FINCAD Developer v10 Release Notes

Transcription

1 FINCAD Developer v10 Release Notes

2 FINCAD Developer v10 Release Notes Software Version: FINCAD Developer 10.0 Release Date: November 6, 2006 Document Revision Number: 1.0

3 Disclaimer FinancialCAD Corporation ( FINCAD ) makes no warranty either express or implied, including, but not limited to, any implied warranties of merchantability or fitness for a particular purpose regarding these materials, and makes such materials available solely on a as-is basis. In no event shall FINCAD be liable to anyone for special, collateral, incidental, or consequential damages in connection with or arising out of purchase or use of these materials. This information is subject to change without notice. FINCAD assumes no responsibility for any errors in this document or their consequences, and reserves the right to make improvements and changes to this document without notice. Copyright Copyright FinancialCAD Corporation All rights reserved. Trademarks FinancialCAD and FINCAD are registered trademarks of FinancialCAD Corporation. Other trademarks are the property of their respective holders. FinancialCAD Corporation makes no warranties, express or implied, in this summary. Revisions Every effort has been made to ensure the accuracy of this document. FINCAD regrets any errors and omissions that may occur and would appreciate being informed of any errors found. FINCAD will correct any such errors and omissions in a subsequent version, as feasible. Please contact us at: FINCAD Central City, Suite nd Avenue Surrey, BC V3T 5X3 Canada Document Information Document Name: FINCAD Developer v10 Release Notes Revision: November 6, 2006

4 FINCAD Developer v10.0 Release Notes Changes...5 C++ API... 5 Error Handling... 5 Input Validation... 5 Corrections...6 C# samples... 6 aacredit_dswap Header files... 6 Data type inconsistencies in older functions... 6 Notices...7 Static version of the math library... 7 Documentation... 7 Favorites Category... 7 Java Samples... 7 Analytics - algorithms...8 Analytics specs...13

5 Changes C++ API A new interface is now available for C++ programmers. The previous interface is still available for C programmers and C++ developers who have built their own wrappers based on the older interface. The new C++ interface uses a class called fincad::matrix for passing array inputs. This array class is easier to work with than the XLOPER data structure. The interface also provides enumerated data types for switch inputs and throws exceptions rather than returning error codes, which is the standard convention in C++. Error Handling A new error lookup function called GetErrorString has been added to the library. This routine will return the error text associated with a given error code. It is useful as a tool for providing more meaningful error messages for users of applications developed using FINCAD Developer. Input Validation Input validation has been improved in functions which have a reset rate table as an input. FINCAD Developer v10 Release Notes Copyright

6 Corrections C# samples The C# multi-threaded sample application is now compatible with.net 2.0. aacredit_dswap2 The function now works the same way in FINCAD XL and FINCAD Developer when the rate_recover input table is a single cell regardless of whether the XLOPER data structure was setup as a single cell or an array with one element when calling the function using the C interface. Header files The fc.h header file has been standardized so that it is identical across all supported platforms for the FINCAD Developer product. (Windows, Solaris, Linux and HP-UX) Data type inconsistencies in older functions A number of older or obsolete functions have minor data type corrections where a switch input has been changed from a double data type to an integer data type. This was necessary, in order to be able to provide enumerated data types for switch inputs. The older functions affected by these changes are aaamb_cfs, aabl, aabl_sim, aabs, aabsdcf, aabsdcf_sim, aabs_sim, aacdf, aacdf_cval, aacdf_repo, aacdf_sim, aaconvert_cmpd, aadate_skip, aaeqty_fwd, aafixleg_cd_cfx, aafixleg_cdi, aaflleg_cd_cfx, aaflleg_cdi, aafra, aafrai, aafxfwd, aafxfwd_repo_d, aafxfwd_repo_f, aafxfwd_sim, aagkec_d, aagkec_d_sim, aagkec_f, aagkec_f_sim, aagk_iv_ec_d, aagk_iv_ec_f, aaratefwd, aaratefwd_crv, aaratefwdl, aaratefwd_spot, aaspot_rate, aaswpcd_bmrk, aaswpcdi, aaswp_cpnl, aaswp_fs_cpn, aaswpncdbli, aaswpncdbl_iv, aacompound, aavlt_h. The same corrections were done to the following obsolete functions aabin_yld, aabin_yld_iv, aabin_yld_sim, aadates1, aadates2, aadsf_par, aadsf_repo, aadsf_strip, aadsf_tail, aafixleg_bpvt, aafixleg_fs_bpvt, aafixleg_fs_cfx, aafixleg_fsi, aafixlegi, aaflleg_bpvt, aaflleg_fs_bpvt, aaflleg_fs_cfx, aaflleg_fsi, aafllegi, aafra_dfl, aafut_dfl, aaiam, aaiamf_repo, aaiamf_tail, aaiam_sim, aaiam_y, aaiam_ybm, aainteg_dfcrv, aainteg_dfcrv2, aalcb_cfs, aalcb_ybm FINCAD Developer v10.0 Release Notes Copyright

