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iLib Version 2.3
Wingate Financial Engineering released version 2.3.0 of
the iLib financial function library on 31 August 2004.
The main features added are facilities for correctly
valuing cross currency basis swaps, and a convexity
adjustment for Eurodollar (or Bank Bill) style futures
when used to construct a zero curve.
We've had to change an input parameter to the
BuildCurve function to achieve this. See below for more
details. Our apologies for the inconvenience that this may
cause.
We hope you find the new version useful. Please let us
know about new features that you would like to see. New
versions and features are driven by requests from our
clients. If you don't ask for it, we won't know you need
it!
New functions:
BSABuildCurve builds a basis swap adjusted curve
which is used to value cross currency swaps and cross
currency basis swaps.
BSASens returns the sensitivity to a 1bp
increase in the basis swap rate for present
values calculated from the basis swap adjusted curve.
BSParRate returns the basis swap par rate from a
basis swap adjusted curve.
ConvexityAdjustment returns the adjustment to be
subtracted from the implied interest rate of a 90 day
futures contract to bring it into line with the FRA over
the same dates.
SwapFixedLeg returns the valuation and other
information about the fixed leg of an interest rate or
cross currency swap.
SwapFloatLeg returns the valuation
and other information about the floating leg of an
interest rate or cross currency swap.
Modified functions:
BuildCurve
Parameter "DecimalPlaceAccuracy"
has been replaced with "ConvexityAdjustmentVolatility".
We were forced to replace the parameter rather than add a
new one as Excel appears to have a finite limit on the
number of arguments that can be passed to a function.
We found that the DecimalPlaceAccuracy parameter
redundant as, using a 'Newton-Raphson' approximation
technique to build the zero curve discount factors, we
found the discount factors immediately resolving to 14
places of decimal accuracy.
This parameter can continue to be set in the Control File
if this change present any problems.
SwapParRate
Optional parameters Centre(s), StubAtBack and
RollDayOfMonth have been added to more accurately
describe the swap for which the par rate is required.
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