TechHackers - Financial software products - QuantTools: Release Notes

QuantTools enhancements – Version 2000

version 10.0 version 2002 version 2001

What's new for bonds?

Added support for floating rate notes.
New bond type supported: Colombian government bonds.
New bond type supported: South African government bonds.
New bond type supported: Icelandic government bonds.
New bond type supported: Lithuanian government bonds.
New bond type supported: Indian government bonds.
Updates to reflect changes to bond market conventions–e.g. new methods for computing conversion factors, ex-dividend dates, etc.
Agency futures contracts supported.
New futures contract supported: BTP30 on MIF.
New futures contract supported: 2STAT and 10STAT on OM.
Price Brady bonds off of yield curves and determine sovereign spreads.

What's new for options?

Enhanced pricing model: THIgkopt4, THIgkimpv4, and THIgksens4 provide pricing, implied volatility, and sensitivity analysis for foreign exchange options while supporting a four-date (trade, settle, expiration, delivery) specification.

What's new for credit?

Basket options:
THIcredbasketdef calculates the premium where the buyer is compensated in the case of default of the first nmin and up to nmax assets.
THIcredbasketloss 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 exotics?

New option type: binary barrier options
16 new functions for analyzing options with both digital payouts and barriers

What's new for curves, swaps and IROs?

More robust curve builder works better with incomplete data.
Now supports American and Bermudan fixed-duration swaptions, as well as cancellation style (fixed maturity date) swaptions.
Price Brady bonds off of yield curves and determine sovereign spreads.
Analyze generalized caps and floors, where the rate tenor and cap period do not match.

What's new for Mortgages?

Compute effective duration and convexity when prepayment assumptions vary with yield using THImbsedur and THImbseconv.

What's new for Finance?

THIampmtp computes the principal portion of a payment for an amortized loan.
THIamwal computes the weighted average life of an amortized loan.

New utility functions

Math module now supports cubic interpolation (as well as linear and cubic spline).
Conversion between 256ths and decimal with upgraded functions THIdfrac32p and THIfracd32p.
Additional holiday centers supported.

Other Improvements from 99 to 2000

Libraries are multi-thread safe on most major platforms.
Improved documentation.
More platform and licensing choices available.
Enhanced speed and accuracy of underlying computations.
Bug fixes.


		QuantTools enhancements – Version 2000 version 10.0 version 2002 version 2001 What's new for bonds? Added support for floating rate notes. New bond type supported: Colombian government bonds. New bond type supported: South African government bonds. New bond type supported: Icelandic government bonds. New bond type supported: Lithuanian government bonds. New bond type supported: Indian government bonds. Updates to reflect changes to bond market conventions–e.g. new methods for computing conversion factors, ex-dividend dates, etc. Agency futures contracts supported. New futures contract supported: BTP30 on MIF. New futures contract supported: 2STAT and 10STAT on OM. Price Brady bonds off of yield curves and determine sovereign spreads. What's new for options? Enhanced pricing model: THIgkopt4, THIgkimpv4, and THIgksens4 provide pricing, implied volatility, and sensitivity analysis for foreign exchange options while supporting a four-date (trade, settle, expiration, delivery) specification. What's new for credit? Basket options: THIcredbasketdef calculates the premium where the buyer is compensated in the case of default of the first `nmin` and up to `nmax` assets. THIcredbasketloss 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 exotics? New option type: binary barrier options 16 new functions for analyzing options with both digital payouts and barriers What's new for curves, swaps and IROs? More robust curve builder works better with incomplete data. Now supports American and Bermudan fixed-duration swaptions, as well as cancellation style (fixed maturity date) swaptions. Price Brady bonds off of yield curves and determine sovereign spreads. Analyze generalized caps and floors, where the rate tenor and cap period do not match. What's new for Mortgages? Compute effective duration and convexity when prepayment assumptions vary with yield using THImbsedur and THImbseconv. What's new for Finance? THIampmtp computes the principal portion of a payment for an amortized loan. THIamwal computes the weighted average life of an amortized loan. New utility functions Math module now supports cubic interpolation (as well as linear and cubic spline). Conversion between 256ths and decimal with upgraded functions THIdfrac32p and THIfracd32p. Additional holiday centers supported. Other Improvements from 99 to 2000 Libraries are multi-thread safe on most major platforms. Improved documentation. More platform and licensing choices available. Enhanced speed and accuracy of underlying computations. Bug fixes.