A new version of RIO and RIO Function Library has been released. The most important improvements of this release is briefly described below:
Improvement of Black functions
It is now possible to save a bootstrapped volatility surface in rw_BlackCalibrate and use the saved volatility in rw_BlackPrices and rw_BlackFloater. The volatility will be saved in a database for a given date with a given Volatility ID.
To view a forward volatility surface a new function rw_BlackVol has been introduced. rw_BlackVol can be used both to view a saved bootstrapped volatility surface, but it can also bootstrap a volatility surface "on-the-fly".
New feature in rw_Swap
In rw_Swap it has always been possible to compute the ParRate for each leg. It is now possible to setup a leg to use the found ParRate in the calculations. This may be done using the field "UseParRate".
New function rw_CurrencySwap
rw_CurrencySwap is a new function in RIO which is able to calculate Currency Swaps. The function is very similar to rw_Swap, but it gives the possibility of specifying a YieldCurve for each leg in the swap as well. Furthermore a foreign exchange rate can be given for each leg.
Improved performance - Direct SQL
The communication with the Microsoft SQL Server previously used the application ScanRate Services Server. RIO version 4.2.1 introduces a direct SQL interface which has a simpler installation and a significantly better performance. The improved performance is especially evident for calculations using large amounts of data.