[Riskquantify-devel] New RQ Release...

[Brett H. <br...@hu...>]

OK, I've released the new version of RQ on SourceForge. Here is a 
summary of the latest changes from the NEWS file:

Version 0.7.1 (2005-03-16)

* Lots of work done on term structures, floating flows, day count
   conventions, roll conventions, and calendars!

   There was a bug fix done for calculating the number of months
   between dates in rq_date_month_diff.

   I've added a new type - rq_floating_flow - for storing the
   information needed to value asset-flow-based trades such as swaps or
   bonds.

   I've added functions for calculating day count fractions according
   to the different conventions (in rq_day_count).

   I've added functions for calculating the different roll dates
   according to the different conventions.

   I've also changed the roll date calculation functions so they can
   take a list of calendars instead of only one.

   I've extended rq_yield_curve so it can support being a composite
   yield curve on two other yield curves.

   I've *started* to extend rq_calendar to support composite calendars.

   I've added the weekend dates to the rq_calendar object, in order to
   support calendars that DON'T have Saturday and Sunday as weekends.

   I've fixed up one bug in the rq_tree_rb_clone() function.

   I've made the first part of any term structure object
   (rq_yield_curve, rq_forward_curve, etc) be a standard rq_termstruct
   type. This is so there can be standard routines to determine what
   KIND of term structure a generic termstructure object is.


As usual, any help is much appreciated. Please let me know of any 
issues you find with the release.

Cheers, Brett

--
Brett Hutley {MAppFin,CISSP,SANS GCIH, SANS GCIA}
mailto:br...@hu...
http://hutley.net/brett