| Topic |
Document |
| 01/29/2010 |
Release Highlights Summary - Q4 2009:This is a summary of the changes made to the Yield Book analytical system during the fourth quarter of 2009. |
English
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| 11/16/2009 |
Changes to user interface in Chapter 4 page 2; Cross currency swaps are now available in Tracking Error; Enhancement for “Fixed-to-Float” securities. |
English
Japanese |
| 11/06/2009 |
Multiple Security Analysis (Ch4Pg2) Navigation Refresh |
English
Japanese |
| 10/19/2009 |
New Exponential weighting available in Tracking Error; Display issue–level predicted volatility in Tracking Error; New keyword for CMBS; Specify Muni industry subsector in ybport; Add underlying ratings for munis in ybport; Return Attribution linking diagnostic report; "Modified Following" daycount convention available for interest rate swaps; Odds ‘n’ Ends.
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English
Japanese |
| 09/20/2009 |
New KEYWORDS for structured notes; Ability to view historical projections for "modified collateral" in Chapter 2.3; New Muni CDS entities; New CMO Keywords; Additional pricing approach for Structured Notes; Odds 'n' Ends (faster calculation of term structure models, Thai Baht, new PY reports, horizon keywords, Markit indexes) |
English
Japanese |
| 08/15/2009 |
New pricing method for multi-leg FX options; New keyword for structured notes. |
English
Japanese |
| 07/13/2009 |
New index available for CFLOATS; Download tracking error returns in batch; New yield curves and swap curves; Custom index enhancement; Ability to switch pay and receive leg of CDS. |
English
Japanese |
| 06/15/2009 |
Users can now run YBPort with pricing turned off; There are several CDS-related enhancements; Indonesian government
bonds added to Tracking Error; Shortcut to CMBS stress scenarios on CMBS dials page; Odds ‘n’ Ends. |
English
Japanese |
| 05/18/2009 |
Calculate daily return attribution files on US holidays; New keyword for callables; Tracking Error keywords automatically
refresh now; Ability to Upload/Download optimization constraint files; New batch command CMOOASCNVX; New batch command
APPEND_YBPORT; Enable uploading of multiple swap curves for different dates and countries; Odds ‘n’ Ends. |
English
Japanese |
| 04/20/2009 |
New CDS entries for Markit CDX indices v11; Fitted Swedish Treasury curve extended to 30 years; New Keywords for spread
to Treasury for structured notes; CLDELAY keyword is now populated for CMBS; New custom-partial-related keywords;
CLDELAY keyword is now populated for CMBS; Use a vector of model speeds to price CMOs; Upload multiple government
curves with multiple curve dates in one file; Change the default yield shift for partial durations by currency;
YBPort can use index forwards for pricing; New FX upload file format; Multiple SPOT rates for a currency for different
dates can be loaded in a single file; Odds ‘n’ Ends (China curve, monthly CPRs in cash flow report). |
English
Japanese |
| 03/16/2009 |
New prepayment model; New Auto-P/Y logic for CFLOATS at a specified scenario margin; "Map pools to generics" is no
longer the default in YBPORT and BATCH; New Keyword for Scenario Analysis; Custom Partials functionality has been
generally released; New Batch commands; Markit-related keywords populate for Prorata bonds; Odds ‘n’ Ends. |
English
Japanese |
| 03/05/2009 |
Release Highlights Summary 2008: Nearly each week, we publish our Release Highlights, which
explain the most recent changes to The Yield Book analytical system. This report documents the changes that we made
to the system during 2008. |
English
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| 02/23/2009 |
New QuickCard available; Price using loss severity auto P/Y logic in YBPort; Upfront CDS pricing enabled;
Custom Partials: New Keywords, plus optimization; New indicator when CMOs have stale collateral info; Odds 'n' Ends. |
English
Japanese |
| 02/09/2009 |
More “Load Generic Price” functionality in 4.2 and batch; New closing Swap Curve option in Pricing Setup; New batch
command CLEARPRICE; More new keywords for custom partials; Bimonthly pay frequency added; Odds ‘n’ Ends. |
English
Japanese |
| 02/02/2009 |
New version of prepayment model; “Modify Class” available for Japanese mortgage deals; New auto P/Y logic for TIPS;
Show state exposure for all MBS. |
English
Japanese |
| 01/26/2009 |
Ability to rename portfolios with transactions; New YBPort upload capability for “Power Reverse Dual” Structured Notes;
CMBS OAS model released; New keyword for MOATS current coupon in scenario analysis; Change in displayed rating methodology
for agency bonds; CDS market quote for recovery available; New keywords for customers with access to Markit data; CMS
Countdown can now be used in Exotic Range Accrual; CMT30 added as floater index for exotic range accruals; 6-month T-bill
added as index for structured notes; New keywords for next reset date for floating side of swap; New IBoxx sector codes;
Exchange rate volatilities available in historical data; Odds ‘n’ Ends; In Beta testing now... |
English
Japanese |
| 11/24/2008 |
Correlation Matrix Download; View the Volatility Surface; Quanto security type available; Enhancement to
the Crosstab template; Odds ‘n’ Ends. |
English
Japanese |
| 11/17/2008 |
Delete composite portfolios in batch; ABX spreads now used for tracking error. |
