[Riskquantify-devel] Version 0.7.4 of RQ released!

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

I just release version 0.7.4 of RQ on SourceForge. The source can be 
downloaded from here:

http://sourceforge.net/project/showfiles.php?group_id=10419

The main change in this release is that the payment amount on the fixed 
flows in the rq_floating_flow structure are now calculated by dividing 
the fixed rate by the number of periods per year, and then multiplying 
by the notional amount. This replaces the old method which was to use 
the day count convention and the period itself to work out the 
effective rate. This (I believe) emulates what occurs in the market. 
The code will fall back to using the day count convention and the 
period to calculate the payment amount, if it can't work out the number 
of periods per year from the start and end dates.

Let me know if you think I am wrong with this.

Cheers, Brett

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