Re: [QuantLib-svn] SF.net SVN: quantlib: [14172] branches/R000900-branch/QuantLibXL/NEWS.txt

[Ferdinando M. Ametrano-3]

oops I forgot about this. While removing the revision specific news is
ok, the aggregated news would have been the actual news for this
release. I might take a look at this tomorrow

ciao -- nando

On Jan 23, 2008 7:48 PM,  <[hidden email]> wrote:

> Revision: 14172
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14172&view=rev
> Author:   ericehlers
> Date:     2008-01-23 10:48:18 -0800 (Wed, 23 Jan 2008)
>
> Log Message:
> -----------
> for public release, remove from NEWS.txt site specific text that references specific svn revisions.
>
> Modified Paths:
> --------------
>     branches/R000900-branch/QuantLibXL/NEWS.txt
>
> Modified: branches/R000900-branch/QuantLibXL/NEWS.txt
> ===================================================================
> --- branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:45:00 UTC (rev 14171)
> +++ branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:48:18 UTC (rev 14172)
> @@ -1,601 +1,3 @@
>  For a rundown of changes per QuantLibXL release please visit
>  http://www.quantlibxl.org/history.html
>
> -new or updated in this release:
> -
> -**************************
> -    R000900
> -**************************
> -
> -LAUNCHER
> -- updated to distribute other xlls
> -- effective usage of XLS/XML switch
> -
> -FUNCTIONS
> -- added new inspector functions for SwapRateHelper
> -- introduced ForwardSwapQuote
> -- introduce Euribor1M, Euribor3M, Euribor6M, and Euribor1Y yield curves
> -  extended up to 60 years. The suggested discounting yield curve EURYC is
> -  assumed to be equal to Euribor6M
> -- exported Interestrate class and interface
> -- removed default delimiters in ohSplit (they were not region-setting neutral)
> -
> -QuantLibXL menu:
> -- "Update Indexes Time Series" among QLXL menu actions to retrieve YTD fixings
> -  from Reuters & update .xml files
> -- "Load Indexes Time Series" modified to load serialized time series objects
> -  only
> -- "Update Indexes Time Series" to retrieve YTD fixings and serialize them
> -
> -Workbooks:
> -- added Workbooks\MarketData\ManualFeed\TurnOfTheYear.xls for estimating turn
> -  of the year effect
> -- added Workbooks\InterestRateDerivatives\EURSwapABxE_Pricer.xls for real time
> -  pricing of all swaps (maturity from 1Y to 60Y including 15M, 18M, 21M,
> -  floating leg 1M, 3M, 6M, 1Y)
> -- reviewed and cleaned up all pricer wbks in InterestRateDerivatives folder
> -- added Workbooks\MarketData\ManualFeed\SynthDepoQuotesFeed.xls for estimating
> -  synthetic depos needed by the new yield curves
> -- Workbooks/Tests/CapFloorTermVol6MTest.xls extended to test
> -  EUR6MCapFloorAtmVol
> -
> -Cap volatilities:
> -- new optionletStripper including ATM cap term vols
> -
> -Swaption Volatilities:
> -- sabr vol surfaces based on abcd interpolated atm swaption volatilities
> -- new Workbooks/MarketMetaData/SwaptionVolsSabrVolSurface.xls
> -- new Workbooks/Tests/SwaptionSabrVolSurfacesChecks.xls
> -
> -Bonds:
> -- added and serialized new digital euribor bonds:
> -  IT0003730626, IT0003747364, IT0003766372, XS0194140785, XS0195731681,
> -  XS0003730626. These bonds were checked against prospectus
> -- added digital cms bond: XS0228052402
> -- added 2 new cms bonds: XS0318729950 and XS0211163943. The latter was
> -  validated, the former wasn't validated because prospectus is missing.
> -- properly handled Bond equivalent for all Reverse Floater bond's.