English
Japanese |
| 11/10/2008 |
New Level 3 iboxx sector code; Return Attribution for FUTOPTS. |
English
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| 11/03/2008 |
GHLC bonds available in Tracking Error; Create User bond structured notes with deferred put; Return Attribution
enabled for options on EDF futures; "Modified Following" daycount convention for structured notes. |
English
Japanese |
| 10/27/2008 |
Curve Analysis Download Enhancement. |
English
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| 10/20/2008 |
New version of Prepayment Model. |
English
Japanese |
| 10/13/2008 |
Exclude Cap Contract in CMO PY; GHLC/JHFA Tracking Error change. |
English
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| 10/06/2008 |
Corporate Single-name CDS add to Tracking Error; Version 15 of the Prepay Model becomes Default model next week. |
English
Japanese |
| 09/22/2008 |
Tracking Error; Behind the Scenes. |
English
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| 09/15/2008 |
Scenario ROR prepayment method; Behind the Scenes... |
English
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| 08/25/2008 |
Load new level data in 4.2 and 3.2 for securities in Lehman Indices; model short term matured CD-like structures in YBPort;
New keywords for duration calculations; Custom Partials Available; Odds ‘n’ Ends. |
English
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| 08/18/2008 |
China swap curve; Batch upload of index tranche quote for SCDO; Odds ‘n’ Ends - The year is added to the time stamps for portfolios, Both tab delimited and space delimited formats for spot exchange rate
uploading. |
English
Japanese |
| 08/11/2008 |
Yield Book introduces "Boost" Licenses; RetAtt gets a speed bump; New graphic capabilities on the Index website. |
English
Japanese |
| 08/04/2008 |
Adjust transaction prices in the adjustments page in RetAtt; Weekly Index Data. |
English
Japanese |
| 07/31/2008 |
Release Highlights Summary - Q2 2008: Nearly each week, we publish our Release Highlights, which
explain the most recent changes to The Yield Book analytical system. This report documents the changes that we made
to the system in the second quarter of 2008. |
English
|
| 07/28/2008 |
New Structured Note types in RetAtt; Save Volatility for Structured Notes; Custom HPA vectors now print;
Forward CC Rate can now be downloaded; CDS spreads now retained for two months; Odds ‘n’ ends. |
English
Japanese |
| 07/14/2008 |
MEMONLY function for Batch; Create Asset Swaps in YbPort; New Keywords; Delete reports in Batch;
TBA generic price logic updated; Delete reports in Batch; Odds and Ends. |
English
Japanese |
| 06/30/2008 |
Create a portfolio in memory only in YBPort; New keyword MIDDLERATINGM; Price MBS pools at price spread to TBA OAS level. |
English
Japanese |
| 06/23/2008 |
Ability to define a user bond by referencing a generic and specifying changes; Set swaption coupon type in YBPORT. |
English
Japanese |
| 06/16/2008 |
New iBoxx sector codes; New date logic to support global pricing date; Upload spot yields in Pricing Setup;
Upload BMA Swap curve for munis; Value at Risk is out of Beta. |
English
Japanese |
| 06/09/2008 |
New LEHCLASS keyword; Automatically create CDS reference entities while uploading in Batch. |
English
Japanese |
| 06/02/2008 |
Yield Book now offers Citi’s new CMBS default and Prepayment Model; New KEYWORDS for the new CMBS model;
Use true OAS to price CMBS; New KEYWORD for Optimization;Upload multiple swap curves in one file; Step
Down Fail available in 4.2 and Batch (scenario calc). |
English
Japanese |
| 05/12/2008 |
Graph the Floater or Inverse Floater Coupon versus Index for CMOs. |
English
Japanese |
| 05/05/2008 |
Change in use of taxable curves for munis; HPA vector assumption moved to Dials page. |
English
Japanese |
| 04/21/2008 |
View/Set individual currency reinvestment rates in RetAtt; Changing identifiers with Add/Update - new behavior;
Delete ALL user keywords. |
English
Japanese |
| 04/14/2008 |
New Batch command “MUNISETTINGS” gathers several settings; CDS reference entities can be named alphanumerically. |
English
Japanese |
| 04/11/2008 |
Release Highlights Summary - Q1 2008: This is a summary of the changes made to The Yield
Book® analytical system during the first quarter of 2008. |
English
|
| 04/07/2008 |
Loan size quartile information for dealer-created CMOs; 1F-MR (one-factor mean reversion) now available for Japanese
Structured Notes; Structured note “daycounts” can be scheduled if they change; COBS data populates for Markit CDS
entities; Exchange rates used in scenarios have more flexibility. |
English
Japanese |
| 03/31/2008 |
We added new reference entities for CDS; New batch command allows securities to be added (“searched-in”) like in 4.2;
FXFWDS for “additional markets” countries added; Munis can price off the taxable US curve; New keyword for CMOs;
Fitch and R&I ratings can be used for Yen denominated bonds; Structured Notes get Horizon Vega populated;
New Keywords for Return Attribution; Collateral Detail for TrancheSpeak Deals; Structured Notes and Swaps now always
set relative curve to swap. |
English
Japanese |
| 03/10/2008 |
There’s a new scroll bar for the securities in Chapter 4.2; Dealers: Delete CMOs in batch; YBPORT keyword “RSTMRGN” now
works for MUNIFLT security type; New Keywords for DealPSA and DealCPR. |
English
Japanese |
