New
Yield Curve Merge Function and Related Enhancements
Yield Curve Merge
The new Yield Curve Merge function combines two yield curves into a single curve. The feature allows you to apply a variable spread at each point along a yield curve. Yield Curve Merge can be found under the Tables section of the formula wheel.
The Yield Curve Merge function takes in two yield curves and combines them using the specified parameters. You can read more about the Yield Curve Merge function and how to set it up in this support article.
Yield Curve and Scenario Table Data Types for Variables
In tandem with the Yield Curve Merge function, we have introduced new “Yield Curve” and “Scenario Table” data types for variables. These additional data types allow you to create variables that return a yield curve or a scenario table. Variables with these data types can be used in the Yield Curve Merge function and in the Scenario Table Lookup function.
Nested Scenario Tables
We now support nested Scenario Tables in table structures. You can define a Scenario Table column within your table structure and perform a lookup to return a scenario table in a variable. Read more about nested tables in this support article.
Updated Scenario Table Lookup Function
The Scenario Table Lookup function now includes an additional “Scenario Source” parameter to specify the source of the scenario table. You have the option to use the Projection Scenario, a Scenario Table Variable, or a Yield Curve Variable. Read more in this support article.
The Present Value formula also uses the Scenario Source parameter when the Yield Curve rate type is selected.
Fixes
- Unknown errors are no longer occurring when validating calculated range array set up for dynamic products
- Errors are no longer occurring when using a large number of model point filters then uploading a model point file in a projection
- Rare hardware failure no longer causes intermittent missing product aggregate results.