> -
> -**************************
> -    REV12939
> -**************************
> -Launcher:
> -- Add support for loading third party addins (identified by their network URL)
> -  in addition to the existing functionality for loading core addins delivered
> -  by the Launcher
> -- "Load Reuters/Bloomberg" moved from Environments tab to Feeds tab
> -- "Use Reuters/Bloomberg" added to Environments tab
> -- Add support for Initialization Data Source = Excel/XML
> -- Loading CabotoXL.xla addin which allows:
> -  a.bootstrapping Mx curve
> -  b.loading single IRS CMS and CAP/FLOOR CMS books (VOLTRAD_CMS_10Y_CF.xls,
> -  VOLTRAD_CMS_10Y_IRS.xls, VOLTRAD_CMS_30Y_IRS.xls, VOLTRAD_CMS_5Y_IRS.xls,
> -  CF-CMS-10Y-MxBook.xls)
> -
> -New Functions:
> -- qlVanillaSwapSwapRateHelper' as a spread inspector to SwapRateHelper
> -- ohGroupSize returns the number of object IDs contained in a Group object
> -- ohObjectLoad returns a list of IDs of objects loaded
> -- qlOptionletStripperSwitchStrike: returns the switch strike used in the
> -  optionlet stripper
> -- qlAtmCurve: returning the ID of the atm volatility curve in SabrVolSurface
> -- qlTimeSeries: exported TimeSeries to Excel, Dates and values
> -- qlTimeSeriesFirstDate: returns the first date for which a historical datum
> -  exists
> -- qlTimeSeriesLastDate: returns the last date for which a historical datum
> -  exists
> -- qlTimeSeriesSize: returns the first date for which a historical datum exists
> -- qlTimeSeriesEmpty: returns whether the series contains any data
> -- qlTimeSeriesDates: returns the dates for which historical data exist
> -- qlTimeSeriesValues: returns the historical data
> -- qlTimeSeriesValue: returns the data corresponding to the given dates
> -- qlVolatilitySpreads: Returns the volatilities spread at a given date
> -- qlVolatilitySpreads2: Returns the volatilities spread for a given period in a
> -  sabr vol surface
> -- qlSabrVolSurface: exported SabrVolSurface constructor
> -
> -Bonds:
> -- added explicit maturity date to Bond constructor
> -- handled correctly bond equivalent adjustment for reverse floater bonds in
> -  BondObjects_EUR.xls
> -- added two new cms bonds XS0318729950 and XS0211163943 (the latter was
> -  validated) as requested by the trader
> -- properly handled reference rate adjusted to a bond equivalent rate for the
> -  following reverse floater bonds:
> -  XS0080841579, XS0080973489, XS0081431610, XS0082293506, XS0081387531,
> -  XS0081980129, XS0082716589, XS0082731463, XS0082435065, XS0082725739,
> -  XS0082486050, XS0082785808, XS0082847178, XS0082979088
> -- serialization: added new workbook Data/XML/080_Bond/FloatingRateBond_EUR.xml,
> -  CMSRateBond_EUR.xml, FixedRateBond_EUR.xml, ZeroCpnBond_EUR.xml
> -- digital bonds:
> -     Digital_IT0001278404_EUR.xls
> -     Digital_IT0001278404_EUR.xml
> -     IT0001278404. validated and checked against prospectus
> -- added digital bond to MainChecks.xls
> -- added bond: IT0001278404 to BondMonitor_EUR.xls
> -- Digital bonds: please note that fixing in arrears digital bonds have not been validated yet
> -     and qlBondCurrentCoupon() is not available
> -
> -Bug fixing:
> -- fixed bug: corrected wrong 3E6E spread in AB3EBASIS SwapRateHelpers
> -- fixed bug: cash flow generation: in ref dates calculation the business day
> -  convention to use is the one used for the schedule calculation
> -
> -Serialization:
> -- Relinkable handles, indexes, pricing engines (bond, cms, ibor), yield curve
> -  boostrapping objects.
