changes

Patch release for issues related to TRS IA Calculation, addition of SHORTTERM nodes for FixedOvernightSwap Conventions with a BDA of Following, the adjustment of the BDA for TERM conventions to Modified Following and the amendment of the Day Count used in the GB-CPI inflation curve.

Changed items marked with (*) will impact the valuations of products within Xplain.

Resolved Issues

• An issue where IA was not calculated if Accrual Calendars and Accrual Offset Days were different across legs

All changes

This major release, applied to all environments, includes updates to all parts of Xplain. It also introduces three new features:

1. Bid-ask pricing; and
2. Valuation simulations allowing the same valuation to be repeated over a defined time period; and
3. Navigation from a valuation data exception management item to the corresponding trade.

There are no updates to configuration file options and the data model will be automatically migrated as follows:

• Company and entity settings gain default Bid valuation settings
• Existing MDK mappings are migrated to type Bid Only.
• Existing market data values are migrated to type Bid.
• Historic XM dashboards have all provider data set to type Bid.
• Change to MongoDB indexes for calculation.portfolioItemId
• Migration updates for Call/Put addition to FXO trades - existing FXO trades are set to RECEIVE unless the domestic currency is in the pay leg

New features

• It is now possible to navigate from a valuation data Xplain^XM dashboard to view the associated trade.
• Market data now supports bid and ask data for each Market Data Key (defaults to Bid). Associated curve configuration, valuation and exception management also support bid and ask mappings.
• A new Simulations tool has been added to run valuations of existing portfolios over a range of future dates and see any errors encountered in so doing. This is intended to help anticipate potential data issues.

Improvements

• Conventions can now be exported through a new menu option Data/Static Data/Conventions.
• FX Options now include an additional Put/Call input field which determines the notional direction.
• If an FX Option is valued after the expiry date, no error is now shown.
• Domestic / Foreign Ccy have been renamed as Base / Counter Ccy respectively.
• A spread is now applied to the base currency when we create a XccyOvernightOvernightSwap in the Calibration Portfolio.
• Default Market Data Group is no longer required to run a valuation data dashboard.
• CZK 3M IR_INDEX curve added.
• DV01 (and other 01) scaling is now consistent with whatever sensitivity is used as delta in exception management.
• Parallel stream processing re-enabled for improved curve calibration performance.
• In exception management tasks lists, DV01/CS01 columns are now labelled as Greeks - 01.
• A new optional Market Data Group column can now be included in Market Data import files. If present, Xplain will validate that the file is being uploaded to the correct Market Data Group.
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• Fixed an issue where allocation trade date export was not consistent with import where the trade date was derived from the security master.
• Fixed issues with valuation data resolution where portfolio items had been archived.
• Loan Notes no longer cause valuation dashboards to fail.
• Fixed an issue where valuation dashboards did not always show the number of breaks on each item.
• Improvements to robustness of valuation result handling so that repeat processing is idempotent.
• TN nodes are now ignored when ON node end date clashes with spot date (FX pairs with spot = T + 2).
• Changed handling of error counts on valuation results to better deal with race conditions.
• This version also contains other improvements to performance, testing, maintenance and reliability.

All changes

Patch release for an issue related to the ERR message in Valuation Data Dashboard.

Resolved Issues

• An issue where the ERR message in Portfolio Valuations table, part of Exception Management Dashboard, showing when more than one portfolio was used.

All changes

This release includes the removal of the differentiation between FX Swap curves and XCCY basis curves, as well as amendments to the rules for determining the payment date from expiry date for FX Options.

Following installation of this release, the following database migrations will occur:

• SHORTTERM FixedOvernightSwap nodes will now become TERM FixedOvernightSwap nodes. The MDKs for these nodes will also be updated to their TERM equivalent MDK. Any updates to the mapped tickers for these nodes since the introduction of SHORTTERM nodes in release v1.4.4 should also be updated manually following this release.
• XCCY_BASIS and FX_SWAP curves have now been merged into XCCY curves, which take the curve naming convention for existing FX_SWAP curves.

CSV Import files will need to be updated for the following changes:

Curves and Nodes

• SHORTTERM nodes no longer exist, please change the relevant nodes to TERM nodes.
• FX_SWAP and XCCY_BASIS are no longer a permissible Curve Type, these have been merged to XCCY curves.

Trades

• 1/1 no longer exists as a permissible day count, please use One/One instead.

