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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. fmvilleneuve

    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. fmvilleneuve

    Changes in Swaption2(...) ?

    Hi Rich. Any update on this?
  3. fmvilleneuve

    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
  4. fmvilleneuve

    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.
  5. fmvilleneuve

    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.)
  6. fmvilleneuve

    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
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