> -
> -Yield Curve:
> -- introduced EURYC3M and EURYC6M forecasting curves. The discounting curve
> -  EURYC is assumed to be equal to EURYC6M
> -- added curve/index monitors: Workbooks/Tests/IndexFixingsMonitor.xls,
> -  YieldCurveMonitor3M.xls, YieldCurveMonitor6M.xls
> -- extended bootstrapping to FRA, swap with spread (in order to deal with basis
> -  swap)
> -- changed default contributor for deposits (KLIEM is now used)
> -- added selected RateHelpers group
> -
> -**************************
> -    REV12288
> -**************************
> -
> -Launcher:
> -Startup action added to set the evaluation date: user can change the evaluation
> -date and the whole system is built consistently with the user\x92s choice
> -
> -QuantLibXL menu:
> -Menu actions:
> -- \x93Calibrate All Single Index Cms Market\x94: new routine for 5 single index
> -  calibrations with 1 mean rev (the 10Y one)
> -- \x93Calibrate Single Index Cms Market with 10Y Mean Reversion\x94: new routine for
> -  a single index calibration using the mean reversion of the 10Y index
> -- \x93Open live feed action\x94: live feed workbooks are now opened and hidden
> -- Bond Engines are created at start-up and are set to bonds in \x93Load Bonds\x94
> -  action
> -- Indexes are instantiated at start-up
> -Cell menu:
> -- added "LIN ACTACT ISMA" (QuantLib::ActualActual::ISMA) string to DayCounter
> -  conventions
> -
> -Bonds:
> -- A new function: qlGenericBond() was created and added. This function is a consturctor of a
> -generic bond objects which accepts in input the bond leg
> -- changed signatures for: qlFixedRateBond(),qlCmsRateBond(), qlZeroCouponBond(), and qlFloatingRateBond.
> -They don't accept yield curve as an input parameter anymore. The yield curve must be set to the bond object
> -using qlInstrumentSetPricingEngine.
> -
> -Various:
> -- yield curve parameter has been removed from bond constructors
> -- created Workbooks/PricingEngines folder and created new workbooks
> -  (CmsCouponPricers.xls and IborCouponPricer.xls for instantiating CMS/Ibor
> -  Pricers. Pricers are named: CmsCouponPricer10Y, CmsCouponPricer5Y,
> -  CmsCouponPricer2Y, CmsCouponPricer20Y, CmsCouponPricer30Y, IborCouponPricer.
> -  Action \x93Load bonds\x94 has been modified in order to set this named pricers to
> -  bonds
> -- added in IT0001278404.xls, IT0003730626.xls and XS0194140785.xls netting leg
> -  and bonds' dirty prices
> -- added new digital bonds IT0003747364.xls and IT0003766372.xls decomposed as
> -  digital ibor legs.
> -- added bond's dirty theo price in: Workbooks/Bonds/XS0194140785.xls,
> -  XS0195731681.xls, XS0228052402.xls
> -
> -BondObjects_EUR.xls:
> -- removed yield curve from constructors
> -- added cms coupon bond (IT0003650998) paying once at maturity and fixing in
> -  arrears
> -- added, validated, and checked against prospectus a new capped floater bond:
> -  XS0250578134
> -- added check against prospectus but not validated new bond (Tec10)
> -  IT0004011638
> -- added, checked against prospectus and validated new cms bond: IT001346748
> -
> -SetPricers2Bonds.xls:
> -- added new sheet so as to set the Bond Engine to all Bonds instatiated in
> -  BondObjects_EUR.xls
> -
> -???Added LegMethods spreadsheet
> -Modified : /trunk/QuantLibAddin/gensrc/metadata/Functions/leg.xml
> -
> -New functions:
> -- qlBondEngine: constructor of the bond engine which takes as input a
> -  discounting yield term structure
> -- qlPeriodEquivalent: function to return the period equivalent to the input
> -  (e.g it returns 1Y3M for 1Y6M-3M, 0M for 1Y-12M, 3W5D for 3W+5D, 2W2D for
> -  3W-5D, etc)
> -- caps stripping: added new class 'qlCapTermVolatilityVector' and method
> -  'qlCapTermVolatilityVectorInterpVol' to construct a cap term volatility
> -  vector and interpolate along option tenors using cubic spline interpolator.
> -  No smile is taken into account.
> -- qlSABRInterpolationWeights returns the weights of the SABR fit for the given
> -  SABRInterpolation object
> -- qlSimpleCashFlowVector to construct a cash flow vector given a set of amounts
> -  and a set of dates which may have different size
> -
> -Removed functions:
> --The following functions were removed: qlBondDayCounter(), qlBondPaymentBDC(), and qlBondFrequency().
