TechHackers - Financial software products - QuantTools: Release Notes

QuantTools enhancements – Version 2002

version 10.0 version 2001 version 2000

New module

Performance QuantTools 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 and 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?

THIfxmaturity and THIfxsvdate compute respectively effective maturity and spot value dates for fx contracts.
THIoutfwd computes the forward exchange rate implied by non-arbitrage arguments. This function extends functionality of THIswappt 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 THIbinimpv, 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 QuantTools allows pricing of seasoned (in progress) swaps. New functions offer support of custom swap types.

Curve?

New curve building function THIdfcurve1 is an improved version of old function THIdfcurve; it handles better the region where cash/futures curve is stitched with swap curve.

Other Notes for Version 2002

As of version 2000.0, the QuantTools amortization, math, finance, foreign exchange, and conversion libraries are multithread safe. The date, business date, treasury bill, CD, options, MBS, and exotic multi-exercise libraries are multithread safe as of version 2000.1. The convertible bonds module (introduced in version 2001.0) is multithread safe. As of version 2000.2, the credit, asian, binary-barrier and multi-asset libraries (which make use of pseudo-random number generators) are multi-thread safe when properly initialized. The initialization functions return the value 0 on platforms where QuantTools supports safe multithread operation, and 1 otherwise. The bond library's custom bond functionality also requires initialization before it is multithread safe THIbcustom calls are not intermixed with other function calls, the library is multithread safe without explicit initialization). As of version 2000.1, the curve, swap and IRO libraries are multithread safe in their shared object (.so or .dll) form. If they have been delivered as static archives (.a or .lib) and you use the \fn{THIbcustom} function, these libraries will also require explicit initialization in order to be multithread safe.


		QuantTools enhancements – Version 2002 version 10.0 version 2001 version 2000 New module Performance QuantTools 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 and 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? THIfxmaturity and THIfxsvdate compute respectively effective maturity and spot value dates for fx contracts. THIoutfwd computes the forward exchange rate implied by non-arbitrage arguments. This function extends functionality of THIswappt 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 THIbinimpv, 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 QuantTools allows pricing of seasoned (in progress) swaps. New functions offer support of custom swap types. Curve? New curve building function THIdfcurve1 is an improved version of old function THIdfcurve; it handles better the region where cash/futures curve is stitched with swap curve. Other Notes for Version 2002 As of version 2000.0, the QuantTools amortization, math, finance, foreign exchange, and conversion libraries are multithread safe. The date, business date, treasury bill, CD, options, MBS, and exotic multi-exercise libraries are multithread safe as of version 2000.1. The convertible bonds module (introduced in version 2001.0) is multithread safe. As of version 2000.2, the credit, asian, binary-barrier and multi-asset libraries (which make use of pseudo-random number generators) are multi-thread safe when properly initialized. The initialization functions return the value 0 on platforms where QuantTools supports safe multithread operation, and 1 otherwise. The bond library's custom bond functionality also requires initialization before it is multithread safe THIbcustom calls are not intermixed with other function calls, the library is multithread safe without explicit initialization). As of version 2000.1, the curve, swap and IRO libraries are multithread safe in their shared object (.so or .dll) form. If they have been delivered as static archives (.a or .lib) and you use the \fn{THIbcustom} function, these libraries will also require explicit initialization in order to be multithread safe.