TechHackers - Analyst Release Notes

@nalyst enhancements – Version 2001

version 10.0 version 2002 version 2000

New module

Convertible @nalyst provides functions for pricing and analyzing convertible bonds.
OAS @nalyst computes OAS for bonds with call, put, and sinking fund provisions.

What's new for bonds?

byworst computes yield-to-worst.
CD functions support actual/365 and actual/366 calendars.
cdval01 computes the value of a basis point for CDs.
Added PIK bond support: pikdur, pikvalbp and pikval32 compute duration, value of a basis point and value of a 32nd.
New bond type supported: Korean government bonds.
New bond type supported: Slovak government bonds.
New bond type supported: Hong Kong Exchange Funds Notes.
Additional types of floating rate notes now supported.
Updates to reflect changes to bond market conventions–e.g. new methods for computing conversion factors, ex-dividend dates, etc.
New futures contracts supported: CBOT Agency Bond contracts.
New futures contracts supported: CME Agency Bond contracts.

What's new for credit?

Basket options:
credbasketdef calculates the premium where the buyer is compensated in the case of default of the first nmin and up to nmax assets.
credbasketloss calculates the premium where the buyer is compensated once cumulative losses due to default start exceeding min_loss (deductible) and up to the total amount of max_loss.

What's new for options?

Implied strike functions: rgwis, jumpis, binis, bsis, bdis, gkis, gkis4, blkis, blkedis, and whalelyis compute the strike price that results in a given option premium, and can be used to structure zero-cost collars.
New model: warrant and warrantsens provide pricing and sensitivity analysis for warrants, accounting for the impact of dilution.

What's new for curves, swaps and IROs?

Added support for swaps with initial and final odd periods.
Analyze generalized caps and floors, where the rate tenor and cap period do not match.
BDT model supported: Analyze caps, floors, and swaptions with the Black-Derman-Toy interest rate model.
Support actual/365 (ISDA) calendar.

What's new for Mortgages?

Compute Z-spread (and price from Z-spread) using mbszpr and mbszspread.

What's new for Finance?

Portfolio return calculations:
- twr computes time-weighted return.
- mwr computes money-weighted return.
- mdietz computes time-weighted return using the modified Dietz method.

New utility functions

Additional holiday centers supported.

Other Improvements from 2000 to 2001

Additional and improved MarketBooks
Improved documentation.
Simpler installation and license management.
Enhanced speed and accuracy of underlying computations.
Bug fixes.


		@nalyst enhancements – Version 2001 version 10.0 version 2002 version 2000 New module Convertible @nalyst provides functions for pricing and analyzing convertible bonds. OAS @nalyst computes OAS for bonds with call, put, and sinking fund provisions. What's new for bonds? byworst computes yield-to-worst. CD functions support actual/365 and actual/366 calendars. cdval01 computes the value of a basis point for CDs. Added PIK bond support: pikdur, pikvalbp and pikval32 compute duration, value of a basis point and value of a 32nd. New bond type supported: Korean government bonds. New bond type supported: Slovak government bonds. New bond type supported: Hong Kong Exchange Funds Notes. Additional types of floating rate notes now supported. Updates to reflect changes to bond market conventions–e.g. new methods for computing conversion factors, ex-dividend dates, etc. New futures contracts supported: CBOT Agency Bond contracts. New futures contracts supported: CME Agency Bond contracts. What's new for credit? Basket options: credbasketdef calculates the premium where the buyer is compensated in the case of default of the first `nmin` and up to `nmax` assets. credbasketloss calculates the premium where the buyer is compensated once cumulative losses due to default start exceeding `min_loss` (deductible) and up to the total amount of `max_loss`. What's new for options? Implied strike functions: **rgwis, jumpis, binis, bsis, bdis, gkis, gkis4, blkis, blkedis, and whalelyis compute the strike price that results in a given option premium, and can be used to structure zero-cost collars. New model: warrant and warrantsens provide pricing and sensitivity analysis for warrants, accounting for the impact of dilution. What's new for curves, swaps and IROs?** Added support for swaps with initial and final odd periods. Analyze generalized caps and floors, where the rate tenor and cap period do not match. BDT model supported: Analyze caps, floors, and swaptions with the Black-Derman-Toy interest rate model. Support actual/365 (ISDA) calendar. What's new for Mortgages? Compute Z-spread (and price from Z-spread) using mbszpr and mbszspread. What's new for Finance? Portfolio return calculations: twr computes time-weighted return. mwr computes money-weighted return. mdietz computes time-weighted return using the modified Dietz method. New utility functions Additional holiday centers supported. Other Improvements from 2000 to 2001 Additional and improved MarketBooks Improved documentation. Simpler installation and license management. Enhanced speed and accuracy of underlying computations. Bug fixes.