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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14172] branches/R000900-branch/QuantLibXL/NEWS.txt
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From: Ferdinando A. <na...@am...> - 2008-01-23 19:09:32
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oops I forgot about this. While removing the revision specific news is ok, the aggregated news would have been the actual news for this release. I might take a look at this tomorrow ciao -- nando On Jan 23, 2008 7:48 PM, <eri...@us...> wrote: > Revision: 14172 > http://quantlib.svn.sourceforge.net/quantlib/?rev=14172&view=rev > Author: ericehlers > Date: 2008-01-23 10:48:18 -0800 (Wed, 23 Jan 2008) > > Log Message: > ----------- > for public release, remove from NEWS.txt site specific text that references specific svn revisions. > > Modified Paths: > -------------- > branches/R000900-branch/QuantLibXL/NEWS.txt > > Modified: branches/R000900-branch/QuantLibXL/NEWS.txt > =================================================================== > --- branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:45:00 UTC (rev 14171) > +++ branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:48:18 UTC (rev 14172) > @@ -1,601 +1,3 @@ > For a rundown of changes per QuantLibXL release please visit > http://www.quantlibxl.org/history.html > > -new or updated in this release: > - > -************************** > - R000900 > -************************** > - > -LAUNCHER > -- updated to distribute other xlls > -- effective usage of XLS/XML switch > - > -FUNCTIONS > -- added new inspector functions for SwapRateHelper > -- introduced ForwardSwapQuote > -- introduce Euribor1M, Euribor3M, Euribor6M, and Euribor1Y yield curves > - extended up to 60 years. The suggested discounting yield curve EURYC is > - assumed to be equal to Euribor6M > -- exported Interestrate class and interface > -- removed default delimiters in ohSplit (they were not region-setting neutral) > - > -QuantLibXL menu: > -- "Update Indexes Time Series" among QLXL menu actions to retrieve YTD fixings > - from Reuters & update .xml files > -- "Load Indexes Time Series" modified to load serialized time series objects > - only > -- "Update Indexes Time Series" to retrieve YTD fixings and serialize them > - > -Workbooks: > -- added Workbooks\MarketData\ManualFeed\TurnOfTheYear.xls for estimating turn > - of the year effect > -- added Workbooks\InterestRateDerivatives\EURSwapABxE_Pricer.xls for real time > - pricing of all swaps (maturity from 1Y to 60Y including 15M, 18M, 21M, > - floating leg 1M, 3M, 6M, 1Y) > -- reviewed and cleaned up all pricer wbks in InterestRateDerivatives folder > -- added Workbooks\MarketData\ManualFeed\SynthDepoQuotesFeed.xls for estimating > - synthetic depos needed by the new yield curves > -- Workbooks/Tests/CapFloorTermVol6MTest.xls extended to test > - EUR6MCapFloorAtmVol > - > -Cap volatilities: > -- new optionletStripper including ATM cap term vols > - > -Swaption Volatilities: > -- sabr vol surfaces based on abcd interpolated atm swaption volatilities > -- new Workbooks/MarketMetaData/SwaptionVolsSabrVolSurface.xls > -- new Workbooks/Tests/SwaptionSabrVolSurfacesChecks.xls > - > -Bonds: > -- added and serialized new digital euribor bonds: > - IT0003730626, IT0003747364, IT0003766372, XS0194140785, XS0195731681, > - XS0003730626. These bonds were checked against prospectus > -- added digital cms bond: XS0228052402 > -- added 2 new cms bonds: XS0318729950 and XS0211163943. The latter was > - validated, the former wasn't validated because prospectus is missing. > -- properly handled Bond equivalent for all Reverse Floater bond's. > - > -************************** > - REV12939 > -************************** > -Launcher: > -- Add support for loading third party addins (identified by their network URL) > - in addition to the existing functionality for