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The order management, previously available only for bonds, has now been extended to the orders on equities, futures, spot forex, money market transactions and discounted papers. The order deals can be input, they are handled by the Order Management module to transform them into real deals when necessary, and are also integrated in the valuation and back office modules. The integration in valuation modules is done using the current market rate/price, but if the order is limited, it is shown only if the current market price makes it executable. Complex formulae can also be input in order to define complex cases when the order must be executed.

Several enhancements have been brought to the API function to price exotic deals:

• A new LOGIN API model is available, allowing to price Index linked CMS Spread notes. These are notes where the coupon payoff is based on the difference between two CMS rates and on the value of an index;
• New functions have been added in our API tool: One that returns a list of bank holidays for a given set of locations, one that exports a volatility matrix, with the headers, and one that returns a list of dates corresponding to the yield curve tenors;
• Three new columns have been added to display more calculation results in reports: average life, call probability, and call date.

In addition, a partnership with Numerix has been engaged to enlarge the pricing capacities of ACUMEN. Our APIs have been extended to communicate with Numerix pricing models, and a client currently runs the common solution.

A "Search" function is now available for deals and tables. It is a simplified SELECTION mode. When activated on any record, all fields of the mask are accessible. Values can be typed in any field (dates, codes, text…) for search purposes. If the result is one element, then this element is displayed on screen. If there are more then one records, a list appears. Several criteria can be input at the same time. Special codes have been added to manage specific cases, like the star to request all elements where the field value is empty, or the percentage sign (%) to find all elements starting by, ending by, or including a specific value.

Several enhancements have been brought to the PORTFOLIO LIMITS calculations and module of ACUMEN:

• New functions allow computing the limit defined as a percentage of a portfolio, with indication of the maximum percentage authorized, the limit available before the deal, and the percentage of the level of the sub-portfolio compared to the global portfolio taking the current transaction into account;
• It is now possible to check the stock of bonds during the input of new deals in order to know if one goes short or not;
• Portfolio limits on FX deals allow now two methods: take into account only one side (buy nominal amount) or both sides of the deal (The nominal of the buy and the sell sides converted in the currency of the limit.

This new module shows the distribution of a selected portfolio or set of transactions according to user defined totalisation criteria (portfolio level, counterparty type, instrument type…), in absolute and relative term (i.e. in terms of nominal, PV, sensitivities, in amount or percentage). Once the parameters for the analysis are defined, results are displayed either in a list box or in a chart, with the possibility to define a report.

• A new "trader group" table has been added, linked to the "trader" table. It clearly allows to link traders together, and ultimately to define more simply automation procedures (it is included in "Default Values", "Default Reports" and "Internal Deal Definition") and limits ("Trading Limits" and "Portfolio Limits");
• Several solutions have been found to better display long list of values:
  • Change in the display of rates, prices and yield curve sin the RATE MANAGER to manage the special cases of very long lists: every rate window is now displayed a scrollable panel tree;
  • When running a module including many deals using many different valuation curves, now the first list of 40 elements are displayed, and at the bottom of this first list, three dots allow to switch to the next sub list of 40 elements, etc.
• It is now possible in the internal deal definition to generate two refinancing deals (for example in the buying of a bond, the system will generate a borrow of the settlement amount in the Bond portfolio and a loan in the Treasury portfolio). As usual, Portfolio levels and counterparty can be defined freely in the internal deal definition characteristics, to allow allocating each deal to different portfolios;
• ACUMEN has been adapted to be translated in any language other than English. A file can be provided showing the English text to be translated to any other language. Then this file is imported back into ACUMEN;
• The launch screen of all main ACUMEN modules has been changed. The association code and name can be defined from the main connection screen. Once defined, if the association used is linked to queries on the contract and or leg level, then these are taken into account in the connection screen (new function). This allows for example to have an association called "USD Swaps with fees", which would be linked to a query based on contracts selecting swaps, and a query on legs selecting USD legs only, for fixed, floating and commission legs. Once the association is selected in the module, all individual queries are loaded.