7 Notices Static version of the math library A static version of the math library is now available. We expect that most users will prefer to continue working with the DLL version of the library since using the static version requires some additional setup work. See the new document about using the static library for more information about it. Documentation A readme file is now available which describes library dependencies on C++ runtime libraries. Favorites Category A new document is available that describes how the Favorites Category works in the Function Finder. It can be accessed through the help menu. Java Samples Two Java sample programs, ShowSwpi.java and ShowSwpnBLi.java were not updated to reflect the data type changes outlined in the previous section. The generated example also initializes the reset_rate table input using a different format then it did previously and this will also require an update to these sample programs. FINCAD Developer v10.0 Release Notes Copyright

8 Analytics - algorithms _ix functions aabin_curve_dcf, aabin_curve_strike, aabin_curve_strike_dcf The _ix family of functions have been updated to provide better results by improving the root-finding algorithm. The function produced odd results when the volatility and timesteps were low. This has been fixed by introducing a new internal routine that checks that ensure sufficient time steps are used. The function will now only #VALUE! if the required number of steps is greater than 15,000. These functions would give the wrong accrued interest for any sw_331 value > 10 and accrued was 0 if a date of first coupon is given with no dated date; this has been fixed. aabond_dk* aabond_jp* The ex-dividend conventions have been corrected. Accrued interest in the first accrual period was incorrect; this has been fixed by changing the d_dated input to d_issue ="Initial settle date" in aabond_jp_accrued, aabond_jp_cf, aabond_jp_p, aabond_jp_p2, aabond_jp_y, aabond_jp_yields, and aabond_jp_yields_p. aabond_tbl_index_* "Number of days of accrued" statistic added. aabond3* All functions now able to point to the correct table if validation fails. aabsdcf The calculation of theta has been corrected to include the dd/dt N(d1) term coming from differentiating the dcf call price with respect to t. aabsg The function now forces accrual methods > 5 to 1. aabsg_iv The function now forces accrual methods > 5 to 1. aacallbond_dgen_oas The function would sometimes fail to converge to a solution; this has been fixed. The bond price must still < call price as it is impossible to find a spread (negative or positive) to match the price in this instance. aacallbond_dgen_p aacdo_st_ds* aacdo_st_ds*_cf The function now outputs, as the 13th item, days of accrued interest. A more specific error message is now displayed when default probability curve table values are > 1. The function did not return #VALUE! when the correlation type = base correlation and the type of premium notional adjustment in the tranche table varies for different tranches. This has been corrected. FINCAD Developer v10.0 Release Notes Copyright

9 aacdo_st_ds*_p aacdo_st_ds*_prem_cf aacdo_st_ds*prem_cf The function did not return #VALUE! when the correlation type = base correlation and the type of premium notional adjustment in the tranche table varies for different tranches. This has been corrected. The functions would #VALUE! sometimes with no inputs violating any restriction; this has been fixed. Converting spot rates into discount factor values is now done against the cash flow dates as accrual method comes into play. Previously, our convention was that when a spot rate is entered as a discount factor curve, a discount factor curve is built first. This DF curve is a two row DF curve (d_v, 1) and (d_t, df). Interpolation was used to get discount factors for any other date points. The discount factors interpolated this way were slightly different from those calculated directly from the rates for each date point if the accrual method in the rate curve is different from that of the coupon. aacdo_st_ds*prem_cf The function did not #VALUE! when time in years in the Default Probability - Basket Default Curve table is not greater than 0; this has been corrected. aacdo_st_ds_base_ic When the last date in the discount factor curve = terminating date (or not a full year later than the terminating date), the function would #VALUE!; this has been corrected. aacdo_st_ds_dgen_fl_p The function will no longer #VALUE! when "type of premium notional adjustment" is not the same for all tranches. aacdo_st_ds_dgen_fl_prem_cf The "no default interests of cash flow periods" outside of Coupon Period 1 were incorrect when output table type 4 was selected; this has been fixed. aacdo_st_ds_fl_p aacdo_st_ds_p aacdo_st_ds_p aacdo_st_ds_p aacdo_st_ds_p A generic message is displayed if notional in the tranche table is < 0. The function now returns #VALUE! and gives correct error message. The defaulted entities did not affect the tranche size, notional, and loss. This has been fixed. Would #VALUE! when Basket Default Curve is a datebased default probability curve; this has been fixed. Theta did not match manual calculation results where value date is one day prior to the next cashflow date; this has been fixed. The function did not return #VALUE! when switches in the "calculation parameters and premium accrual type" table were out of range; this has been corrected. FINCAD Developer v10.0 Release Notes Copyright