Improvements

• Enhanced Curve Calibration Algorithm
• Introduced hybrid curves that combine different curve types or methodologies.
• Updated the terminology of the “1/1” day count to “One/One” in the UI, export, and import functionalities.
• Streamlined the resolution process for valuation data, improving efficiency.
• Assigned a default payment date value of expiry + spot lag for FX Option trades in the user interface (UI).
• Modified the method of generating the payment date from expiry + spot lag for FXO trades.
• Enabled the export of bumped curves for analysis and external use.
• Updated the calculation of IA for TRS trades.
• Introduced an action that displays metrics for individual TRS trades.
• Allowed 1W (one week) as a valid FE value and removed 7D from the Minimum Node Gap field for Interest Rate and Inflation curves.
• Eliminated the process of stripping a single curve with a single currency.
• Implemented the concept of triangulation to enhance curve calibration and valuations.
• Excluded the explicit discount property from curves.
• Added the capability to set an override currency in global settings for FX trades.
• Removed the requirement for users to manually add ON/TN nodes to FxSwap curves.
• Disallowed positive fixing offsets in trades.
• Enhanced coverage of bond yields throughout the valuation process.
• Streamlined the logic for adjusting near dates in Fx Swap conventions.
• Enabled the calculation of XVA metrics for individual trades.
• Implemented measures to ensure the integrity of data used in XVA valuations.
• Implemented updates to XVA MarketFile generation and correlation matrix mapping.

Resolved Issues

• Trade client metrics inconsistency
• VD values should not be shown from the archive date

All changes

This release includes changes to import processing, and other bulk jobs, which may improve reliability in some circumstances. There may be a minor impact to performance observed as a result of these changes.

Resolved Issues

• Change .CSV imports and other parallel operations to run sequentially in cases where it is not certain to be safe to run in parallel. This may reduce or eliminate the occurence of unexpected NoClassDefFoundError exceptions.

All changes

Patch release for an issue related to business day conventions for FixedOvernightSwap nodes, applied to all environments.

Resolved Issues

• An issue where the end date for short term FixedOvernightSwap nodes was adjusting to the same date as the start date due to ModifiedFollowing business day conventions, and therefore resulting in an invalid accrual period, has been resolved. “SHORTTERM” FixedOvernightSwap node conventions, with a business day convention = “Following”, can now be chosen for IR_INDEX OIS curves.

All changes

Patch release for an issue with FXSwaps curve calibration, FXSwap curves will now calibrate on a holiday when an ON Node is present. Released to cloud environments only.

Resolved Issues

• An issue where the start date for FxSwap curve ON nodes would be adjusted when the valuation date is a holiday has now been resolved.

All changes

Patch release for an issue where breakeven metrics calculation failures caused trade valuations to fail. Released to cloud environments only.

Resolved Issues

• Trades can now value when breakeven metrics calculations (such as Par Rate) fail. An error will be displayed in the log to reflect why breakeven metrics are not calculated.

All changes

Patch release for an issue where accrual period start and end dates were being additionally adjusted by the fixing calendar in overnight rate calculations.

Resolved Issues

• Overnight accrual period start and end dates are now only adjusted by the leg calendars. Fixing calendar date adjustments occur only when observing the fixing for a given effective date.

All changes

This major release, applied to all environments, includes changes to the curve calibration algorithm and various minor amendments to valuation results headers.

Improvements

• Bank bill futures now use 90 days as a tenor (as opposed to 3 months).
• Reference securities can now be archived via csv import.
• Added validation to trades, including prevention of -ve accrual offset days in TRS trades and a default business day adjustment in IRS/XCCY trades.
• The USGS calendar is now viewable in CALENDARS.
• Various warnings added during calibration, such as dropped nodes via node clash functionality.
• Valuation result fields such as FX Spot and Expiry are now given following FXO trade valuation.

Resolved Issues

• A blocking calibration dependency on market data being provided for every node in an FX vol surface has been removed.
• A UI issue that set Interpolation Type = Forward Rate for IR_INDEX curves where the Interpolator = LogLinearDiscountFactor has been resolved.
• Single stripping now applies when calibrating curves from the UI, as well as during portfolio valuation.
• The overnight averaged accrued interest calculations are now aligned between TRS trades and MTM trades.

All changes

Patch release for issues concerning spot date offset calculations, released to cloud environments only.