> -
> -Covered Warrants:
> -Operations on financial markets with regard to covered warrants on interest
> -rates derivatives are about to kick off. Static data of the instruments are
> -collected and managed in Workbooks/CoveredWarrants/CoveredWarrants.xls where
> -isins and feedcodes have been updated to get ready for contribution to ORC. In
> -the same workbooks real-time theoretical prices are calculated and
> -automatically imported to ORC.
> -
> -Indexes:
> -- Indexes are no longer enumerated objects, we're now relying on user-created
> -  Indexes (see workbooks in folder Workbooks/Indexes)
> -- Historic fixings are loaded by means of qlIndexAddFixings performing size
> -  checks and preventing non intentional fixing overwriting
> -
> -Others:
> -- YieldCurveBootstrapping.xls: 6M deposit is now included in the curve
> -  bootstrapping
> -- Swaption volatility smile: modified calculation of interpolated spreads.
> -  Spreads on ATM volatilities in sparse cube are now taken into account. A
> -  small error is introduced in the calculation of ATM volatilities in dense
> -  cube, negligible in case of good fit
> -- The discount curve parameter has been removed from the Swaption constructor
> -  and has been moved to the BlackSwaptionEngine constructor
> -- qlSabrInterpolatedSmileSection has been modified to filter dynamically market
> -  quotes as they become available
> -- qlSabrSmileSection is now dependent (observer) of the evaluation date so that
> -  when the EvaluationDate changes the SabrSmileSection class is recomputed
> -  accordingly
> -
> -Workbooks:
> -- MarketData/ReutersFeed/MMIndicesAddLastFixing.xls: displays before and after
> -  fixing forecasts (compared with observed fixing)
> -- MainChecks.xls: added Real-Time monitoring
> -- Bonds/Z-Spread.xls: added bond engine
> -- Tests/BondvsSwap.xls: added cash-flow analysis comparison
> -- Tests/BondvsSwap.xls: compares dirty theoretical price of a fixed rate bond
> -  to fixed swap leg market value with valuation date equal to bond settlement
> -  date
> - New Workbooks:
> -- MarketData\BloombergFeed\InterestRateQuotesFeed.xls
> -- MMIndicesAddLastFixing.xls
> -- SwaptionATMVolsQuotesFeed.xls
> -
> -
> -**************************
> -    REV11940
> -**************************
> -
> -QuantLibXL MENU:
> -- Refresh Snapshots: the action is performed also on Time Series workbooks if open
> -- Switch Data to Live/Static: the action is performed on Time Series workbooks if open
> -- Close Live Feeds: the action is performed on Time Series workbooks if open
> -- right-click cell menu: added enumerations (EndCriteria::Type, CmsMarketCalibration::CalibrationType, IborCouponPricer, Payoff, PricingEngine, PiecewiseYieldCurve(Traits, Interpolation))
> -
> -BONDS:
> -- added check against prospectus but not validated new bond (Tec10) IT0004011638
> -- corrected static data for XS0091610153
> -- added and checked against prospectus new floater: XS0233447936
> -- Workbooks/Tests/BondvsSwap.xls: added new to test bond prices vs swap leg price
> -- Workbooks/Bonds/XS0228052402.xls: changed cms coupon pricer in order to get updated mean reversion quote
> -- added 2 new digital bonds decomposed in digital simple ibor/cms coupon IT0001278404 and IT0003730626:
> -  Workbooks/Bonds/IT0001278404.xls and Workbooks/Bonds/IT0003730626.xls
> -- modified XS0194140785.xls, XS0195731681.xls and XS0228052402.xls so to include a rough calculation of bond dirty theorical price
> -- Workbooks/Bonds/XS0228052402.xls: decomposed bond XS0228052402 using both multiphase and multilegswap.
