Release of RIO 4.3.3 - Extended calculation functionality

A new version of RIO and RIO Function Library has been released. The new version 4.3.3 features a long list of general usability and calculation improvements. A list of a selection of the new features is presented here:

  • The Holding Period Yield module now supports ad hoc modification of the background data of adjustable rate bonds.
  • The First Prepayment model, which uses preliminary redemption data to forecast the next unpublished payment date, has been extended with the option to generate data which are not delivered as expected.
  • The Performance Attribution module has been extended with three new return components. The three new components respectively captures the effect of changes in background data, yield spreads and pool factors.
  • The LIBOR Market Model has been extended with the calculation of mapped durations (delta vector).
  • The newly developed Bond Futures functions now allows the specification of bond-specific repo rates. This is useful for bonds, which trade below general collateral.
  • The ScanRate calculation server has been updated to support calculations on Multi-CPU servers. The solution supports not only multiple users but it also allows for parallel processing of large calculations.
  • RIO's internal SQL-Parser has been updated to support a much broader selection of SQL statements.
  • Calculations on advanced fixed income assets now includes sensitivity to volatility changes, Vega.
  • The visualized cashflow of Index-linked bonds are now adjusted according to the index relevant.
  • RIO's internal chart facility has, among other things, been extended to include  Surface/3D charts.
  • After-tax return calculation is now supported on black-stamped bonds, where capital gains are subject to tax.