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About Rich_Tanenbaum

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  1. Current version of TOPS

    A new version of TOPS has been uploaded to the ftp site. The changes are: 100803 SWAPTION,SWAPTION2,SWAPTION3,SWAPTION4: Comparison of intrinsic and option value uses separate variable equal to .01. 100903 SWAPTION_VEGAGRID, SWAPTION_DELTAGRID, BONDVAL_YIELDSENS: Added new models. 100905 SWAPTIONLMM_VEGAGRID, SWAPTIONLMM_DELTAGRID: Added new models. BASISCURVEGENF: Use non-zero last reset. 101210 OMNIPRICER_IR: Don't delete memory allocated for cash flows if they cannot be generated. OMNIPRICER_MC: Remove diagnostic file i/o. OMNIPRICER_MULTI: Delete allocated memory at end. 110207 SWAPTION_HW, SWAPTION_HW_DELTAGRID, SWAPTION_HW_VEGAGRID: Added beta of new models. SWAPTION,SWAPTION2,SWAPTION3,SWAPTION4: Don't use small binomial periods to speed up vega calculation in implied vol. BONDVAL: If bad 5 date range x y y y y passed in, change it to x y x y y and continue. CALIBRATE_SWAPTION: Added new model. Added licensing for Inflation suite. Add solversdk.dll stub. BONDVAL_YIELDSENS, SWAPTION_DELTAGRID, SWAPTIONLMM_DELTAGRID: redefine result to calculate values with respect to change in yield instead of change in discount factors. Added new routines to documentation. README.TXT
  2. Current version of TOPS

    A new version of TOPS has been uploaded to the ftp site. The changes are: 100722 For Excel 2003 and later, when using the dialog box, an apostrophe is no longer added to the beginning of the formula string. OMNIPRICER_MC: Test text file no longer opened and closed. Main menu dialog: Previous_model variable initialized. Updated Calc4Web library to latest version. README.TXT
  3. Current version of TOPS

    A new version of TOPS has been uploaded to the ftp site. The changes are: 090213 FLTCFGEN2, FLTCFGEN3: Whether set in advance or not, set calculation period start and end dates the same way. Also when determining payment dates use trailing zeroes at the end of the curve. 090316 SCENARIOSWAPCFGEN: Added new model. FLTCFGEN2, FLTCFGEN3: When determining payment dates use (back to old way). ROLLDOWN_ARRAY: Handle case of 0 rolldown correctly, and also better handle cases where top of range is shorter than rolldown period. 090327 MBSVAL_STARSACCRUED: Added new model. Allocate memory with GlobalAlloc. 090401 MULTIPLYVOLFP: Added new model. MBSVAL_STARSACCRUED: Accept spread in basis points. 090928 FLTCFGEN2: Clean up internal variable before exit. Fix off by 1 error in date generation for certain cases. Allow '5' and '8' for frequency. OMNIPRICER_MC: Set error code correctly when generating matrix based on correlations. MOVEYIELDCURVE: Short circuit calculation if 0 shift entered. INTSWAP3: Handle discounting more accurately when cash flow dates are not on period dates in tree. OMNIPRICER, RESETDATES: When rolling down curve handle 0 in middle more accurately. COUNTRY frequency and basis: Added new routines. SWAPTIONPROB: Note 3 columns generated when vol curve input. 091005 SWAPINST, SWAPTIONFWD, SWAPTION2, SWAPTION2_KEYRATE, SWAPTION3, SWAPTION4: Calculate strike using single maturity if range not entered. 091208 SCENARIOSWAPCFGEN: Fixed calculations for credit spreads. SPLICE: Declare variables up top. 091231 OPPOWERBOND2: Removed memory leaks, check for negative forward rates. Made ROLLDOWN more precise and robust. ROLLDOWN_ARRAY: Fixed off by 1 error. US_FREQ, US_BASIS: Added routines for internationalization. OMNIPRICERSTD: Fixed memory leak. 100112 ZEROCOUPONINFLATIONSWAP, INFLATIONCURVEGENF, PRICEINDEXINFLATIONSWAP, INFLATIONBOND, REALYIELDINFLATIONSWAP, INFLATIONCURVEGENF2: Added new routines. 100301 SWAPTIONPROB: Don't attempt to delete installment array if it was never allocated. 100309 Remove calls to solver dll. 100414 SCENARIOSWAPCFGEN: Fixed i and j indices in loops for cash flow generator. BARRIERSKEW2, BARRIERSKEW, SHIFTVOLGRID, CONVERTFXVOLS, CONVERTFXVOLSARRAY,ILNMER,OPTILNMER,OMNIPRICER_STD_MULTI,DIGITALBARRIER: Added new models. README.TXT
  4. Does TOPS license expire?