Improvements

• FX Option trades now value on expiry date.
• New fields that show the cashflows paid on a payment date for TRS. This will provide users with more visibility into the cashflow data.

Resolved Issues

• Spot date offset for the NZD-FIXED-6M-BKBM-3M and AUD-FIXED-3M-BBSW-3M conventions now use business days as opposed to calendar days. Since the spot offset days for AUD-FIXED-3M-BBSW-3M is 1, there is no impact for AUD-FIXED-3M-BBSW-3M spot date calculations.
• For FX Swap tenors greater than or equal to a month the business day convention is now Modified Following.

All changes

Patch release to add default behaviour on import for FX Option trades.

Improvements

• When importing FXO trades, payment date is now set by default to expiry + spot lag

All changes

Updates to Xplain^TRS.

Improvements

• TRS display improved to show detailed schedule information.

Resolved Issues

• Various problems with the TRS implementation have been resolved, including IA scaling, cashflows on payment date and withheld cashflows.

All changes

This release includes changes from release 1.3.3 with one additional critical fix, and is focused on being a production-ready release for live usage.

There are no updates to configuration file options and the data model will be automatically migrated from previous versions.

Resolved Issues

• Fixed an issue where dependencies between curves in the same calibration set caused single stripping calibration failures in some cases.

Known Issues

There remains a known issue where, if a single-currency curve fails to calibrate, then other cross-currency curves in the same Curve Group may also fail to calibrate. There is no impact if other curves sharing a currency with the cross-currency curve are calibrated successfully.

• This affects curve groups using Local Ccy OIS stripping.
• If any curves sharing a currency with a cross-currency curve fail to calibrate, other curves sharing that currency may also fail to calibrate.
• We expect this issue to have very limited impact since it only affects groups containing curves which already fail to calibrate.
• A fix for this issue will be delivered in an upcoming release.

All changes

Version 1.3.3 was released to cloud environments only. This release consolidates a number of critical fixes previously released as patches.

There are no updates to configuration file options and the data model will be automatically migrated from previous versions.

Improvements

• Calendars have been updated with holiday changes for US (Juneteenth), GBLO, AUSY and NZWE.
• Added additional serial futures to existing future nodes
• Added a new convention which removes the -1 business day adjustment from AUD IBOR future nodes date sequence
  • Please select AUD-BBSW-3M-QUARTERLY-FUTURE-SD to use this convention.
  • AUD-BBSW-3M-QUARTERLY-FUTURE retains its previous roll behaviour.

Resolved Issues

• Valuation progress bar now refreshes correctly in pre-prod environment. This is a web server configuration change only.
• Fixes to a number of UI issues caused by an upgraded dependency in release 1.3.0, including 1D FX vol data, curve shift and role assignment.

All changes

This release fixes a problem with running release 1.3.1 in non-production environments where MongoDB is running without a high availability replica set.

There are new configuration file options. The new configuration options are:

app.mongo-transactions.enabled: false mongock.transaction-enabled: false

The default behaviour for database transactions is now that they are disabled, which preserves the behaviour prior to release 1.3.0. The second property allows transactions to be disabled independently for the database migration process. It has no effect if transactions are disabled by the first property.

You can enable transactions where a MongoDB replica set is available. All cloud environments have transactions enabled.

Improvements

• Changed default transaction behaviour to disabled and added configuration property to enable as needed.

This release consolidates release 1.3.0 and the patches applied to it and is focused on being a production-ready release for live running. It includes all changes from release 1.3.0 and a few additional urgent improvements and fixes.

There are no updates to configuration file options. The data model will be automatically migrated from release 1.2.18 - a number of Total Return Swap fields are moved to leg-level - and no database cleaning is required.

Improvements

• AUD 3M IR_INDEX curve and vols surface added.
• Single stripping is now applied when no overnight index exists for a currency - this means that explicit discount settings are therefore ignored.

Resolved Issues

• A number of blocking issues with curve calibration and trade valuation were fixed.

All changes

This major release, applied to cloud environments only, has updates to all parts of Xplain and includes a new product type:

Loan Notes - new Government Yield curve type and Loan Note trade type including reference securities, valuation and exception management.

Loan Notes are valued using a discounted cashflows approach based on the yield to maturity, given by the applicable government bond curve, and adjusted by the user defined credit spread.

