Jump to content


Photo

Current version of TOPS


26 replies to this topic

#21 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 30 April 2008 - 09:32 AM

Attached File  readme.txt   98.84K   0 downloadsA 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.

#22 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 07 May 2008 - 03:45 AM

Attached File  readme.txt   99.05K   0 downloadsA 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.

#23 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 29 July 2008 - 01:32 PM

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.
Attached File  readme.txt   99.68K   0 downloads

#24 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 20 January 2009 - 12:59 PM

Attached File  readme.txt   100.75K   0 downloadsA 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.

#25 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 14 April 2010 - 01:31 PM

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 <= instead of <. INTQUOTE and others that calculate spot rates: remove
trailing zeroes at the end of the curve.

090316 SCENARIOSWAPCFGEN: Added new model. FLTCFGEN2, FLTCFGEN3: When determining payment dates use < instead of <=
(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.

Attached Files



#26 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 22 July 2010 - 04:46 PM

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.

Attached Files



#27 Rich

Rich

    Advanced Member

  • Savvysoft
  • PipPipPip
  • 397 posts
  • Gender:Male

Posted 09 February 2011 - 02:00 PM

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.

Attached Files





Reply to this topic



  


1 user(s) are reading this topic

0 members, 1 guests, 0 anonymous users