10 aacdo_st_ds_std_prem_cf When number of defaults up to valuation is set out of range and results #VALUE! with an error message addressing the basket table instead of showing restriction message; A new validation function has been implemented to check restriction 151. aacdo_st_ds_std_risk A generic error message was returned when type of tranche definition is set to 2 (actual dollar amount) and tranche table is set to proportional to notional; this has been fixed. aacdo_st_ds_std_risk aacdo_st_ds_std_risk aacds* The function now returns #VALUE! when premium accrual type from t_1146 is out of range. The generic error message when num_dflt < 0 has been replaced with a more complex function to validate 151 instead of general error code 15. Now give specific error message and point to the correct table when a restriction in the 'Default Curve' or 'Default Curve Parameter' table has been violated. aacds* aacds_bin* Functions would #VALUE! when the default curve table was time-based and term strings were employed; this has been fixed. Functions aacds_bin, aacds_bin_opt_iv, and aacds_bskt_bin_opt_iv would #VALUE! when discount factor curve table was not in the 2 column/multiple row format; this has been corrected. aacds_bin* The functions would #VALUE! when Calculation Parameters table was a single cell; this has been corrected. aacds_bin_opt* aacds_bskt_bin_opt The function would #VALUE! for different contract dates table formats; this has been fixed. When value date was set to be less than first date in df curve, the function would #VALUE! and validation targeted the holiday list instead of df curve. This has been fixed. FINCAD Developer v10.0 Release Notes Copyright

11 aacds_bskt_bin_opt_iv The restriction for the accrual method in default curve parameter table was missing; has been fixed. aacds_bskt_bin_opt_iv The function would #VALUE! when the discount factor curve was a single cell; this has been fixed. aacds_bskt_bin_risk The function would #VALUE! when using a date-based default probability curve; this has been fixed. aacds_bskt_bin_risk The function no longer returns #VALUE! when using a 2 column single element correlation matrix. aacds_cf The premium interest cash flow table results were incomplete; this has been fixed. aacds_index* Theta did not match manual calculation results when calculation method selected = "1" (simplied calculation method); this has been fixed. aacds_index_std* aacds_index_std_opt aacds_index_std_opt aacds_index_std_opt aacds_opt The function now returns #VALUE! and points to the right cell when the number of defaulted reference entities > number of reference entities in the initial pool. The function would #VALUE! with valid 5, 6, and 7 entry CDS Contract Dates tables; this has been fixed. Validation issues in the "CDIS Contract Dates" table have been fixed; the last sentence of note 606 has been updated. The function would #VALUE! sometimes with 2 column/multirow discount factor curve; this has been fixed. The function now displays specific error message when the Expiry Date of Option input field is violated. FINCAD Developer v10.0 Release Notes Copyright

12 aacds_opt aacds_std aaconvert_cmpd2 aaconvertible* aacredit_bond_dgen_p aacredit_bond_p aacredit_bond_p aacredit_dfltprob_bond2 aacredit_dfltprob_dssprd_std aacredit_dfltprob_dssprd_std aacredit_dfltprob_dssprd_std aacredit_dfltprob_dssprd_std The function would #VALUE when reference type = 2 (bond) and reference table = 9-col table (bond table); this has been fixed. The function would return #VALUE! when the CDS effective date was later than the value date; this has been fixed. The function's output was incorrect with accrual Act/Act- ISMA99; this has been fixed. Replaced with the aaconvertible2* family of functions which utilize PDE methods rather than trinomial trees. The function now matches aacredit_bond_p and aacredit_bond_fs_p. The d_dated and d_f_cpn fields were reversed; this has been fixed. Using a business day convention caused odd results for bonds maturing on a weekend; this has been fixed. The function would not accept more than one bond with the same maturity even if the price and/or spreads are different; this has been corrected. Validation was added so generic message are no longer given when the input switches are set to out of range. The function now returns #VALUE! when time length in t_492 is set to be negative. Validation now points to correct table and gives specific info when time points are not in ascending order. When interpolation = 2 (exponential) and bootstrapping of default probability curve = constant hazard rate, the DV01 was slightly incorrect; this has been fixed, which affects aacds_std. FINCAD Developer v10.0 Release Notes Copyright