Two patch releases were made to this release on Mar 3rd and 6th with hotfixes for testing ahead of the 1.3.1 production-ready release. See below for further details.

There are no updates to configuration file options. The data model will be automatically migrated from release 1.2.18 - a number of Total Return Swap fields are moved to leg-level - and no database cleaning is required.

New features

• A new instrument, curve type, trade type, reference security type, valuation process and exception management support have been added for Loan Notes. Documentation of Bond Yield curves and Loan Note trade fields is available in the user guide.

Improvements

• The following Xplain^TRS fields can now be specified per leg: Start, End Date, Roll Convention, Stub Convention, Business Day Convention & Business Day Adjustment.
• Initial Coupon is now shown for each leg on the TRS trade list.
• Added Fixing Dates to the TRS index metrics.
• Added Value (IA) columns to TRS metrics.
• The initial coupon is now taken into account on TRS IBOR legs even when the initial stub is regular.
• It is now possible to perform a calculation on single TRS trades.
• LIBOR stripping has been replaced by Single stripping in curve configuration.
• Multiple improvements to error messaging.
• Updated to MongoDB 4.4
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• More trade fields now validated correctly when they are added to prevent calculation errors later.
• Fixes to conventions where they differed from what was expected, including swaption surface day counts and Ibor/Ibor swap spot lag.
• A few fixes, including updates to non-business day valuations and expiry vector calculation, were released as hotfix patches to 1.3.0.
• A problem with the Absolute MTM Difference Allocation chart size on some screen sizes has been resolved.
• A number of other automatically-detected errors were investigated and fixes put in place.

All changes

Patches after initial release

Three patches were made to this release in addition to the changes below:

Release 1.3.0 patch 1 - Mar 3, 2023

Release 1.3.0 patch 2 - Mar 6, 2023

Version 1.2.17 was not released publicly.

This release is a hotfix applied to cloud environments only.

Improvements

• When the valuation date is a holiday, this valuation date will now be considered as a business day for valuation and calibration purposes, as well as accrued interest calculations.

Resolved Issues

• The spot lag for AUD IborIbor swaps is now 1 business day.
• The business day adjustment applied after a fixing offset on TRS performance and overnight legs is now “Preceding”.

All changes

This hotfix release has fixes affecting Inflation accrued interest calculations and TRS BOND IA values.

Improvements

• T0, T1 and T2 Term Deposit conventions now exist as permissible nodes for NZD and AUD IR Index curves.

Resolved Issues

• Updated the Accrued field in valuation results to not include the cashflow on the payment date.
• Inflation Accrual will now calculated with actual number of accrual days.
• TRS IA for Bonds are now scaled to 1MM.
• Day count for expiry calculations amended to ACT/365F for swaption valuations based on ATM Only IR Vol surfaces.

All changes

This hotfix release has a number of critical fixes to calculations, curve nodes and calendars.

Please note that existing FX Swap curves will need to be updated according to their “Spot Date” convention.

• For Spot Date = 2, add a TN node
• For Spot Date = 1, add an ON node.
• This will ensure a proper calibration of the FX Swap curves.

Market data mapping will be required for these nodes, but adding market data will not be required. By default, when the MDKs of these nodes have been mapped, a default value of 0 will be used during calibration.

Improvements

• Calendars for HUF now treat Saturdays as weekend days rather than holidays.

Resolved Issues

• Fixes to TRS (IA) values which are now scaled correctly (100 for bonds, 1MM for shares) and aggregate real values.
• FX Swap curves now accept TN nodes and set a default value of zero for both ON and TN nodes.
• Inflation leg accrual now calculated using Act/Act.
• When calculating expiry for swaptions the day count used is now Act/365.
• The business day convention for Term FixedOvernightSwap nodes is now ModFollowing.

All changes

This release is a hotfix applied to cloud environments only.

Resolved Issues

• Business day adjustment settings will be used correctly on payment schedules for trades which have a payment frequency == “TERM”

All changes

Version 1.2.12 was not released publicly.

Updates to all parts of Xplain. This release also includes three new features:

1. Break test historic versions can now be viewed; and
2. Accrual days and accrued amount now shown in PV valuation results; and
3. Individual trades can now be valued without valuing an entire portfolio.

There is one new configuration file option. The data model will be automatically migrated from release 1.2.11 and no database cleaning is required.

