Installer

The new installer is available here.

To enable these features in your Excel you should install the new Add-in version. It is recommended to perform a full uninstallation of any previous version of the Add-in.

In this release, we deliver the following new User Defined Functions (UDFs) and improvements.

New features

  • Risk UDFs with weights: we roll-out a new set of UDFs with prefix ewr. These functions are intended to cover the same functionalities as their el counterparts with quantities.

  • Market Data UDFs: a new function elMarketData was introduced as a first step. At the moment, this function can access name, currency and liquidityHorizon.

  • New parameters: with this release, new parameters are introduced to request calculation on portfolio or positions levels. These new parameters should be used instead of the deprecated ones. For more information refers to the Calculation Level.

Enhancements

  • New parameters and default for Normalized : starting from this release, the Normalized parameter is renamed to MeasureType and its default value will be relative. This means that functions will return % values by default instead of monetary amounts. This parameter will also accept the text parameter absolute (for monetary values). True (relative) and False (absolute) are still supported for this release.

  • Migration to Edgelab Risk API v2 : the existing UDFs for Risk are now using the updated APIs from Edgelab Risk API v2. This will allow the inclusion of new functionalities in the Excel Add-in.

  • Use of Office SPILL : with the release of Nov. 2019, Microsoft implemented SPILL instead of Array functions. This version of Edgelab Add-in is now fully compatible with this feature.

Removals

In this release, the following UDFs are marked as obsolete and are removed from use: elAssetPrice, elDiversificationBenefit and elProxyQuantityConvert

  • elAssetPrice: is removed and replaced by a new UDFs called elCurrentNpv. This change was done to reflect that Edgelab does not provide prices but Net Present Value (NPV) as outcomes of our repricing models.

  • elProxyQuantityConvert is removed as this function was converting a market value into a quantity based on the current NPV. With the introduction of the Risk weighted, there is no use anymore for such a function.

  • elDiversificationBenefit is removed as this function was a workaround for quantities.

Deprecations

As we introduce more functions, we have decided to flag the following UDF as deprecated : elRiskMetric. This function will be removed in the next release and should be replaced by their modern counterpart. The aggregates and allocations parameters will be removed in the next release as well.

  • elRiskMetric: starting from now, the generic elRiskMetric should be replaced by elRiskMeasure, elPrc or elCurrentMeasure, which are more granular and offer more options (CVA, average-loss).

  • Aggregates & Allocations: as we introduce new parameters, the previous ones are flagged for removal and will be removed from the next release. For more information refers to the Calculation Level.

Roadmap

Along with this new release, we also want to introduce more predictability in our product lifecycle. For this reason, we want to provide an indicative release date as well as an overview of the topics which we will be working on.

  • Planned release date: we plan to release the next version in July 2020.

  • Full Risk APIs Coverage: we plan to cover the entire scope of Risk APIs functionnalities, which include Risk Factors Exposure and Asset Measure (yield to maturity, etc).

  • Asset Proxies: we want to introduce a new feature to manage asset proxies so that users could replace uncovered intruments by an index or other instrument as a proxy for risk.

  • Enhanced feedback on errors and warnings: At the moment, the errors are directly displayed in the cell, which lead to long and impractical texts. We plan to separate the errors and warnings from the actual results and return them to the dedicated area.