> -
> -NEW FUNCTIONS:
> -- 'qlFraRateHelper' construction a FRA rate helper to be used in the yield curve bootstrapping
> -- 'qlFixedCouponBondHelper'
> -- 'qlLegIrr' returns the Internal rate of return for the given Leg object
> -- 'qlLegDuration' returns the Cash-flow duration for the given Leg object
> -- 'qlLegConvexity\x92 returns the Cash-flow convexity for the given Leg object
> -- 'qlInterestRate' constructs an object of class interest rate
> -- qlVanillaSwapFromSwapIndex\x92 creates a vanilla swap object from a given swap index
> -- \x91qlMakeSwaption\x92 to construct easily a swaption object given swapIndex, strike,  option tenor, pricing engine
> -
> -SENSITIVITY ANALYSIS:
> -- Workbooks/MarketMetaData/YieldCurveMx.xls: added tick value to Mx quote ids to be used for greeks calculation
> -- single deal sensitivity analysis book: Workbooks/InterestRateDerivatives/SensitivityAnalysis.xls
> -
> -VARIOUS:
> -- CMS: added Workbooks/Tests/CmsWithDigitalLeg.xls
> -- CapStrippers3M.xls: added Relinkable Handle EUR3MCapletVol. Links are EUR3MCapletVol1 or EUR6MCapletVol1
> -- added Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls: construct EURYC3 where depo3w is excluded, swap35Y and non main cycle futures are excluded, and depos before first futures expiry date are included
> -
> -FIXED BUGS:
> -
> -- euriborfix and eurliborfix indexes: modified fixed leg business convention from Unadjusted to Modified Following
> -- in the calculation of swap length in swaption atm volatility matrix and swaption volatility cube
> -
> -
> -**************************
> -    REV11705
> -**************************
> -
> -Total number of functions: 714 (new in this release: 69)
> -
> -Launcher:
> -- Start up action added \x93Open Main Checks"
> -- Loading of the Sensitivity Analysis add-in
> -- Disable Reuters/Bloomberg if the configured paths are invalid
> -- Allow the path to Excel to be configured
> -- Implement function to launch an empty Excel session
> -- In addition to saving preferences to registry at shutdown, also save them after launch
> -- Change Bloomberg default from Blp.xla to BlpMain.xla
> -- Add new tab "About" listing user/domain/hard disk serial number
> -
> -
> -QuantLibXL menu:
> -- added menu action "Historical Forward Rates Analysis": which opens & triggers TimeSeriesFixings_Euribor.xls & TimeSeriesFixings_EuriborSwapFixA.xls and opens HistoricalForwardRatesAnalysis.xls
> -- \x93Open Live Feed Workbooks\x94: live feeds are opened and then closed if Reuters is not available
> -- added new action \x93Calibrate CTSMM to Caplets\x94
> -
> -
> -Renamed functions:
> -- qlVersion replaced by qlxlVersion
> -
> -
> -New functions:
> -- ohBoostVersion()
> -- ohVersion()
> -- qlVersion()
> -- qlAddinVersion()
> -- qlxlVersion()
> -
> -
> -Fixed Bugs:
> -- Fix problem of ohRetrieveError() not being recalculated reliably
> -- sabr interpolation: rounding error fixed around the ATM level
> -
> -
> -Various:
> -- added new EUR yield curve (EURYC3) in  Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls. The curve is built according to Murex settings (depo3w excluded,  non main cycle futures excluded,  DeposBeforeFirstFuturesExpiryDate, swap35Y excluded) and live quotes retrieved from Reuters
> -- RelinkableHandle are now created at start-up by Workbooks/MarketMetaData/Handles.xls. ControlPanel.xls only relinks handles to concrete instances
> -- info moved from ControlPanel.xls to MainCheck.xls
