FINCAD Analytics Suite for Excel Release Notes. Software Version: Release Date: April 2015
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1 Release Notes
2 FINCAD Analytics Suite for Excel Release Notes Software Version: Release Date: April 2015
3 Disclaimer 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 an 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 2015 FINCAD. All rights reserved. Trademarks FinancialCAD and FINCAD are registered trademarks of FinancialCAD Corporation. Other trademarks are the property of their respective holders. FINCAD makes no warranties, express or implied, in this summary. Patents Protected by U.S. Patent No 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 1750 or Block 4, Blackrock Business Park nd Avenue Carysfort Avenue, Blackrock Surrey, BC V3T 5X3 Co Dublin, Ireland Canada Hinfo@fincad.com Phone: Website: Hwww.fincad.com Document Information Document Name: FINCAD Analytics Suite 2014 for Excel Release Notes Software Version: Revision: A ii
4 Contents 1. Introduction New Features Analytics Non-Analytics Bug Fixes Analytics Non-Analytics Mandatory Changes New Issues... 3 iii
5 1. Introduction These release notes describe new features added in FINCAD Analytics Suite 2014, version They also provide information on bug fixes and changes that have been made to FINCAD Analytics Suite 2014 for Excel, version , since the release of version New Features This section lists new features in FINCAD Analytics Suite 2014 for Excel with a brief description. All relevant documentation has been added or updated Analytics Feature Description Associated OIS curve building A new function has been added for building an OIS curve from any combination of overnight rate futures and OIS swaps (both spot and/or forward-starting).the fcoiscurve2 function offers several enhancements over the original fcoiscurve function: fcoiscurve2 fcoiscurve2 can use overnight rate futures quotes, spot overnight index swap quotes, and forward-starting overnight index swap quotes, whereas the fcoiscurve function can only use spot overnight index swap quotes. With fcoiscurve2, the schedule of the fixed or floating leg of the swaps can be specified with only one function argument, which is consistent with other fc functions. This argument can be a built-in market convention, a fully specified payment schedule, or a table of name-value pairs. In comparison, with fcoiscurve, the schedule is specified through several arguments to the function, which is less intuitive. fcoiscurve2 automatically sorts all the instruments in order of ascending maturity, whereas fcoiscurve gives an error if the instruments supplied to the function are not in ascending order. fcoiscurve2 outputs both a discount curve and an overnight rate curve, whereas fcoiscurve outputs a discount curve only. fcoiscurve2 includes the parameter "IncludeAllEventDates" in Settings, which controls the behavior in the case where there are multiple meeting dates interlaced between two market instrument maturities. With fcoiscurve, there is no such option. FINCAD Analytics Suite 2014 for Excel Release Notes FinancialCAD Corporation Page 1 of 3
6 Feature Description Associated Include/exclude An optional column was added to the input tables that contain fcoiscurve flags market quotes for all fc-style curve building functions. This column fcoiscurve2 can be used to toggle which quotes are to be used, and which are to fcliborcurve be ignored. This feature makes it easier to try using different subsets of the available market data, and to evaluate the impact on the resulting curves. Previously, it was necessary to construct a new fcliboroisdualcurves fctenoradjliborcurve fcswapcurve table containing only the quotes that were to be used. This feature was already available for aa-style curve building functions. Customized Holiday Conventions Support for negative yields Support for negative fixed rates Support for negative strike and negative underlying The capability now exists for a customized Holiday Convention (such as a named list of holiday dates) to be defined for use with fc functions. There can be performance improvements if a named Holiday Convention is supplied as an argument to a frequentlycalled fc function, as opposed to a list of dates. This capability requires files to be placed in the appropriate configuration folder, including a file that defines the new Holiday Convention. The new definition may be a list of holiday dates, or it may be a union or intersection of existing Holiday Conventions. Please contact FINCAD Support if this capability is of interest. The aammkt_iam_p function now supports negative yields for interest at maturity securities. The aaswap* functions now allow negative fixed rates for fixedfloating swaps. The aaswaption_normal and aaswaption_normal_fs functions for European swaptions using a normal model now allow negative strike and negative underlying (that is, negative implied forward rates). fclistholidayconventions aammkt_iam_p aaswap* aaswaption_normal* 2.2. Non-Analytics There are no non-analytics features to report for FINCAD Analytics Suite 2014 for Excel. 3. Bug Fixes This section describes any bug fixes made to functions, documentation, usability, and workbooks. Unless otherwise specified, users are not required to make changes to their application or spreadsheet; however, the value may change when a recalculation is done. FINCAD Analytics Suite 2014 for Excel Release Notes FinancialCAD Corporation Page 2 of 3
7 3.1. Analytics The analytics section includes bug fixes made in functions that existed prior to the release of FINCAD Analytics Suite 2014, version fcfixedcouponbond fccustomfixedcouponbond fcamortizingfixedcouponbond fcirswap fcvanillairswap fctenorbasisswap fcovernightindexswap aabond_br_index_p Fix In fc-style functions for swaps and bonds, if the swap Valuation Date or bond Settlement Date falls on a cashflow date, then that cashflow is now deemed to have occurred; it is excluded from the dirty price, and accrued interest is set to zero. Previously if the Valuation/Settlement Date falls on a cashflow date, then that cashflow was deemed to have not yet occurred; it was included in the dirty price, and accrued interest was for the full coupon. The behavior is now consistent with that of aa-style functions for swaps and bonds, and industry convention. For Brazilian NTN-B or NTN-C inflation-linked bonds, the unscaled inflation index ratio is now correctly truncated to the 9 th digit Non-Analytics The non-analytics section includes bug fixes made to documentation, usability, and workbooks. Issue License Manager with FINCAD Analytics Suite for Excel 64 bit Fix The License Manager ran whenever FINCAD Analytics Suite for Excel 64-bit version was launched. This was fixed by adding the install directory to PATH. This issue did not affect the more commonly used 32-bit version. 4. Mandatory Changes This section lists changes to FINCAD Analytics Suite 2014 for Excel, which may require users to make changes to their application, or which may affect the values returned by existing functions. For version , users of fc-style functions for swaps and bonds should be aware of the following change, which was also listed above under Bug Fixes (Section 3.1): fcfixedcouponbond fccustomfixedcouponbond fcamortizingfixedcouponbond fcirswap fcvanillairswap fctenorbasisswap fcovernightindexswap Change In fc-style functions for swaps and bonds, if the swap Valuation Date or bond Settlement Date falls on a cashflow date, then that cashflow is now deemed to have occurred; it is excluded from the dirty price, and accrued interest is set to zero. Previously if the Valuation/Settlement Date falls on a cashflow date, then that cashflow was deemed to have not yet occurred; it was included in the dirty price, and accrued interest was for the full coupon. The behavior is now consistent with that of aa-style functions for swaps and bonds, and industry convention. 5. New Issues For version , there are no new issues. FINCAD Analytics Suite 2014 for Excel Release Notes FinancialCAD Corporation Page 3 of 3
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