The new configuration option is:

app.company-docs.advanced-content-type-verification-enabled: true

This security-related configuration option will cause company document uploads to be scanned and a file type determined for the file. If the media type does not match the file type sent with the file by the web browser then the upload will be blocked. You can disable this additional security check if you find files are incorrectly being blocked.

New features

• Details of historic break tests can now be viewed from the versions list
• Accrual days and accrued amount now shown in PV valuation results
• Individual trades can now be valued without valuing an entire portfolio

Improvements

• A warning message is now shown when some curves in a curve configuration are not successfully calibrated. More detailed information is shown in the audit log.
• When archiving Market Data Keys, the user is now asked to confirm the archive date and whether to delete all future versions.
• “Object not found” error reporting improved to show what is missing.
• The percentage progress of valuations is now displayed.
• Discount Factor added as a permissible interpolation type.
• Term deposit conventions added for AUD and NZD currencies.
• The local currency calibration algorithm is now consistent with valuation behaviour in that remaining Xccy/FX Swap curves will also have calibration attempted.
• IA is now scaled for 1 million instead of 100, and also shown per-leg rather than only per trade.
• The treatment of management fees on calculations has changed and is now shown separately.
• It is now possible to optionally input Initial Coupon and Initial Base Index on TRS trades.
• The ordering of curve configuration settings is now consistent when Xplain^XVA is enabled.
• For performance legs in TRS trades, accrual frequency must now always match payment frequency.
• When viewing a holiday calendar, the weekend days are now also identified for the calendar as well as the non-weekend holidays.
• Improvements made to the default ordering of lists across the system.
• Holiday calendars added for the following currencies: ARS, AED, CNY, HKD, HRK, ILS, INR, KRW, KWD, MYR, OMR, QAR, RON, RUB, SAR, SGD, THB, TRY, TWD, UGX
• A new field Overnight Fixing Offset Days has been added to overnight legs. This denotes the observation date shift for each daily rate used within the accrual period.
• Content-Security-Policy header added (cloud environments only).
• Minor updates to conventions where they differed from what was expected.
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• It is no longer possible to navigate to archived MDK entries.
• The audit entries .CSV file is now named correctly with timestamp.
• Validations have been introduced for max tenor length and expiry to prevent errors opening curves.
• Saving valuation data teams in the exception management window no longer causes a redirect to the task management window.
• After clicking Clear Log, the page is now refreshed.
• With IR Instrument Type exception management task granularity, volatility data is now included.
• With Per Sub Asset Class exception management task granularity, tasks are now created for IR Rates, Swaption Vols, Swaption Skews and Inflation Rates.
• An error calibrating CNY 3M curves on certain dates has been resolved.
• Duplicated records are no longer shown in tables.
• A problem where schedules cannot be generated when a schedule period has only holidays has been resolved.
• Fix validation error when editing curves with a pre-existing term deposit node.
• This version contains improvements to performance, testing, maintenance and reliability.
• A number of redundant API endpoints have been removed.
• A number of other automatically-detected errors were investigated and fixes put in place.

All changes

Version 1.2.10 was not released publicly.

Updates to all parts of Xplain. This release also includes one new feature:

1. New APIs to retrieve access log audit information showing user access to Xplain

There are no updates to configuration file options. The data model will be automatically migrated from release 1.2.9 and no database cleaning is required.

The new access log APIs are:

/api/audit/access/log - retrieves a list of accesses for an individual user. An id and/or name parameter must be passed to this API endpoint and the results are paginated. Each access returned will include the user roles, permissions and teams and the default sort order is most-recent-first.

/api/audit/access/latest - retrieves a list of the latest access time for all users. Only the user and latest access timestamp are returned. The default sort order is oldest-first. This endpoint is intended to support processes to remove access from inactive users, for security reasons.

Since login is delegated to an IdP, the concept of ‘access’ to Xplain means successful resolution of a new user access token issued by the IdP. Subsequent requests will use cached user details.

New features

• User access is now audited and can be queried either for an individual, or to determine inactive users, using new API endpoints.

Improvements

• When filtering items on a dashboard, the filter will not apply until the Apply Filter button is pressed. This allows for easier multiple selection.
• Valuation data resolution now runs asynchronously in order to shorten import time and increase performance.
• The total counter now refreshes on the screen after importing or archiving trades and reference securities.
• Market data, valuation data and fixings now correctly handle point-in-time filtering of archived values.
• Xplain^TRS now shows Base Index (was Current Index), Previous Base Index (was Previous Index Fixing) and Reference Index (the valuation date fixing).
• Updates to TAIBOR fixing rates offset from 0 to -2
• CNY trades where the accrual period is weekly and payment periods are monthly can now be handled.
• Linear extrapolator added for log-linear Zero Coupon interpolated curves.
• Minor usability improvements.