> -- work in progress for spline bootstrapping: use Linear interpolation in the first iteration
> -- included 60y swap in yield curve bootstrapping
> -- a vector of fixing days can be passed to any coupon vector or leg constructors
> -- add an enumeration for Business252 day counter
> -
> -
> -Bonds:
> -- wrong maturity dates (XS0082486050, IT0003749923) in BondObjects_EUR.xls
> -- wrong fixed coupon (XS0080282907) in BondObjects_EUR.xls
> -- added new cms bonds fixing in arrears (IT0003650998) in BondObjects_EUR.xls
> -- Workbooks/Bonds/Z-Spread.xls: added new workbook for bonds price calculation given Z-spread
> -- BondMonitor_EUR.xls: added static data for digital cms and digital eur[l]ibor bonds
> -- added Workbooks/Tests/CmsWithDigitalLeg.xls, Workbooks/Tests/DigitalLegReplicationType.xls, Workbooks/Tests/SwapWithDigitalLeg.xls pricing/test workbooks for digital coupon
> -
> -
> -Market Models:
> -- functions to construct and use Accounting Engines objects
> -'qlAccountingEngine'
> -'qlAccountingEngineMultiplePathValues'
> -- functions to construct and use Brownian Generators objects:
> -'qlMTBrownianGeneratorFactory'
> -- functions to construct and use ctsmmcapletcalibration objects:
> -'qlCTSMMCapletCalibrationCalibrate'
> -'qlCTSMMCapletCalibrationFailures'
> -'qlCTSMMCapletCalibrationDeformationSize'
> -'qlCTSMMCapletCalibrationMarketCapletVols'
> -'qlCTSMMCapletCalibrationModelCapletVols'
> -'qlCTSMMCapletCalibrationCapletRmsError'
> -'qlCTSMMCapletCalibrationCapletMaxError'
> -'qlCTSMMCapletCalibrationMarketSwaptionVols'
> -'qlCTSMMCapletCalibrationSwaptionRmsError'
> -'qlCTSMMCapletCalibrationSwaptionMaxError'
> -'qlCTSMMCapletCalibrationSwapPseudoRoot'
> -'qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols'
> -'qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols'
> -'qlCTSMMCapletOriginalCalibration'
> -'qlCTSMMCapletAlphaFormCalibrationAlpha'
> -'qlCTSMMCapletMaxHomogeneityCalibration'
> -
> -- new functions qlRateVolDifferences (to compute the differences between all implied forwards volatilities) and qlRateInstVolDifferences (to compute the differences between volatilities at each evolution step)
> -
> -- coterminal swap market model caplet calibration:  show result of alpha fitting in workbooks
> -Workbooks/MarketModels/CTSMM1YCapletCalibration.xls
> -Workbooks/MarketModels/CTSMM6MCapletCalibration.xls
> -Workbooks/MarketModels/CTSMM6MSimultaneousIterative.xls
> -- Workbooks\MarketMetaData: added LMM_abcd.xls and SMM_displacementAndAbcd.xls
> -- MarketModels/CorrelationMatrices.xls: includes historical correlations, Long-term, Beta time homogeneous correlations and Long-term, Beta, Gamma time homogeneous time dependent correlations
> -- new function qlTimeHomogeneousTimeDependentForwardCorrelation
> -- new function qlExponentialCorrelationsTimeDependent
> -
> -- Workbooks/MarketModels/SMM_displacementAndAcbd.xls: abcd calibration on displaced volatilities of all market swap indexes
> -
> -Sensitivity Analysis:
> -- introduced concept of tick value, i.e. the shift to be used in the
> -  sensitivity analysis. Default values are given in all workbooks where quote
> -  ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls)
> -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the
> -  given SimpleQuote object
> -- added Workbooks/Interest Rate Derivatives/SensitivityAnalysis.xls to run sensitivity analysis on a single deal.  Greeks can be calculated shifting yield curve, ATM vols, spread vols.