loading core addins delivered > - by the Launcher > -- "Load Reuters/Bloomberg" moved from Environments tab to Feeds tab > -- "Use Reuters/Bloomberg" added to Environments tab > -- Add support for Initialization Data Source = Excel/XML > -- Loading CabotoXL.xla addin which allows: > - a.bootstrapping Mx curve > - b.loading single IRS CMS and CAP/FLOOR CMS books (VOLTRAD_CMS_10Y_CF.xls, > - VOLTRAD_CMS_10Y_IRS.xls, VOLTRAD_CMS_30Y_IRS.xls, VOLTRAD_CMS_5Y_IRS.xls, > - CF-CMS-10Y-MxBook.xls) > - > -New Functions: > -- qlVanillaSwapSwapRateHelper' as a spread inspector to SwapRateHelper > -- ohGroupSize returns the number of object IDs contained in a Group object > -- ohObjectLoad returns a list of IDs of objects loaded > -- qlOptionletStripperSwitchStrike: returns the switch strike used in the > - optionlet stripper > -- qlAtmCurve: returning the ID of the atm volatility curve in SabrVolSurface > -- qlTimeSeries: exported TimeSeries to Excel, Dates and values > -- qlTimeSeriesFirstDate: returns the first date for which a historical datum > - exists > -- qlTimeSeriesLastDate: returns the last date for which a historical datum > - exists > -- qlTimeSeriesSize: returns the first date for which a historical datum exists > -- qlTimeSeriesEmpty: returns whether the series contains any data > -- qlTimeSeriesDates: returns the dates for which historical data exist > -- qlTimeSeriesValues: returns the historical data > -- qlTimeSeriesValue: returns the data corresponding to the given dates > -- qlVolatilitySpreads: Returns the volatilities spread at a given date > -- qlVolatilitySpreads2: Returns the volatilities spread for a given period in a > - sabr vol surface > -- qlSabrVolSurface: exported SabrVolSurface constructor > - > -Bonds: > -- added explicit maturity date to Bond constructor > -- handled correctly bond equivalent adjustment for reverse floater bonds in > - BondObjects_EUR.xls > -- added two new cms bonds XS0318729950 and XS0211163943 (the latter was > - validated) as requested by the trader > -- properly handled reference rate adjusted to a bond equivalent rate for the > - following reverse floater bonds: > - XS0080841579, XS0080973489, XS0081431610, XS0082293506, XS0081387531, > - XS0081980129, XS0082716589, XS0082731463, XS0082435065, XS0082725739, > - XS0082486050, XS0082785808, XS0082847178, XS0082979088 > -- serialization: added new workbook Data/XML/080_Bond/FloatingRateBond_EUR.xml, > - CMSRateBond_EUR.xml, FixedRateBond_EUR.xml, ZeroCpnBond_EUR.xml > -- digital bonds: > - Digital_IT0001278404_EUR.xls > - Digital_IT0001278404_EUR.xml > - IT0001278404. validated and checked against prospectus > -- added digital bond to MainChecks.xls > -- added bond: IT0001278404 to BondMonitor_EUR.xls > -- Digital bonds: please note that fixing in arrears digital bonds have not been validated yet > - and qlBondCurrentCoupon() is not available > - > -Bug fixing: > -- fixed bug: corrected wrong 3E6E spread in AB3EBASIS SwapRateHelpers > -- fixed bug: cash flow generation: in ref dates calculation the business day > - convention to use is the one used for the schedule calculation > - > -Serialization: > -- Relinkable handles, indexes, pricing engines (bond, cms, ibor), yield curve > - boostrapping objects. > - > -Yield Curve: > -- introduced EURYC3M and EURYC6M forecasting curves. The discounting curve > - EURYC is assumed to be equal to EURYC6M > -- added curve/index monitors: Workbooks/Tests/IndexFixingsMonitor.xls, > - YieldCurveMonitor3M.xls, YieldCurveMonitor6M.xls > -- extended bootstrapping to FRA, swap with spread (in order to deal with basis > - swap) > -- changed default contributor for deposits (KLIEM is now used) > -- added selected RateHelpers group > - > -************************** > - REV12288 > -************************** > - > -Launcher: > -Startup action added to set the evaluation date: user can change the evaluation > -date