TechHackers - Analyst Release Notes

@nalyst enhancements – Version 2002

version 10.0 version 2001 version 2000

New module

Performance @nalyst provides functions for performing statistical analysis of asset returns .

What's new for bonds?

For ILG (Index-Linked Gilts): duration and convexity functions have been added.
For TIPS (Treasury Inflation Protected Securities): functions computing price, yield, cash flows, accrued interest, duration and convexity have been added.
For OATIs (Obligations Assimilables du Tresor - index\'ees): functions computing price, yield, cash flows, accrued interest, duration and convexity have been added.
FRN (Floating Rate Notes) now support ACT/ACT and 30E/360 calendars. Also, in QuantTools, a new set of FRN functional entry points accepts FRN type (similar to bond type for bonds).
New bond type supported: Danish government bond with new conventions.
New futures contracts supported: MATIF Euro-denominated long-term contract with BUND as a deliverable.

What's new for FX?

fxmaturity and fxsvdate compute respectively effective maturity and spot value dates for fx contracts.
outfwd computes the forward exchange rate implied by non-arbitrage arguments. This function extends functionality of swappt function to contracts that have period value date before spot value date, and also to long (longer than a year) contracts.

What's new for Options & Exotics?

Function binimpv, computing implied volatility of options using binary tree, has been optimized. Now it works up to 5 times as fast as the previous version.
Added new geometric control variate optimization to handle average strike asian options.

What's new for Swaps?

New set of entry points in swaps @nalyst allows pricing of seasoned (in progress) swaps. New functions offer support of custom swap types.

Curve?

New curve building function dfcurve1 is an improved version of old function dfcurve; it handles better the region where cash/futures curve is stitched with swap curve.

Other Notes for Version 2002

If you are using network licensed products and are upgrading to this release from version 3.1, 97, or 98, you should also upgrade to the network license server software included with this distribution. The version 2002 network license server is compatible with licensed software from versions 3.1, 97, 98, 99, 2000, 2001, and 2002. If you wish to run network licensed software from version 3.0, you will need to continue to run the license server originally distributed with that release. Version 2002 network license server software will NOT inter-operate with version 3.0.


		@nalyst enhancements – Version 2002 version 10.0 version 2001 version 2000 New module Performance @nalyst provides functions for performing statistical analysis of asset returns . What's new for bonds? For ILG (Index-Linked Gilts): duration and convexity functions have been added. For TIPS (Treasury Inflation Protected Securities): functions computing price, yield, cash flows, accrued interest, duration and convexity have been added. For OATIs (Obligations Assimilables du Tresor - index\'ees): functions computing price, yield, cash flows, accrued interest, duration and convexity have been added. FRN (Floating Rate Notes) now support ACT/ACT and 30E/360 calendars. Also, in QuantTools, a new set of FRN functional entry points accepts FRN type (similar to bond type for bonds). New bond type supported: Danish government bond with new conventions. New futures contracts supported: MATIF Euro-denominated long-term contract with BUND as a deliverable. What's new for FX? fxmaturity and fxsvdate compute respectively effective maturity and spot value dates for fx contracts. outfwd computes the forward exchange rate implied by non-arbitrage arguments. This function extends functionality of swappt function to contracts that have period value date before spot value date, and also to long (longer than a year) contracts. What's new for Options & Exotics? Function binimpv, computing implied volatility of options using binary tree, has been optimized. Now it works up to 5 times as fast as the previous version. Added new geometric control variate optimization to handle average strike asian options. What's new for Swaps? New set of entry points in swaps @nalyst allows pricing of seasoned (in progress) swaps. New functions offer support of custom swap types. Curve? New curve building function dfcurve1 is an improved version of old function dfcurve; it handles better the region where cash/futures curve is stitched with swap curve. Other Notes for Version 2002 If you are using network licensed products and are upgrading to this release from version 3.1, 97, or 98, you should also upgrade to the network license server software included with this distribution. The version 2002 network license server is compatible with licensed software from versions 3.1, 97, 98, 99, 2000, 2001, and 2002. If you wish to run network licensed software from version 3.0, you will need to continue to run the license server originally distributed with that release. Version 2002 network license server software will NOT inter-operate with version 3.0.