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Rich_Tanenbaum

Current version of TOPS

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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

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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

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