and the whole system is built consistently with the user\x92s choice > - > -QuantLibXL menu: > -Menu actions: > -- \x93Calibrate All Single Index Cms Market\x94: new routine for 5 single index > - calibrations with 1 mean rev (the 10Y one) > -- \x93Calibrate Single Index Cms Market with 10Y Mean Reversion\x94: new routine for > - a single index calibration using the mean reversion of the 10Y index > -- \x93Open live feed action\x94: live feed workbooks are now opened and hidden > -- Bond Engines are created at start-up and are set to bonds in \x93Load Bonds\x94 > - action > -- Indexes are instantiated at start-up > -Cell menu: > -- added "LIN ACTACT ISMA" (QuantLib::ActualActual::ISMA) string to DayCounter > - conventions > - > -Bonds: > -- A new function: qlGenericBond() was created and added. This function is a consturctor of a > -generic bond objects which accepts in input the bond leg > -- changed signatures for: qlFixedRateBond(),qlCmsRateBond(), qlZeroCouponBond(), and qlFloatingRateBond. > -They don't accept yield curve as an input parameter anymore. The yield curve must be set to the bond object > -using qlInstrumentSetPricingEngine. > - > -Various: > -- yield curve parameter has been removed from bond constructors > -- created Workbooks/PricingEngines folder and created new workbooks > - (CmsCouponPricers.xls and IborCouponPricer.xls for instantiating CMS/Ibor > - Pricers. Pricers are named: CmsCouponPricer10Y, CmsCouponPricer5Y, > - CmsCouponPricer2Y, CmsCouponPricer20Y, CmsCouponPricer30Y, IborCouponPricer. > - Action \x93Load bonds\x94 has been modified in order to set this named pricers to > - bonds > -- added in IT0001278404.xls, IT0003730626.xls and XS0194140785.xls netting leg > - and bonds' dirty prices > -- added new digital bonds IT0003747364.xls and IT0003766372.xls decomposed as > - digital ibor legs. > -- added bond's dirty theo price in: Workbooks/Bonds/XS0194140785.xls, > - XS0195731681.xls, XS0228052402.xls > - > -BondObjects_EUR.xls: > -- removed yield curve from constructors > -- added cms coupon bond (IT0003650998) paying once at maturity and fixing in > - arrears > -- added, validated, and checked against prospectus a new capped floater bond: > - XS0250578134 > -- added check against prospectus but not validated new bond (Tec10) > - IT0004011638 > -- added, checked against prospectus and validated new cms bond: IT001346748 > - > -SetPricers2Bonds.xls: > -- added new sheet so as to set the Bond Engine to all Bonds instatiated in > - BondObjects_EUR.xls > - > -???Added LegMethods spreadsheet > -Modified : /trunk/QuantLibAddin/gensrc/metadata/Functions/leg.xml > - > -New functions: > -- qlBondEngine: constructor of the bond engine which takes as input a > - discounting yield term structure > -- qlPeriodEquivalent: function to return the period equivalent to the input > - (e.g it returns 1Y3M for 1Y6M-3M, 0M for 1Y-12M, 3W5D for 3W+5D, 2W2D for > - 3W-5D, etc) > -- caps stripping: added new class 'qlCapTermVolatilityVector' and method > - 'qlCapTermVolatilityVectorInterpVol' to construct a cap term volatility > - vector and interpolate along option tenors using cubic spline interpolator. > - No smile is taken into account. > -- qlSABRInterpolationWeights returns the weights of the SABR fit for the given > - SABRInterpolation object > -- qlSimpleCashFlowVector to construct a cash flow vector given a set of amounts > - and a set of dates which may have different size > - > -Removed functions: > --The following functions were removed: qlBondDayCounter(), qlBondPaymentBDC(), and qlBondFrequency(). > - > -Covered Warrants: > -Operations on financial markets with regard to covered warrants on interest > -rates derivatives are about to kick off. Static data of the instruments are > -collected and managed in Workbooks/CoveredWarrants/CoveredWarrants.xls where > -isins and feedcodes have been updated to get ready