measured off an unknown settle-date principal. Denote DF as the discount factor between trade and settlement known from the trade-date market. Finally, denote AF as the mathematical expectation of amortization factor between trade and settlement. This is the measure fully discussed above. Then,

Where Accrued% stay for the settle-date accrued interest in percents. If security does not amortize (AF = 1), we get the usual forward settlement rule.

In version 5.2, the settlement date can be entered for up to 12 months forward with every position having it's own entry.

Other improvements

The list of other highlights and improvements found in version 5.2 OAS is fairly significant:

· All needed rates are now interpolated intra-month so that passing the month-end does not result in a price jump.

· We included an option to "fudge" short rates to static instruments. This option provides exact valuation of option-free instruments (hence, the discount factors) even with a limited Monte Carlo or Quasi-Monte-Carlo sample.

· Monte-Carlo pricing accuracy is displayed so there will be less need to ask about recommended number of paths.

· Intex's "as of" date is shown for CMOs/ABS. This date (and the deal structure) will change with the trade date. In particular, one can re-run for past dates to verify or replicate the past runs. >>>