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fmvilleneuve

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About fmvilleneuve

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  • Location
    Ottawa (Canada)
  • Interests
    Portfolio Manager at Export Development Canada<br /><br />Mostly interested in fixed income structured notes and their associated swap hedge. (PRDC, Range Accrual, Inverse FRN, CMS Spread, etc.)<br /><br />Also spending time on developing products with Turbo Excel
  1. BondVal and Amortizers

    I assume this extends to FRNVal(...) too, right? i.e. By having a par schedule, the FRNVal(...) function will take into account notional cash flows and PV them in order to recover the current price. Could you please confirm? I assumed yes, and I tried it, but I run into a bug. I thin there is something wrong with FRNVal(...). When I enter a par schedule, it returns the settlement date. Check out my example below: First get the answer for: =FRNVal(38891,38891,38898,100,0.05,5,0,0,0,"*SA0FNB") It's an FRN settling on 30-Jun-2006 with a par of 100. Now replace 100 by an array like the following: (30-Jun-2006; 100) You'll see that the answer is 38898, which is 30-Jun-2006, which is the settlement date. Do you get the same thing?
  2. Changes in Swaption2(...) ?

    Hi Rich. Any update on this?
  3. Uploading TE DLL's

    Ok. Mea culpa. Sorry... :( Turns out we were loading up fvTriangle2.dll in the wrong way. It works within the deal capture system. But... We still can't load the CMS custom solution that Rich developed for us. Would this have to do with the fact that our TOPSALL.dll that were are using (and to which the CMS function is referring to) is old? (Last update: June 2005)
  4. Uploading TE DLL's

    1) The two DLL files are from a development environment. The deal capture system is on another development environment system. I am using C++ .NET for both dlls. 2) Our deal capture system is programmed in Smalltalk, so we don't have a blob of code we can send you. We can send a few lines in isolated procedures, though. Would that work?
  5. Uploading TE DLL's

    We've tried doing the Dependency Walker thing with our deal capture system, but we can't run them together. Any other idea? Thanks.
  6. BondVal and Amortizers

    Hello everyone, I'm trying to use the function BondVal(...) to recover the PV of a loan with multiple disbursements and repayments. The principal outstanding will be a schedule that looks like the following: 0 20 0.5 40 1 60 1.5 80 2 100 2.5 75 3 50 3.5 25 4 0 Will BondVal(...) also PV the principal cash flows? Thanks
  7. Uploading TE DLL's

    We checked an it's the same versin of xls2c7.dll (March 24, 2006).
  8. Changes in Swaption2(...) ?

    Did you receive my two spreadsheets? Have you been able to understand why, in once case, there is a difference, and why, in the other case, there are no differences? Thanks.
  9. Uploading TE DLL's

    Yes. For the first DLL, the function name is set to fvTriangle. For the second one, it's fvTriangle2.
  10. Uploading TE DLL's

    We ran both DLL's and get the same error message: Error: At least one file could not be opened for reading. Warning: At least one module has an unresolved import due to a missing export function in a delay-load dependent module. Since both DLL caused the same thing, it's not that. I could see xls2c7.dll as a dependant, but it looked the same. Any idea?
  11. Changes in Swaption2(...) ?

    1) We'll post/send you and example for this. It's the same value in some deals, and different in others. 2) We are all aware that you made more changes to Swaption2(...). We wanted to finish the update process for the 20060410 version first, then "validate" the changes you made in 20060516 and finally, install that one in production. (Everybody here is on the same page, so you should be getting a consistent message from us. That should make your life easier.)
  12. Uploading TE DLL's

    1) When working on our recent customized function, you made a "beta" version of xls2c7.dll. I'm still using that one. I don't have the old xls2c7.dll file that I used to build an older function that our deal capture system can read. 2) I used Dependency Walker on both the good and the bad custom made dll. The names are the way I set them in the Turbo Excel dialog box. Does this help?
  13. Uploading TE DLL's

    My Turbo Excel edition is: PROFESSIONAL The error we're getting in our deal capture system is: Library Not Found My programmer tells me that the deal capture system found the DLL but when it tries to call the function, it could not find it.
  14. Changes in Swaption2(...) ?

    As part of our process to update the TOPS product, we conduct rigourous testing to make sure nothing has changed. We validate our models and want to ensure that the validated models stay the way they are. We recently try to update to the 2006-04-10 version of TOPS from the 2005-06-01 version. Many of our trades that use Swaption2(...) showed variations. We looked in the README file and found nothing between those two dates that would indicate that there were any changes made to Swaption2(...). Perhaps some changes in other functions affected Swaption2(...). We are not adverse to changes, but seek to know what they are and understand them. That way, we can document them and be confident in the conceptual soudness of the models we are using. So can anyone help by telling me what changed in Swaption2(...) ? Thank you. Fran├žois
  15. Uploading TE DLL's

    I'm using a new(er) version of Turbo Excel with an xls2c7.dll file as of 3/24/2006 4:14 PM. The compilation in Excel works fine as does running the XLL. But we're having trouble uploading the DLL in our deal capture system. I tried creating a very simple program and it didn't work. A previous version of this simple program that I compiled using a previous version of Turbo Excel still works fine with the new xls2c7 file. So it seems to me that the problem is happening when compiling the spreadsheet. Any idea? Fran├žois
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