Current version of TOPS
Posted 30 April 2008 - 09:32 AM
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.
Posted 07 May 2008 - 03:45 AM
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.
Posted 29 July 2008 - 01:32 PM
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 99.68K 0 downloads
Posted 20 January 2009 - 12:59 PM
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
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.
Posted 14 April 2010 - 01:31 PM
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
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.
Posted 22 July 2010 - 04:46 PM
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.
Posted 09 February 2011 - 02:00 PM
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.
Reply to this topic
1 user(s) are reading this topic
0 members, 1 guests, 0 anonymous users