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DerivaTool
3.1:
DerivaTool is a Generalized Monte Carlo
simulation engine. The next release of DerivaTool(3.1)and DTlib is scheduled
for late October.
New Features:
- DerivaTool will support Interest rate
derivatives pricing (Hull and White)
- Mean reverting process
- Models the full forward curve
- Historical simulation
- Calibration will be added at a later
date(expected release in 2000)
@ENERGY 4: Weather
derivatives
Weather derivatives option pricing is scheduled for release in early
November
New Features:
- Heating degree days and Cooling degree
days options will be supported in the first release
- Mean reverting process
@ENERGY
3 (SWING): SWING contracts
The next release of Swing and Swinglib is scheduled for late December.
New Features:
- Delivery period extended to
value contracts with a length larger than a month (e.g. Nov-March)
- Unlimited number of swing for
the delivery period
- Mark-up defined as an absolute
dollar amount or percentage of index
- Use of the full forward price
curve, and forward volatility curve to price the contracts
- Lognormal and mean-reverting
models of price behavior
-
Hedge curves
for state of the art hedging
- New
enhanced templates to value different types of swing contracts
@INTEREST 3.0:
Interest rate derivatives
@INTEREST 3.0 was released in July 1999
New Instruments The following
instruments are now supported:
- Bond forwards and options on bond
forwards
- Eurocurrency futures and options on
Eurocurrency futures
- Barrier caps and floors
- Currency swaps and swap options
- Quanto differential swaps and swap
options
New Interpolation and Extrapolation
Methods @INTEREST now supports linear, loglinear, cubic spline,
log-cubic spline, and nearest-value yield curve interpolation and extrapolation.
Improved Calendar Management New
calendar management features include flexible, date-based time inputs,
automatic accounting for weekends, support for user-defined holiday
schedules, new day-rolling conventions, and day-count basis support.
New Templates Templates have been
added for the new instruments and existing templates have been updated.
COM Support IntrLib now has a
Microsoft® Common Object Model (COM)-compliant interface.
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