Changes in Swaption2(...) ?
Posted 05 June 2006 - 10:01 AM
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.
Posted 05 June 2006 - 10:15 AM
Can you post an example of a difference you're seeing to help us find the cause?
Note too that Swaption2 was changed on 060516, the current version, partly due to a bug that was found by one of your colleagues. Are you sure you're not comparing to this 060516 version?
Posted 05 June 2006 - 02:00 PM
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.)
Posted 08 June 2006 - 09:47 AM
Posted 26 June 2006 - 09:01 AM
We apologize for the error, and the time it took to locate the source of the problem. Thank you for your patience.
A newer version with, among other things, an updated readme.txt file, has been uploaded to the ftp site.
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