U.S. patent application number 11/102638 was filed with the patent office on 2005-08-18 for automated financial scenario modeling and analysis tool having an intelligent graphical user interface.
This patent application is currently assigned to Babcock & Brown LP, a Delaware limited partnership. Invention is credited to Belcsak, Ladislav V., Bewsher, Mark R., Cohn, Stephen G., Collop, David J., Lee, Luke, Moritz, Dennis D., Niemira, Thadeus H..
Application Number | 20050182709 11/102638 |
Document ID | / |
Family ID | 34840773 |
Filed Date | 2005-08-18 |
United States Patent
Application |
20050182709 |
Kind Code |
A1 |
Belcsak, Ladislav V. ; et
al. |
August 18, 2005 |
Automated financial scenario modeling and analysis tool having an
intelligent graphical user interface
Abstract
A financial scenario modeling and analysis tool, including a
graphical user interface which enables a user of the tool to create
a graphical model of a financial scenario, generally including at
least one financial transaction, on a display screen, and an engine
operable, in response to creation of the graphical model, to
automatically generate information, such as financial or
mathematical information, which at least partially models at least
a part of the financial scenario using information collected by the
engine during creation of the graphical model. The graphical user
interface enables the user to create party graphics respectively
representing parties to the financial deal, and to generate
financial instrument graphics representing financial instruments,
wherein each financial instrument graphic connects two of the party
graphics. The engine generates, in response to the creation of a
graphical model, an instrument information, such as an object or
template, for each of the instruments in the graphical model. The
tool includes a natural date language and a formula language for
use in modeling a scenario. The tool enables optimization of
optimizable parameters defined in the scenario, and includes a
user-friendly, book-like and CAD-like user interface.
Inventors: |
Belcsak, Ladislav V.; (San
Francisco, CA) ; Lee, Luke; (Fairfield, CA) ;
Collop, David J.; (Oakland, CA) ; Bewsher, Mark
R.; (Tilburon, CA) ; Niemira, Thadeus H.; (San
Bruno, CA) ; Moritz, Dennis D.; (San Rafael, CA)
; Cohn, Stephen G.; (Orinda, CA) |
Correspondence
Address: |
NIXON & VANDERHYE, PC
901 NORTH GLEBE ROAD, 11TH FLOOR
ARLINGTON
VA
22203
US
|
Assignee: |
Babcock & Brown LP, a Delaware
limited partnership
San Francisco
CA
|
Family ID: |
34840773 |
Appl. No.: |
11/102638 |
Filed: |
April 11, 2005 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
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11102638 |
Apr 11, 2005 |
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09530040 |
Sep 14, 2000 |
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09530040 |
Sep 14, 2000 |
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PCT/US00/02776 |
Feb 3, 2000 |
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60118743 |
Feb 5, 1999 |
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Current U.S.
Class: |
705/38 |
Current CPC
Class: |
G06Q 40/04 20130101;
G06Q 40/025 20130101; G06Q 20/10 20130101 |
Class at
Publication: |
705/038 |
International
Class: |
G06F 017/60 |
Claims
1-40. (canceled)
41. An electronic tool for performing mathematical calculations,
comprising: an information processing system; and a graphical user
interface for said information processing system; wherein said
graphical user interface is a non-cell based calculation interface
which performs calculations using references which are based on a
hierarchical outline and not a positional reference.
42-65. (canceled)
66. A financial scenario modeling and analysis tool, comprising:
means for creating a graphical model of a financial scenario on a
display screen; and means for generating, in response to creation
of said graphical model, information which at least partially
models at least a part of said financial scenario using data
collected by said engine during creation of said graphical
model.
67. The financial scenario modeling and analysis tool of claim 66,
wherein said means for creating enables a user to create party
graphics respectively representing parties to said financial
scenario, and to create financial instrument graphics representing
financial instruments, wherein each financial instrument graphic
connects two of said party graphics, said party graphics and said
financial instrument graphics comprising said graphical model of
said financial scenario.
68. The financial scenario modeling and analysis tool of claim 67,
wherein said financial instrument graphics indicate a relationship,
relative to said financial instrument represented thereby, between
said parties connected by said financial instrument graphic.
69. The financial scenario modeling and analysis tool of claim 67,
wherein said means for generating generates, in response to said
creation of said graphical model, instrument information for each
of said instruments in said graphical model, and said means for
creating enables said user to interact with said instrument
information.
