[Riskquantify-devel] RQ version 0.7.2 released!

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

Version 0.7.2 of Risk Quantify has been released. There has been some 
work done on the yield curves in this release, and there is an MSVC 
project file for building a command-line tool - "rq_yc.exe" - for 
bootstrapping yield curves.

There is a sample configuration file rq_yc.cfg in the 
"src/apps/cmdline" directory.

Of course, you can build this program in the Unix/Linux/Mac OS/X 
environments as well.

A sample command line for running the program is:

$ ./rq_yc -c rq_yc.cfg -C "YIELD_CURVE:AUD BBSW" -D 2005-01-01 -L
2005-01-02      0.999863032461  0.050000000000  0.050000000000
2005-02-01      0.995687174185  0.051000000000  0.051000000000
2005-04-01      0.987340402510  0.052000000000  0.051287671233
2005-07-01      0.974390872227  0.053000000000  0.052217402257

Here it is outputting the points on the bootstrapped curve "AUD BBSW" - 
the date, discount factor, zero rate, and quarterly swap rate are 
output.

I am still testing this program, but would definitely appreciate any 
comments/feedback/bug-fixes.

The tarball can be downloaded from sourceforge:
http://sourceforge.net/project/showfiles.php?group_id=10419

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