> -
> -
> -
> -**************************
> -    REV11190
> -**************************
> -
> -Launcher:
> -- new action \x93Calibrate CMS Market\x94 to open relevant workbook. Please note that
> -  calibration must be triggered by the user
> -- enhanced to preload Reuters/Bloomberg *.xla if requested by the user
> -- displays the ClickOnce Publish Version number in the bottom right corner of
> -  the Launcher dialog
> -- made button backgrounds transparent
> -
> -Renamed functions:
> -- qlSetBondPricer as qlSetBondCouponPricer
> -- qlLegSetPricer as qlLegSetCouponPricer
> -- qlLegLastCouponRate as qlLegPreviousCouponRate
> -- qlBondLastCoupon as qlBondPreviousCoupon
> -
> -New functions:
> -- qlSmileSectionAtmLevel returns the current value of the SmileSection
> -  underlying default parameter of volatility and variance methods is ATM level
> -- qlSimpleQuoteReset to reset the given SimpleQuote object to the uninitialized
> -  state
> -- qlBondCurrentCoupon Returns the current coupon for the given bond. The
> -  default bond settlement is used if no date is given
> -- qlBondPreviousCoupon Returns the previous period's coupon paid for the given
> -  bond. The default bond settlement is used if no date is given
> -- qlLegPreviousCouponRate returns the previous coupon rate (if any) for the
> -  given Leg object
> -- qlLegCurrentCouponRate returns the current coupon rate (if any) for the given
> -  Leg object
> -- Schedule related functions:
> -  - qlScheduleSize() returns the number of dates in the given Schedule object
> -  - qlSchedulePreviousDate(refDate) returns the highest date in the given
> -    Schedule object preceding the input reference date
> -  - qlScheduleNextDate(refDate) returns the lowest date in the given Schedule
> -    object following the input reference date
> -  - qlScheduleDates() returns the dates for the given Schedule object
> -  - qlScheduleIsRegular(i) returns TRUE if the selected period in the given
> -    Schedule object is regular
> -  - qlScheduleEmpty() returns TRUE if the given Schedule object is empty
> -  - qlScheduleCalendar() returns the Calendar used to calculate the given
> -    Schedule object
> -  - qlScheduleStartDate() returns the start date of the given Schedule object
> -  - qlScheduleEndDate() returns the end date of the given Schedule object
> -  - qlScheduleTenor() returns the tenor used to calculate the given Schedule
> -    object
> -  - qlScheduleBDC() returns the business day convention used to calculate the
> -    given Schedule object
> -  - qlScheduleTerminationDateBDC() returns the business day convention used to
> -    calculate the termination date of the given Schedule object
> -  - qlScheduleBackward() returns TRUE if backward calculation has been used to
> -    calculate the given Schedule object
> -  - qlScheduleEndOfMonth() returns TRUE if end-of-month convention has been
> -    used to calculate the given Schedule object
> -  These functions and usage of Schedule class are shown in
> -  Workbooks\DateCalendarsDayCounters\ScheduleGenerator.xls
> -
> -Fixed Bugs:
> -- excessive memory usage leading to "bad allocation" message
> -- IborCoupon implied fixing when payment daycount convention is
> -  not equal to the Index daycount convention
> -- Mx Yield Curve: added sheet where dedicated instances
> -  of euribor indices are created and used in the swap rate helpers'
> -  construction
> -- Nested LevenbergMarquardt optimizations
> -
> -Digital Coupon:
> -  Related functions are qlDigitalIborLeg and qlDigitalCmsLeg to price swaps
> -  with a leg with embedded option of type digital cash-or-nothing or
> -  asset-or-nothing, the option being either a call or a put, with a short or a
> -  long position. The digital option may account for ATM inclusion or exclusion
> -  in the payoff through a specific input parameter. Pricing is based on a
> -  replication strategy, which can be a central, sub, or super replication. The
> -  gap in the replication is 1 bp by default. Related workbooks are:
> -- Workbooks/Tests/DigitalLegReplicationType.xls
> -- Workbooks/ Tests /SwapWithDigitalLeg.xls
> -
> -Bonds:
> -- corrected static data for: DE0001345759  and IT0001327524
> -- Z-SpreadTest.xls added in Tests folder to check the correctness of
> -  qlCleanPriceFromZSpread and qlDirtyPriceFromZSpread functions for fixed rate,
> -  floating rate, cms rate and zero coupon bonds
> -- qlBondPreviousCoupon: new method added to return the previous coupon paid for
> -  the given bond. The default bond settlement is used if no date is given
> -- asset swap: correctly handles the creation of a new bond type, the cms rate
> -  bond in addition to fixed rate and floating rate coupon bonds
> -- AssetSwapPricesTest.xls: added test cases for fixed, floater, and cms bonds
> -  maturing on a day which isn't a business day according to the bond's calendar
> -  (IT0003543847, XS0228052402 and IT0006527060)
> -- MainChecks.xls: contains checks for a fixed coupon bond, a floating rate
> -  coupon bond, and cms coupon bond
> --added the following new workbooks, where digital bond are decomposed in simple digital
> - ibor and/or cms legs: IT0001278404.xls, IT0003730626.xls, XS0194140785.xls, XS0195731681.xls, XS0228052402.xls
> -
> -Calibrations:
> -- Workbooks\CmsCalibrations\MultiIndexSingleMeanRevCalibration.xls and
> -  Workbooks\MarketMetaData\SwaptionVols1.xls: added the choice between Simplex
> -  and Levenberg-Marquardt optimizers, set up reasonable parameters values, and
> -  extensive tests.