for contribution to ORC. In > -the same workbooks real-time theoretical prices are calculated and > -automatically imported to ORC. > - > -Indexes: > -- Indexes are no longer enumerated objects, we're now relying on user-created > - Indexes (see workbooks in folder Workbooks/Indexes) > -- Historic fixings are loaded by means of qlIndexAddFixings performing size > - checks and preventing non intentional fixing overwriting > - > -Others: > -- YieldCurveBootstrapping.xls: 6M deposit is now included in the curve > - bootstrapping > -- Swaption volatility smile: modified calculation of interpolated spreads. > - Spreads on ATM volatilities in sparse cube are now taken into account. A > - small error is introduced in the calculation of ATM volatilities in dense > - cube, negligible in case of good fit > -- The discount curve parameter has been removed from the Swaption constructor > - and has been moved to the BlackSwaptionEngine constructor > -- qlSabrInterpolatedSmileSection has been modified to filter dynamically market > - quotes as they become available > -- qlSabrSmileSection is now dependent (observer) of the evaluation date so that > - when the EvaluationDate changes the SabrSmileSection class is recomputed > - accordingly > - > -Workbooks: > -- MarketData/ReutersFeed/MMIndicesAddLastFixing.xls: displays before and after > - fixing forecasts (compared with observed fixing) > -- MainChecks.xls: added Real-Time monitoring > -- Bonds/Z-Spread.xls: added bond engine > -- Tests/BondvsSwap.xls: added cash-flow analysis comparison > -- Tests/BondvsSwap.xls: compares dirty theoretical price of a fixed rate bond > - to fixed swap leg market value with valuation date equal to bond settlement > - date > - New Workbooks: > -- MarketData\BloombergFeed\InterestRateQuotesFeed.xls > -- MMIndicesAddLastFixing.xls > -- SwaptionATMVolsQuotesFeed.xls > - > - > -************************** > - REV11940 > -************************** > - > -QuantLibXL MENU: > -- Refresh Snapshots: the action is performed also on Time Series workbooks if open > -- Switch Data to Live/Static: the action is performed on Time Series workbooks if open > -- Close Live Feeds: the action is performed on Time Series workbooks if open > -- right-click cell menu: added enumerations (EndCriteria::Type, CmsMarketCalibration::CalibrationType, IborCouponPricer, Payoff, PricingEngine, PiecewiseYieldCurve(Traits, Interpolation)) > - > -BONDS: > -- added check against prospectus but not validated new bond (Tec10) IT0004011638 > -- corrected static data for XS0091610153 > -- added and checked against prospectus new floater: XS0233447936 > -- Workbooks/Tests/BondvsSwap.xls: added new to test bond prices vs swap leg price > -- Workbooks/Bonds/XS0228052402.xls: changed cms coupon pricer in order to get updated mean reversion quote > -- added 2 new digital bonds decomposed in digital simple ibor/cms coupon IT0001278404 and IT0003730626: > - Workbooks/Bonds/IT0001278404.xls and Workbooks/Bonds/IT0003730626.xls > -- modified XS0194140785.xls, XS0195731681.xls and XS0228052402.xls so to include a rough calculation of bond dirty theorical price > -- Workbooks/Bonds/XS0228052402.xls: decomposed bond XS0228052402 using both multiphase and multilegswap. > - > -NEW FUNCTIONS: > -- 'qlFraRateHelper' construction a FRA rate helper to be used in the yield curve bootstrapping > -- 'qlFixedCouponBondHelper' > -- 'qlLegIrr' returns the Internal rate of return for the given Leg object > -- 'qlLegDuration' returns the Cash-flow duration for the given Leg object > -- 'qlLegConvexity\x92 returns the Cash-flow convexity for the given Leg object > -- 'qlInterestRate' constructs an object of class interest rate > -- qlVanillaSwapFromSwapIndex\x92 creates a vanilla swap object from a given swap index > -- \x91qlMakeSwaption\x92 to construct easily a swaption object given swapIndex, strike, option tenor, pricing