    The #NA is not a sign of a license issue, unless perhaps you are calling a function which is referencing a cell with a TOPS error in it and that function returns #NA with an error input. Also, while your licenses do expire annually (and you're due to get a new set in a few days) you'll get an error when starting TOPS when there are 5 days or less remaining in the license. If you'd like to send over a spreadsheet with the #NAs in it we can help you troubleshoot it.
  5. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 080811 OMNIPRICER_MULTI_XLS2C_2: Added version which can use Calc4Web generated callback functions. SPLICEV, STRIPCOLUMNS, STRIPROWS: Added new models. Splice: Fixed to take only 30 arguments. CancellableCMSSpread: Reverted to single factor version. Also rebuilt with newest Calc4Web. Put Excel 2007 compatible (Excel 95 incompatible) version of tops.xla in distribution. 080812 FLTCFGEN, FLTCFGEN2: Export routines from topsall to return array. SPLICEV: Fixed rows/cols bug. COMMSPREAD2: Added new model 080820 SWAPTION3: Handle case where vol curve is input. 080926 FLTCFGEN2: Don't convert input ranges par, idxmat, multiplier, spread, cap and floor to terms before interpolating. MOVECURVE, MOVECURVEMULT: Make additive and multiplicative shifts correct. COMMSWAP2: Added new model. 081016 FLTCFGEN2: Allow index frequency of 'K'. 090106 MOVECURVEHISTORICAL, CAPFLR3, COMBINE_FORWARD_FX_CURVES,SCENARIOCFGEN: Added new models. FLTCFGEN2: Better handling of cash flow cases. Still needs to handle other cases. CDXTRANCHE: Handle floating rate CDOs.
  6. Current version of TOPS