> -- qlSwaptionVolCube1 and qlSABRInterpolation: extended signature so that
> -  qlSwaptionVolCube1 can accept the optimizer in input
> -
> -Volatilities:
> -- qlSpreadedSwaptionVolatilityStructure and qlSpreadedCapletVolatilityStructure
> -  to add a scalar to volatility matrix and cube. Accordingly provided this
> -  functionality in RangeAccrualFloaters.xls, Swaption.xls, Swap.xls,
> -  MultiLegSwap.xls, MakeCMS.xls, MakeCapFloor.xls, CMS.xls, CapFloor.xls,
> -  AssetSwap.xls
> -
> -Market Models:
> -- qlComputeHistoricalCorrelationsZeroYieldLinear returns historical
> -  correlations between forward rates using a ZeroYield
> -- Historical Correlations.xls added in Tests folder for historical forward rate
> -  correlation estimation
> -
> -Sensitivity Analysis:
> -- introduced concept of tick value, i.e. the shift to be used in the
> -  sensitivity analysis. Default values are given in all workbooks where quote
> -  ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls)
> -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the
> -  given SimpleQuote object
> -
> -
> -**************************
> -    REV10747
> -**************************
> -
> -NEW FUNCTIONS:
> -- qlBondCleanPriceFromZSpread and qlBondDirtyPriceFromZspread:
> -  they return clean and dirty price for a given bond object whe inputing a zero
> -  coupon spread.
> -- qlCurrentCoupon as a new method of bond class qlBondCurrentCoupon esposed to
> -  excel and used in BondMonitor_EUR.xls and BondFunctions.xls
> -
> -BUG FIXES:
> -- fixed bug in sabr interpolation when rho parameter is fixed
> -- fixed bug in asset swap floating leg default schedule
> -- fixed bug in IborCoupon implied fixing when payment daycount convention is
> -  different from the Index's daycount convention
> -- prevented the addition of fixings at any date later than the evaluation date
> -
> -INDEX FIXING:
> -special management of index fixing when on a business day a quote is not
> -provided (e.g. if number of contributing bank is low). To this aim it has been
> -added a new sheet "AddSpecialFixings" to load manually the missing fixing from
> -non official sources (e.g. on 28 Mat 2007 for EuriborSwapFixA)
> -
> -CALIBRATIONS:
> -MultiIndexSingleMeanRevCalibration.xls:
> -- changed parameters for Simplex optimizer to reasonable starting values
> -  (Lambda = 0.1 and RootEpsilon = 1e-2).
> -
> -BONDS:
> -- checked against prospectus and validated the following new bonds:
> -  DE0001345759, IT0001203253, IT0001203253, IT0001203295, IT0001203295,
> -  IT0001205589, IT0001205589, IT0001264792, IT0001271649, IT0001272498,
> -  IT0001272498, IT0001296133, IT0001303350, IT0001307286, IT0001327524,
> -  IT0003493258, IT0003644769, IT0006521139, XS0082483388, XS0082483388,
> -  XS0098379810, XS0235012951, XS0283497005
> -- fix-to-reverse bond: IT0001235404
> -- naked zero-coupon part of equity kinked bond: IT0003324115
> -- capped/floored coupon bonds:
> -  IT0001214284, IT0006525742, IT0003825988, IT0003657381
> -- cms bond: TEC10 XS0091349489
> -
> -- Added, checked against prospectus but not validated because treated as non
> -  callable maturing at the first call date (according to the market) the
> -  following:
> -  XS0080650806
> -  XS0081247446
> -  XS0083246032
> -  XS0083714823
> -  XS0083662923
> -  XS0084680106 (for this bond prospectus is missing)
> -
> -- Added the following zero coupon bonds callable but quoted as plain with
> -  maturity at the first call dates
> -  XS0080650806
> -  XS0081247446
> -  XS0083246032
> -  XS0083714823
> -  XS0083662923
> -  XS0084680106
> -
> -BondMonitor_EUR.xls:
> -- all market data triggers have been taken into account
> -
> -
>
>
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