engine > - > -SENSITIVITY ANALYSIS: > -- Workbooks/MarketMetaData/YieldCurveMx.xls: added tick value to Mx quote ids to be used for greeks calculation > -- single deal sensitivity analysis book: Workbooks/InterestRateDerivatives/SensitivityAnalysis.xls > - > -VARIOUS: > -- CMS: added Workbooks/Tests/CmsWithDigitalLeg.xls > -- CapStrippers3M.xls: added Relinkable Handle EUR3MCapletVol. Links are EUR3MCapletVol1 or EUR6MCapletVol1 > -- added Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls: construct EURYC3 where depo3w is excluded, swap35Y and non main cycle futures are excluded, and depos before first futures expiry date are included > - > -FIXED BUGS: > - > -- euriborfix and eurliborfix indexes: modified fixed leg business convention from Unadjusted to Modified Following > -- in the calculation of swap length in swaption atm volatility matrix and swaption volatility cube > - > - > -************************** > - REV11705 > -************************** > - > -Total number of functions: 714 (new in this release: 69) > - > -Launcher: > -- Start up action added \x93Open Main Checks" > -- Loading of the Sensitivity Analysis add-in > -- Disable Reuters/Bloomberg if the configured paths are invalid > -- Allow the path to Excel to be configured > -- Implement function to launch an empty Excel session > -- In addition to saving preferences to registry at shutdown, also save them after launch > -- Change Bloomberg default from Blp.xla to BlpMain.xla > -- Add new tab "About" listing user/domain/hard disk serial number > - > - > -QuantLibXL menu: > -- added menu action "Historical Forward Rates Analysis": which opens & triggers TimeSeriesFixings_Euribor.xls & TimeSeriesFixings_EuriborSwapFixA.xls and opens HistoricalForwardRatesAnalysis.xls > -- \x93Open Live Feed Workbooks\x94: live feeds are opened and then closed if Reuters is not available > -- added new action \x93Calibrate CTSMM to Caplets\x94 > - > - > -Renamed functions: > -- qlVersion replaced by qlxlVersion > - > - > -New functions: > -- ohBoostVersion() > -- ohVersion() > -- qlVersion() > -- qlAddinVersion() > -- qlxlVersion() > - > - > -Fixed Bugs: > -- Fix problem of ohRetrieveError() not being recalculated reliably > -- sabr interpolation: rounding error fixed around the ATM level > - > - > -Various: > -- added new EUR yield curve (EURYC3) in Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls. The curve is built according to Murex settings (depo3w excluded, non main cycle futures excluded, DeposBeforeFirstFuturesExpiryDate, swap35Y excluded) and live quotes retrieved from Reuters > -- RelinkableHandle are now created at start-up by Workbooks/MarketMetaData/Handles.xls. ControlPanel.xls only relinks handles to concrete instances > -- info moved from ControlPanel.xls to MainCheck.xls > -- work in progress for spline bootstrapping: use Linear interpolation in the first iteration > -- included 60y swap in yield curve bootstrapping > -- a vector of fixing days can be passed to any coupon vector or leg constructors > -- add an enumeration for Business252 day counter > - > - > -Bonds: > -- wrong maturity dates (XS0082486050, IT0003749923) in BondObjects_EUR.xls > -- wrong fixed coupon (XS0080282907) in BondObjects_EUR.xls > -- added new cms bonds fixing in arrears (IT0003650998) in BondObjects_EUR.xls > -- Workbooks/Bonds/Z-Spread.xls: added new workbook for bonds price calculation given Z-spread > -- BondMonitor_EUR.xls: added static data for digital cms and digital eur[l]ibor bonds > -- added Workbooks/Tests/CmsWithDigitalLeg.xls, Workbooks/Tests/DigitalLegReplicationType.xls, Workbooks/Tests/SwapWithDigitalLeg.xls pricing/test workbooks for digital coupon > - > - > -Market Models: > -- functions to construct and use Accounting Engines objects > -'qlAccountingEngine' > -'qlAccountingEngineMultiplePathValues' > -- functions to construct and use Brownian Generators objects: > -'qlMTBrownianGeneratorFactory' > -- functions to construct and use ctsmmcapletcalibration objects: > -'qlCTSMMCapletCalibrationCalibrate' > -'qlCTSMMCapletCalibrationFailures' > -'qlCTSMMCapletCalibrationDeformationSize' > -'qlCTSMMCapletCalibrationMarketCapletVols' > -'qlCTSMMCapletCalibrationModelCapletVols' > -'qlCTSMMCapletCalibrationCapletRmsError' > -'qlCTSMMCapletCalibrationCapletMaxError' > -'qlCTSMMCapletCalibrationMarketSwaptionVols' > -'qlCTSMMCapletCalibrationSwaptionRmsError' > -'qlCTSMMCapletCalibrationSwaptionMaxError' > -'qlCTSMMCapletCalibrationSwapPseudoRoot' > -'qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols' > -'qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols' > -'qlCTSMMCapletOriginalCalibration' > -'qlCTSMMCapletAlphaFormCalibrationAlpha' > -'qlCTSMMCapletMaxHomogeneityCalibration' > - > -- new functions qlRateVolDifferences (to compute the differences between all implied forwards volatilities) and qlRateInstVolDifferences (to compute the differences between volatilities at each evolution step) > - > -- coterminal swap market model caplet calibration: show result of alpha fitting in workbooks > -Workbooks/MarketModels/CTSMM1YCapletCalibration.xls > -Workbooks/MarketModels/CTSMM6MCapletCalibration.xls > -Workbooks/MarketModels/CTSMM6MSimultaneousIterative.xls > -- Workbooks\MarketMetaData: added LMM_abcd.xls and SMM_displacementAndAbcd.xls > -- MarketModels/CorrelationMatrices.xls: includes historical correlations, Long-term, Beta time homogeneous correlations and Long-term, Beta, Gamma time homogeneous time dependent correlations > -- new function qlTimeHomogeneousTimeDependentForwardCorrelation > -- new function qlExponentialCorrelationsTimeDependent > - > -- Workbooks/MarketModels/SMM_displacementAndAcbd.xls: abcd calibration on displaced volatilities of all market swap indexes > - > -Sensitivity Analysis: > -- introduced concept of tick value, i.e. the shift to be used in the > - sensitivity analysis. Default values are given in all workbooks where quote > - ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls) > -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the > - given SimpleQuote object > -- added Workbooks/Interest Rate Derivatives/SensitivityAnalysis.xls to run sensitivity analysis on a single deal. Greeks can be calculated shifting yield curve, ATM vols, spread vols. > - > - > - > -************************** > - REV11190 > -************************** > - > -Launcher: > -- new action \x93Calibrate CMS Market\x94 to open relevant workbook. Please note that > - calibration must be triggered by the user > -- enhanced to preload Reuters/Bloomberg *.xla if requested by the user > -- displays the ClickOnce Publish Version number in the bottom right corner of > - the Launcher dialog > -- made button backgrounds transparent > - > -Renamed functions: > -- qlSetBondPricer as qlSetBondCouponPricer > -- qlLegSetPricer as qlLegSetCouponPricer > -- qlLegLastCouponRate as qlLegPreviousCouponRate > -- qlBondLastCoupon as qlBondPreviousCoupon > - > -New functions: > -- qlSmileSectionAtmLevel returns the current value of the SmileSection > - underlying default parameter of volatility and variance methods is ATM level > -- qlSimpleQuoteReset to reset the given SimpleQuote object to the uninitialized > - state > -- qlBondCurrentCoupon Returns the current coupon for the given bond. The > - default bond settlement is used if no date is given > -- qlBondPreviousCoupon Returns the previous period's coupon paid for the given > - bond. The default bond settlement is used if no date is given > -- qlLegPreviousCouponRate returns the previous coupon rate (if any) for the > - given Leg object > -- qlLegCurrentCouponRate returns the current coupon rate (if any) for the given > - Leg object > -- Schedule related functions: > - - qlScheduleSize() returns the number of dates in the given Schedule object > - - qlSchedulePreviousDate(refDate) returns the highest date in the given > - Schedule object preceding the input reference date > - - qlScheduleNextDate(refDate) returns the lowest date in the given Schedule > - object following the input reference date > - - qlScheduleDates() returns the dates for the given Schedule object > - - qlScheduleIsRegular(i) returns TRUE if the selected period in the given > - Schedule object is regular > - - qlScheduleEmpty() returns TRUE if the given Schedule object is empty > - - qlScheduleCalendar() returns the Calendar used to calculate the given > - Schedule object > - - qlScheduleStartDate() returns the start date of the given Schedule object > - - qlScheduleEndDate() returns the end date of the given Schedule object > - - qlScheduleTenor() returns the tenor used to calculate the given Schedule > - object > - - qlScheduleBDC() returns the business day convention used to calculate the > - given Schedule object > - - qlScheduleTerminationDateBDC() returns the business day convention used to > - calculate the termination date of the given Schedule object > - - qlScheduleBackward() returns TRUE if backward calculation has been used to > - calculate the given Schedule object > - - qlScheduleEndOfMonth() returns TRUE if end-of-month convention has been > - used to calculate the given Schedule object > - These functions and usage of Schedule class are shown in > - Workbooks\DateCalendarsDayCounters\ScheduleGenerator.xls > - > -Fixed Bugs: > -- excessive memory usage leading to "bad allocation" message > -- IborCoupon implied fixing when payment daycount convention is > - not equal to the Index daycount convention > -- Mx Yield Curve: added sheet where dedicated instances > - of euribor indices are created and used in the swap rate helpers' > - construction > -- Nested LevenbergMarquardt optimizations > - > -Digital Coupon: > - Related functions are qlDigitalIborLeg and qlDigitalCmsLeg to price swaps > - with a leg with embedded option of type digital cash-or-nothing or > - asset-or-nothing, the option being either a call or a put, with a short or a > - long position. The digital option may account for ATM inclusion or exclusion > - in the payoff through a specific input parameter. Pricing is based on a > - replication strategy, which can be a central, sub, or super replication. The > - gap in the replication is 1 bp by default. Related workbooks are: > -- Workbooks/Tests/DigitalLegReplicationType.xls > -- Workbooks/ Tests /SwapWithDigitalLeg.xls > - > -Bonds: > -- corrected static data for: DE0001345759 and IT0001327524 > -- Z-SpreadTest.xls added in Tests folder to check the correctness of > - qlCleanPriceFromZSpread and qlDirtyPriceFromZSpread functions for fixed rate, > - floating rate, cms rate and zero coupon bonds > -- qlBondPreviousCoupon: new method added to return the previous coupon paid for > - the given bond. The default bond settlement is used if no date is given > -- asset swap: correctly handles the creation of a new bond type, the cms rate > - bond in addition to fixed rate and floating rate coupon bonds > -- AssetSwapPricesTest.xls: added test cases for fixed, floater, and cms bonds > - maturing on a day which isn't a business day according to the bond's calendar > - (IT0003543847, XS0228052402 and IT0006527060) > -- MainChecks.xls: contains checks for a fixed coupon bond, a floating rate > - coupon bond, and cms coupon bond > --added the following new workbooks, where digital bond are decomposed in simple digital > - ibor and/or cms legs: IT0001278404.xls, IT0003730626.xls, XS0194140785.xls, XS0195731681.xls, XS0228052402.xls > - > -Calibrations: > -- Workbooks\CmsCalibrations\MultiIndexSingleMeanRevCalibration.xls and > - Workbooks\MarketMetaData\SwaptionVols1.xls: added the choice between Simplex > - and Levenberg-Marquardt optimizers, set up reasonable parameters values, and > - extensive tests. > -- qlSwaptionVolCube1 and qlSABRInterpolation: extended signature so that > - qlSwaptionVolCube1 can accept the optimizer in input > - > -Volatilities: > -- qlSpreadedSwaptionVolatilityStructure and qlSpreadedCapletVolatilityStructure > - to add a scalar to volatility matrix and cube. Accordingly provided this > - functionality in RangeAccrualFloaters.xls, Swaption.xls, Swap.xls, > - MultiLegSwap.xls, MakeCMS.xls, MakeCapFloor.xls, CMS.xls, CapFloor.xls, > - AssetSwap.xls > - > -Market Models: > -- qlComputeHistoricalCorrelationsZeroYieldLinear returns historical > - correlations between forward rates using a ZeroYield > -- Historical Correlations.xls added in Tests folder for historical forward rate > - correlation estimation > - > -Sensitivity Analysis: > -- introduced concept of tick value, i.e. the shift to be used in the > - sensitivity analysis. Default values are given in all workbooks where quote > - ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls) > -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the > - given SimpleQuote object > - > - > -************************** > - REV10747 > -************************** > - > -NEW FUNCTIONS: > -- qlBondCleanPriceFromZSpread and qlBondDirtyPriceFromZspread: > - they return clean and dirty price for a given bond object whe inputing a zero > - coupon spread. > -- qlCurrentCoupon as a new method of bond class qlBondCurrentCoupon esposed to > - excel and used in BondMonitor_EUR.xls and BondFunctions.xls > - > -BUG FIXES: > -- fixed bug in sabr interpolation when rho parameter is fixed > -- fixed bug in asset swap floating leg default schedule > -- fixed bug in IborCoupon implied fixing when payment daycount convention is > - different from the Index's daycount convention > -- prevented the addition of fixings at any date later than the evaluation date > - > -INDEX FIXING: > -special management of index fixing when on a business day a quote is not > -provided (e.g. if number of contributing bank is low). To this aim it has been > -added a new sheet "AddSpecialFixings" to load manually the missing fixing from > -non official sources (e.g. on 28 Mat 2007 for EuriborSwapFixA) > - > -CALIBRATIONS: > -MultiIndexSingleMeanRevCalibration.xls: > -- changed parameters for Simplex optimizer to reasonable starting values > - (Lambda = 0.1 and RootEpsilon = 1e-2). > - > -BONDS: > -- checked against prospectus and validated the following new bonds: > - DE0001345759, IT0001203253, IT0001203253, IT0001203295, IT0001203295, > - IT0001205589, IT0001205589, IT0001264792, IT0001271649, IT0001272498, > - IT0001272498, IT0001296133, IT0001303350, IT0001307286, IT0001327524, > - IT0003493258, IT0003644769, IT0006521139, XS0082483388, XS0082483388, > - XS0098379810, XS0235012951, XS0283497005 > -- fix-to-reverse bond: IT0001235404 > -- naked zero-coupon part of equity kinked bond: IT0003324115 > -- capped/floored coupon bonds: > - IT0001214284, IT0006525742, IT0003825988, IT0003657381 > -- cms bond: TEC10 XS0091349489 > - > -- Added, checked against prospectus but not validated because treated as non > - callable maturing at the first call date (according to the market) the > - following: > - XS0080650806 > - XS0081247446 > - XS0083246032 > - XS0083714823 > - XS0083662923 > - XS0084680106 (for this bond prospectus is missing) > - > -- Added the following zero coupon bonds callable but quoted as plain with > - maturity at the first call dates > - XS0080650806 > - XS0081247446 > - XS0083246032 > - XS0083714823 > - XS0083662923 > - XS0084680106 > - > -BondMonitor_EUR.xls: > -- all market data triggers have been taken into account > - > - > > > This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site. > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio 2008. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-cvs mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-cvs > |
