Release of ARMS 3.10

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.