With the release of ARMS 3.10 many new features and fixes are delivered. Highlights include the generalization of the swaps to cater for mixing of legs, rfr-rates, amortization, mark-to-market resets, among other things. All modules have been enhanced and a brand new real-time containerized calculation engine “ARMS RiskEye” has been released. A complete integration with portfolio system FA Solutions has also been accomplished.
The list below includes cumulative ARMS release notes from version 3.6.0 to 3.10.3
Position related fixes and feature
– Position type OIS_SWAP added
– FRA Option is a new position type
– New general types SWAP and CCY_SWAP added where fixed legs, LIBOR legs and OIS legs can be combined freely
– Supporting amortizations and accreting swap variants in these new swaps as well as MTM-adjustments. Amortizing FRNs and swaps now allow irregular amortization schedules
– Support the possibility to use step-ups for the coupons on the fixed legs of the new swap types
– Fixed rate loan, FRN, and swap now accept daily fixings
– Observation shift and the lag method are now both supported for RFR types with lookback
– Frequency biweekly introduced and supported in new RFR types
– Support for more general frequencies, like weekly, added for fixed and float rate loans
– Multiple fixings per coupon period is now allowed
– Cashflow and roll coupon functions implemented for Bermudan swaption and Callable bonds and modified/updated for swaptions
– Bond futures can be trimmed to match an external futures price with tag trim_to_market_price
– FRN has new variant supporting overnight rates and MTM when used in currency swap
– Equity barrier option has new variant, where the barrier is only active at maturity
– Liability life now supports the SWE_IORP2 and SWE_IORP2_FIXED models. The FIXED version of the model doesn’t allow any stress to take effect on negative interest rates
– Commodity spread supports mixed spot and forward curve legs
– Period length updated to include the technical start date for electricity instruments
– Basket support for equity spot leveraged etf
– Digital caps and floors now support the normal model
Workspace related fixes and features
– Development in Quantlab is now powered by the new Qlang Developer with improved support for writing code and debugging
– Scenario Tab in ARMS Client now able to use scenarios with stress types TAR, HIST, CEIL, and FLOOR
– Results on position level in Limit Client for better break-down analysis
– Limit Admin Client is now operated by single-click actions (instead of double-clicks)
ARMS Server, data, and database fixes and features
– Historical VaR job which can save position results for each one dimensional risk factor split
– Validate the stress type used when importing scenarios
– Secure auto position import job now accepts multiple contexts
– import_scenario_from_file is a new job that imports a scenario on curves from CSV-file
– 1D and 2D position splits supported in the calc_scenarios_new job
– Import the same hierarchy to all dates in a given period
– Reduced memory consumption and increased speed when using top node functionality
New modules and enhancements (overview only)
– New portfolio integration with FA Solutions using their GraphQL interface
– ARMS RiskEye realtime calculation server, python and http(s) api:s and gui released
– Various updates and enhancements in the FRTB modules
– Many new features in IRRBB calculations
– Enhancements in Performance Attribution module
– Limit module with support for Monte Carlo VaR and other minor enhancements
– Added support for Python 3.8 and 3.9.