Current Production Version (effective April 7, 2021)

Version 1.8.3 (released April 7, 2021)

As part of the RFR transition, V1.8.3 changes the input validation for interest rates to allow for a swap rates only curve with no deposits. This version supports both IBOR and RFR rates.

This version change does not impact IBOR calculations.

Previous Production Versions (effective March 22, 2013)

All three versions (Versions 1.8, 1.8.1, 1.8.2) produce the same calculation results for valid inputs. Code behavior is different only for cases where calculations fail due to invalid inputs.

Version 1.8.2 (released Mar 20, 2013)

Same as V1.8.1 with resolved potential memory issue caused by error logging.

Version 1.8.1 (released Feb 22, 2013)

Same as V1.8 with additional error logging functionality.

Version 1.8 (released Nov 1, 2012)

V1.8 incorporates changes for Post Event Trading standardization (includes an EDD field) as well as revised feeleg.c and contingentleg.c functions to reduce numerical noise. Additional Documentation can be found on this link.

Previous Production Version

Version 1.7 (released Feb 25, 2009)

Previously Proposed Versions (not implemented)

Version 1.7.1 (released Nov 1, 2012)

V1.7.1 includes changes for Post Event Trading standardization (includes an EDD field). Additional Documentation can be found on this link.

Version 1.7.2 (released Nov 1, 2012)

V1.7.2 includes revised feeleg.c and contingentleg.c functions to reduce numerical noise. Additional Documentation can be found on this link.