Resolved Issues

• Fixes to BRL trades accrual calculations.
• INR curves with ON nodes can now be calibrated.
• Last Modified By is now shown correctly on each settings version list.
• Resolved UI routing defect found prior to release of 1.2.10

All changes

Updates to all parts of Xplain. This release also includes three new features:

1. New break test for day-on-day sign;
2. Addition of a quaternary provider for valuation data; and
3. Ability to view and export holiday calendars.

There are no updates to configuration file options. The data model will be automatically migrated from release 1.2.8 and no database cleaning is required.

Please note there is a change to curve node import file format where the column heading has changed from Type to Instrument Type.

New features

• A new Day-on-day Sign break test is available when defining break tests for market data. It identifies where the sign of a value has changed from +ve to -ve or vice versa. Missing or zero values will not create a break.
• An optional quaternary provider has been added for valuation data: company and entity valuation settings, break tests and exception clearing have been updated accordingly.
• A new menu item Data/Static Data/Calendars has been added. This new page allows holiday calendars to be viewed for any year or exported for all years.

Improvements

• SGD-SORA fixed overnight conventions added.
• Valuation Data Group can now be shared between multiple companies.
• BRL CDI curve tenors are now validated in the UI to avoid errors when saving.
• Only one TRS valuation can now be executed at once for the same non-MTM portfolio.
• When changing inflation seasonality from MANUAL to HISTORICAL, the manual entries will now be removed automatically.
• Inflation Seasonality Adjustment table will now refresh automatically when the Xplain default valuation settings are changed on the same page.
• Inflation fixings must now have a fixing date on the last day of the month.
• The curve node import file format has a change to column headings from Type to Instrument Type.
• The error message displayed when a user tries to modify data which is locked by another user is now more descriptive.
• White space at the beginning or end of role and team external identifiers now causes a validation error.
• Pop-up messages are now displayed for less time.
• The valuation settings version list has been updated to show changes to the Exclude fixings from valuation date toggle.
• Quote Convention, Fixed Coupon and Recovery Rate columns added to credit curve list.
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• Error message when importing trades with no matching portfolio has been corrected to identify the problem.
• Market data group Created At/By fields are now populated.
• It is no longer possible to import Credit Curve Funding nodes without Xplain^XVA enabled.
• Market data groups and valuation data groups can no longer be cloned.
• Valuation data dashboard now behaves correctly with respect to data locking.
• TRS Index Fixing Date offset now adjusts the date correctly.
• A number of other automatically-detected errors were investigated and fixes put in place.

All changes

Versions 1.2.6 and 1.2.7 were not released publicly.

This release contains a number of updates to reliability and accuracy of valuations, and two new features:

1. Support for storing account documentation associated with a Company; and
2. Ability to export Price Indexes/Zero Coupon Rates/Forward Rates and Discount Factors for a whole curve list at once.

There are no updates to configuration file options. The data model will be automatically migrated from release 1.2.3 and no database cleaning is required:

• Where existing Quoted Spread convention curves are specified without a Fixed Coupon, this will now default to 0.0 to preserve the behaviour of Xplain in release 1.2.3. Note that 0.0 is not a valid Fixed Coupon value and must be changed when updating existing curves.

New features

• A new Documentation tab is visible when viewing a Company, where account documentation files for the company can be stored and retrieved.
• When viewing a curve configuration, the Export drop down now also allows Price Indexes / ZC/FWD Rates and Discount Factors to be downloaded for the whole curve list.

