TechHackers - Financial software products - QuantTools: Release Notes

QuantTools enhancements – Version 10.0

version 2002 version 2001 version 2000

What's new for bonds?

For ILG (Index-Linked Gilts): Three-month lag index-linked gilts have been added.
For OATs (Obligations Assimilables du Tresor): New rounding conventions have been added.
FRN (Floating Rate Notes) New functions were added to provide additional metrics for FRNs: discount margin to price (THIfrndm2pr), and price-to-discount margin (THIfrnpr2dm). These functions can accommodate calculations specific to Australian FRNs.
New bond types supported:
- Estonia
- Republic of Malta
- Poland
- Cyprus
- Hungary
- Latvia
- Greece (2 types: act/act and 30E/360)
- Slovenia
- Bulgaria
- Romania
- Turkey
- Croatia
New index-linked bond types supported:
- Japan
- South Africa
- Italy

What's new for Interest Rate Options?

New routines THIgcapfloorlet1 and THIgcapfloorletsens1 handle the historical rate reset for caplets and floorlets.

What's new for Swaps?

Asof date can now be entered as an offset from today.

What's new for Curves?

New curve building function THIdfcurveswxi generates curves which allow
- more exact specification of futures
- better splicing for cash futures portion of the curve
- new "exact" curve fitting algorithm for the swap portion of the curve
- the ability to specify forward rates directly in place of futures prices along with day count and compounding

Other Notes for Version 10.0

Better handling of settlements on maturity and maturities on holidays.
Various bug fixes.


		QuantTools enhancements – Version 10.0 version 2002 version 2001 version 2000 What's new for bonds? For ILG (Index-Linked Gilts): Three-month lag index-linked gilts have been added. For OATs (Obligations Assimilables du Tresor): New rounding conventions have been added. FRN (Floating Rate Notes) New functions were added to provide additional metrics for FRNs: discount margin to price (THIfrndm2pr), and price-to-discount margin (THIfrnpr2dm). These functions can accommodate calculations specific to Australian FRNs. New bond types supported: Estonia Republic of Malta Poland Cyprus Hungary Latvia Greece (2 types: act/act and 30E/360) Slovenia Bulgaria Romania Turkey Croatia New index-linked bond types supported: Japan South Africa Italy What's new for Interest Rate Options? New routines *THIgcapfloorlet1* and *THIgcapfloorletsens1* handle the historical rate reset for caplets and floorlets. What's new for Swaps? Asof date can now be entered as an offset from today. What's new for Curves? New curve building function THIdfcurveswxi generates curves which allow more exact specification of futures better splicing for cash futures portion of the curve new "exact" curve fitting algorithm for the swap portion of the curve the ability to specify forward rates directly in place of futures prices along with day count and compounding Other Notes for Version 10.0 Better handling of settlements on maturity and maturities on holidays. Various bug fixes.