    A new version of TOPS has been uploaded to the ftp site. The changes are: 080725 MIRRORYIELDCURVEMOVE, COMBINEFORWARDFXCURVES, ROLLDOWNYIELDCURVE: Added new model. RolldownArray: Reset maximum array bound, and handle situation where first data point has a zero value and non-zero date/term. OpPowerBond: Correctly handle 1 by 5 matuity range. CDXTranche: update to handle floating rate spread. Fixed text of errorcode for tgoycpoints. VolGridToYieldCurve: Handle case where maturity is date. SwaptionLMM2: Handle 1 by 1 correlation input. DefaultSwapVal3: Fill out spreads after calling recoverspreads. 080729 All models: Removed diagnostic call to forcefunc from topsall to standalone tmath. readme.txt
  7. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 080507 OMNIPRICER_MC: Calculate forward price curve for all cases,not just some, for correctly conditioning each random number series to its asset's expected forward price across time. Removed writing to log file.
  8. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 080429 CFGEN,SWAPTION,SWAPTION2,SWAPTION3,SWAPTION4,SWAPTIONLMM,SWAPTIONLMM2,DEFAULTSWAPVAL2,SWAPVAL,KNOCKOUTSWAP, CDXTRANCHE,ALL OMNIPRICER,SNOWBALL,SNOWBLADE,TARN,CANCELLABLECMSSPREAD: When an intermediate error occurred, in some cases memory was being freed before it was used to determine the error code. CANCELLABLECMSSPREAD: Turn off cell logging. ADDFP, MULTIPLYFP: Allow single cell FPs to be passed in.
  9. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 080423 CANCELLABLECMSSPREAD: Added to distribution. CREDITPROBALL, CREDIT, DEFAULTSWAPVAL, DEFAULTSWAPVAL2: Previous fix for absolute diffeence in survival rate did not make it into previous distribution.
  10. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 080102 GENNORMRANSEED: Added new model which stores place in sequence between calls (after the session has started). ALPHABANKCALLER: Added new model. 080103 SWAPTION,SWAPTION2,SWAPTION3,SWAPTION4: When calculating strike, do not add in coupon when accrued is 0 on a forward date if that is the effective date of the swap. 080422 CREDITPROBALL, CREDIT, DEFAULTSWAPVAL, DEFAULTSWAPVAL2: When calculating default probabilities given default swaps, and when pricing default swaps, touches, annuities, ends, and fees with 0 volatility, convert terms to dates if necessary in fast_fee function and value_credit_zeroprob, and also build risk free array with both term and df columns in fast_fee. Also, probability of default from t12 to t2 based on absolute difference in survival rate instead of ratio of survival rates. TREETOPS: All routines renamed to OmniPricer. ROLLDOWN_ARRAY_INTERP, ROLLDOWN_VOL_ARRAY: added new routines. SWAPTION_LMM, SWAPTION_LMM2, CANCELLABLECMSSPREAD, OMNIPRICER_MULTI_IR: When walking back through the tree explicitly set the size of the return array from the payoff function. Put in correct faster license key generator.
  11. Current version of TOPS

    README.TXTA new version of TOPS has been uploaded to the ftp site. The changes are: 071127 OPSNOWBALL: Added new model. SNOWBALL: Changed dialog box to say Prior Coupon instead of Current Coupon.
  12. Current version of TOPS

    readme.txtA new version of TOPS has been uploaded to the ftp site. The changes are: 070710 SWAPTION,SWAPTION2,SWAPTION3,SWAPTION4: When par is not constant and a vol matrix is entered, and the par range has dates in it the dates are converted to terms before a comparison is made to calculate the amortization-adjusted vol. 070812 Changed online help to HTML format. Added dialog boxes for TARN, SNOWBALL and SNOWBLADE, also added these to template builder. 071019 DIGITALSPREAD: Added new model. SWAPTIONLMM, SWAPTIONLMM2: Added new licensing. Added MOVEYIELDCURVEMULT to DLL. SWAPTION, SWAPTION2, SWAPTION3, SWAPTION4: Removed excess memory deletes of excfpars variable. SWAPTIONLMM: R returns correlation used, F returns factor maturity used.
  13. Tips and examples

    To see these tips, go to http://www.calc4web.com/trialtip4.htm The tips show you how you can handle calculations based on ranges of unlimited size (break through the 65,536 row and 256 column limit without Excel 2007), and also how to quickly diagnose what's going on if a function doesn't work as expected (we don't mean Calc4Web made a mistake, it's when the spreadsheet had an error in a formula. This is called debugging in programmer-speak, and with Calc4Web it's a whole lot easier than in a language like C or VBA).
  14. Tips and examples

    Go to http://www.calc4web.com/trialtip3.htm to see the tips. These tips cover connecting to a database inside your new function, and then processing the results. We also dive a bit into VBA (if you don't know it, don't worry), showing you how handle one of the few drawbacks of working with spreadsheets: looping. We also demonstrate how to call into Calc4Web generated functions inside VBA (it's just as easy to call the new functions from C, C++, standalone VB and any other high-level language). While VBA is hardly necessary to get a lot of value from Calc4Web, it's nice to know how to make a great product even better.
  15. Tips and examples

    This can be found at http://www.calc4web.com/trialtip2.htm The tip covers using newly created functions inside Excel to make it a snap to build tables (which are easier to use and run much quicker than Excel's tables), and also creating bullet-proof functions just like the pros do, with error checks, return values like #NA and even allowing for default values for missing inputs.