| Date |
|
Topic |
|
Document |
|
| 08/04/08 |
|
Adjust transaction prices in the adjustments page in RetAtt; Weekly Index Data. |
|
English
|
|
| 07/31/08 |
|
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
|
|
| 07/28/08 |
|
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
|
|
| 07/14/08 |
|
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
|
|
| 06/30/08 |
|
Create a portfolio in memory only in YBPort; New keyword MIDDLERATINGM; Price MBS pools at price spread to TBA OAS level. |
|
English
Japanese |
|
| 06/23/08 |
|
Ability to define a user bond by referencing a generic and specifying changes; Set swaption coupon type in YBPORT. |
|
English
Japanese |
|
| 06/16/08 |
|
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 |
|
| 06/09/08 |
|
New LEHCLASS keyword; Automatically create CDS reference entities while uploading in Batch. |
|
English
Japanese |
|
| 06/02/08 |
|
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 |
|
| 05/12/08 |
|
Graph the Floater or Inverse Floater Coupon versus Index for CMOs. |
|
English
Japanese |
|
| 05/05/08 |
|
Change in use of taxable curves for munis; HPA vector assumption moved to Dials page. |
|
English
Japanese |
|
| 04/21/08 |
|
View/Set individual currency reinvestment rates in RetAtt; Changing identifiers with Add/Update - new behavior;
Delete ALL user keywords. |
|
English
Japanese |
|
| 04/14/08 |
|
New Batch command “MUNISETTINGS” gathers several settings; CDS reference entities can be named alphanumerically. |
|
English
Japanese |
|
| 04/07/08 |
|
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 |
|
| 03/31/08 |
|
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 |
|
| 03/10/08 |
|
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 |
|
| 02/25/08 |
|
Prepayment model 14 is now the default; Data Enhancements for Japanese Corporate Bonds; New Structured note types
in Return attribution; Ability to set CMBS balloon extension to maximum allowed in prospectus. |
|
English
Japanese |
|
| 02/20/08 |
|
Release Highlights Summary 2007: 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 2007. |
|
English
|
|
| 02/04/08 |
|
In Batch, CMO OAS can be calculated at constant CPR or PSA; Cancelable zero coupon swap available; Prepayment Penalties
can now be incorporated for ARMs. |
|
English
Japanese |
|
| 01/29/08 |
|
Release Highlights Summary - Q4 2007: 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 fourth quarter of 2007. |
|
English
|
|
| 01/28/08 |
|
Previous Coupon for Snowball structure; Increased capacity for user bond schedules; READPRICE in Batch for Lehman will wait for
files; New calculation for Effective Yield of GHLC and JHFA bonds; General release of Swaptions and Caps in Tracking Error. |
|
English
Japanese |
|
| 01/14/08 |
|
More information provided when CDS spreads are retrieved; Reading attribution results from the company directory
interactively; New Keyword to help parse returns in multicurrency portfolios with Fx Forwards; Zero Coupon
Swaption Available; New currencies added; Version 14 of Prepayment Model; VolDur and Vega for uploaded
volatility surface; Horizon volatility duration and horizon vega for CMOs. |
|
English
Japanese |
|
| 11/16/07 |
|
Release Highlights Summary - Q3 2007: 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 third quarter of 2007. |
|
English
|