Improvements

• Exception management now uses a consistent record date within each step to avoid inconsistent data.
• Audit entry retrieval has been improved to avoid errors when there are a lot of records.
• Xplain^TRS now shows if a trade is missing and/or MDK or market data in the calculation results error log.
• Added trade date and description fields to allocation trade details. If empty, they default to the respective reference security.
• Accruals calculation is now based on actual RFR fixings.
• A new toggle has been added to the Xplain Default Valuation Settings, to choose whether to exclude fixings from the valuation date onwards. The default is to include fixings on the valuation date.
• Minor updates to conventions where they differed from what was expected.
• Minor updates to the consistency of user interface navigation items

Resolved Issues

• It is no longer possible to upload values for leg dividend on a TRS bond trade
• Fixed issue where calibrating curves for local currency did not display results correctly.
• Inherited valuation data settings are now shown correctly at an entity level
• Break test settings are now correctly reset after cancelling an edit.
• It is now possible to cancel a dashboard with unfinished valuation calculations after an application restart.
• Historical seasonality calculation now throw an error if fixing at valuation date - lag is not available.
• An issue where an exception management dashboard could not be created in certain cases, due to incomplete removal of data during deletion, has been resolved.
• Leg day count for USD-FIXED-6M-LIBOR-3M is now corrected to 30/360 ISDA
• Historical seasonality adjustment factors are now shifted back to the expected format for display.
• The value of accrued interest now includes the value of the unpaid coupon when the valuation date is between the preceding accrual period end date and the payment date.
• An out-of-memory error during exception management on cloud environments has been resolved.
• A number of other automatically-detected errors were investigated and fixes put in place.

All changes

This release is a hotfix applied to cloud environments only.

Improvements

• Increased the degree of accuracy for displayed historical seasonality adjustment factors in the UI.

Resolved Issues

• The effective date for cleared inflation conventions is now obtained by reference to the trade date, as opposed to the spot date.

All changes

This release is a hotfix applied to cloud environments only.

Improvements

• Added Publication Date field to all fixings, which is taken into account for seasonality calculations and calibration/charts. Seasonality adjustment calculations now incorporate the last published fixing within the fixing lag.

Resolved Issues

• Fixed Coupon can now be specified when creating a curve using Quoted Spread convention.

All changes

This patch release fixes an issue with local currency curve calibration and includes library security patches.

Resolved Issues

• Fixed issue where calibrating curves for local currency did not display results correctly.
• Minor updates to conventions where they differed from what was expected.

Security Issues

• Upgrades to dependencies to pick up security patches to resolve vulnerabilities.

All changes

Updates to all parts of Xplain, the main focus for this release is readiness for full production operation including:

Support for Total Return Swaps;
Locking to prevent conflicts between data updates; and
Better IdP support

The data model for this release is incompatible with previous releases so the database needs to be cleaned before update.

The default UI configuration file has changed in this release so should be reviewed in order to ensure the post-logout page is configured correctly.

New features

• Xplain^TRS module now available, supporting maintenance of audited bookkeeping of total return swaps and generation of accrual accounting valuations. Full documentation of the TRS Module is available in the user guide.

Improvements

• Added external leg ID to the data model for all legged trades to make it easier to map data onto external systems.
• Implemented locking to prevent concurrent changes to curves, market data, valuation data, trades and most settings.
• OAuth client credential grant tokens can now be used for API access to Xplain.
• Added toggle to include lag period in seasonality adjustment calculation.
• Added toggle to display only unresolved items in all exception management clearing phases.
• Removed redundant information from curve configuration where the Xplain^XVA module is not enabled.
• All valuations related entities now have timestamp logic implemented taking into account not only date, but date and time in order to ensure clean data is used.
• It is now possible to delete an “in progress” dashboard.
• Updated navigation menus to group related items (such as TRS Module and XVA Module) together, and improved names and structure.
• Upgrades to dependencies to pick up library improvements and bug fixes, as usual.

Resolved Issues

• An extra step has been introduced after signing out so that the user does not immediately get redirected to the login screen. Please check env.js to ensure this is configured correctly when upgrading.
• The unused Strike field has been removed from the UI FXOpt reference securities.
• An issue where rows were not shown on dashboard status tables in certain circumstances has been resolved.
• Only flat extrapolators are now allowed for log linear discount factor curve interpolator.
• Fixed issue where trade currency PV was being adjusted incorrectly by pay leg T0 CFS, not net T0 CFS.
• IborFuture dates for NZD 3M changed to roll on first Wednesday after 9th of settlement month.
• An error where archived credit curves were not shown in versions has been resolved.
• All dates are now shown consistently in ISO format.
• An issue where permitted tenors were incorrect in FX Swap and Onshore OIS curves has been resolved.
• Resolved issue where exception management tasks for other teams were visible when they should not have been.
• A number of other automatically-detected errors were investigated and fixes put in place.

All changes