13 Analytics specs aabond_es_p Note 638 has been added to the d_dated input. aabond_strip_p, _cf, _par Changed restriction of "dated date" from "> d_s" to "< d_t". aabond4* Accrual methods NL/365 and act/365l have been added to switch aacallbond_dgen* Updated note 272. aacallbond_dgen_ytw_oas The function would #VALUE! in some ranges; this has been fixed. aacdo_st_ds_dgen_fl_prem_cf #VALUE! when factor loading in the model parameters table are equal to "1". Added restriction "> -1, < 1" to 'factor loading' field in table_1138. aacdo_st_ds_dgen_fl_risk The restriction for model type has been updated to match the number element in the switch. aacdo_st_ds_fl_prem_cf The function reference was missing note 423, which has been added. aacdo_st_ds_std_risk Note 588 is replaced by Note 617. aacds_bin* Note 607 was added to aacds_bin and aacds_bin_opt. aacds_bin_opt_iv The pasted example would #VALUE!. This has been corrected by changing the 'price' input data. aacds_bskt_bin Note 607 was added. aacds_bskt_bin_opt Added note 607 and removed note 428. aacds_bskt_bin_opt_risk Removed note 537 from the reference page as the recovery rate table should not affect the output if default curve is a default probability curve. aacds_bskt_bin_opt_risk Replaced note 428 with note 607. aacds_bskt_opt_iv Argument name in Note 621 has been updated. aacds_bskt_risk Note 425 has been changed to address a #VALUE! in some cases where the credit correlation matrix is in single element format. aacds_cf Restrictions have been added to the calculation parameters, table t_1176. aacds_cf The output table in the Pasted Example has been fixed. aacds_cf aacds_cf Updated the note for recovery rate table from 403 to 522. Added restrictions to switch elements in table_1176 and table_2045 (calculation parameters). aacds_index_std_opt Note 606 has been updated to say "It can be a 1 to 7 entries table." aacds_opt_iv Added note 86. aacompound Changed label of d_exp_u to "expiry date of underlying option" from "expiry date of CDS". FINCAD Developer v10.0 Release Notes Copyright

14 aacredit_bond_dgen_p To ensure the function validates the stat list, the restriction ID for 'stat ' was changed from 521 to 121. aacredit_dfltprob_dssprd_std Note 187 has been updated. aacredit_dfltprob_dssprd2 Updated restrictions in table_1039. aacredit_ds_firstloss_delta Added note 190. aacredit_ds_firstloss_delta Added restriction 782 to notional_adj. aacredit_fwd_spread_crv Added note 210 to the function reference. aaeso_hw_enhanced2_p Changed data type of 'volatility' to 'rate' in the pasted example. aaeso_hw_enhanced2_tbl Changed data type of 'volatility' to 'rate' in the pasted example. aafrn_arrears_dgen_iv The pasted example would #VALUE!. This has been corrected by changing the 'price' input data. aafrn_arrears_dgen_p Changed data type of "current coupon" in table_435 from "rate" to "number". aafrn_cm_dgen_iv The pasted example would #VALUE!. This has been corrected by changing the 'price' input data. aafrn_cm_dgen_p Changed data type of "current coupon" in table_435 from "rate" to "number". aafrn2_dgen The modified duration in the pasted example looked unintuitive; this has been fixed by updating the sample data to include a principal repayment of 80 at maturity and updating cash flow dates. aafrn3_dgen The modified duration in the pasted example looked unintuitive; this has been fixed by updating the sample data to include a principal repayment of 80 at maturity and updating cash flow dates. aageo_aver_strk Changed the 'average price' restriction from "> 0" to ">= 0" aageo_aver_strk Changed restriction for 'average price' from "> 0" to ">= 0". aambs2* These functions were not validating the date table (table_798); it is now using the correct restriction. aambs2_frm_p Note 263 has been updated. aaswap_crv_avg The missing restriction for effecitve date in yield curve has been added. aaswap_crv_avg Changed "see note 210" to "see note 303". aaswap_crv_avg Removed restriction 401 from "yield curve" input. Changed restriction 401 of "swap curve" input to new restriction 403. aaswapaccrual_extend_p The function was using an unknown restriction ID for the fixed and floating leg holiday lists; this has been fixed. FINCAD Developer v10.0 Release Notes Copyright