70. The financial scenario modeling and analysis tool of claim 69,
wherein said means for creating enables said user to enter and
define date information relating to said financial scenario for use
by said means for generating, and further wherein said means for
creating is operable to display said date information in graphical
form on said display screen.
71. The financial scenario modeling and analysis tool of claim 70,
further including means for enabling said date information to be
entered using a natural date language, said engine being operable
to process said date information from said natural date
language.
72. The financial scenario modeling and analysis tool of claim 69,
wherein said instrument information constitutes either a fixed part
of said financial scenario or a variable part of said financial
scenario.
73. The financial scenario modeling and analysis tool of claim 66,
wherein said means for creating enables said user to modify said
graphical model of said financial scenario, and said means for
generating is operable, in response to said modification of said
graphical model, to modify said information in accordance with said
modification of said graphical model.
74. The financial scenario modeling and analysis tool of claim 67,
wherein said means for generating is operable, in response to said
creation of said financial instrument graphic, to define roles for
parties represented by said party graphics which are connected by
said financial instrument graphic, wherein said roles are used by
said engine to define said parties interaction with said financial
instrument represented by said financial instrument graphic.
75. The financial scenario modeling and analysis tool of claim 72,
wherein said means for generating is operable to determine an
optimal result for said financial scenario relative to at least one
aspect of the scenario, and to calculate optimal values for each of
said variables defined by said instrument data based on said
optimal result.
76. The financial scenario modeling and analysis tool of claim 66,
wherein said tool is operable to determine an optimal result for
said financial scenario.
77. The financial scenario modeling and analysis tool of claim 75,
wherein said means for creating is operable to display said optimal
result to said user.
78. The financial scenario modeling and analysis tool of claim 67,
wherein said tool includes a library of predefined financial
instruments, and said means for creating enables said user to
select and use one or more of said predefined financial instruments
during creation of said graphical model of said financial
scenario.
79. The financial scenario modeling and analysis tool of claim 67,
wherein said means for generating is operable in response to
creation of each of said party graphics to generate party-specific
information on said party, said means for creating enabling said
user to edit said party-specific information.
80. The financial scenario modeling and analysis tool of claim 79,
wherein said tool includes a library of predefined party
definitions, and further wherein said means for creating enables
said user to select a party definition from said library of
predefined party definitions.
81. The financial scenario modeling and analysis tool of claim 70,
wherein said means for creating includes a worksheet section which
enables said user to input scenario information which is
independent of date and instrument information, and further wherein
said means for generating is operable to use said scenario
information when modeling said financial scenario.
82. The financial scenario modeling and analysis tool of claim 81,
wherein said worksheet is a non-cell based calculation interface
wherein references used in calculations are based on a hierarchical
outline and not on a positional reference.
83. The financial scenario modeling and analysis tool of claim 81,
wherein said tool includes a formula language for use in creating
said scenario information, said formula language including a
library of predefined functions and keywords.
84. The financial scenario modeling and analysis tool of claim 83,
wherein said means for generating is operable upon entry of said
scenario information in said worksheet section to establish links
between related scenario information and between scenario
information and said date information, thereby establishing a
dependence therebetween, and further wherein said means for
generating is operable to use said links when modeling said
financial scenario.
85. The financial scenario modeling and analysis tool of claim 83,
wherein said tool includes a library of predefined worksheets for
use in said worksheet section, said means for creating enabling
said user to select said predefined worksheets from said library of
pre-defined worksheets.
86. The financial scenario modeling and analysis tool of claim 84,
wherein said formula language further includes a library of
predefined prefixes for use in creating said scenario
information.
87. The financial scenario modeling and analysis tool of claim 71,
wherein said natural date language is used in said tool to specify
either a single date or a series of dates relating to said
financial scenario.
88. The financial scenario modeling and analysis tool of claim 87,
wherein said tool enables a plurality of possible outcomes to be
modeled based on different date information provided by said
user.
89. The financial scenario modeling and analysis tool of claim 66,
wherein said information is selected from the group consisting of:
timelines, formulas, templates, parameters, constraints,
optimizable parameters, cash flows, and reports.
Description
CROSS-REFERENCE TO RELATED APPLICATION
[0001] This application hereby claims priority on U.S. Provisional
Patent Application No. 06/118,743 filed on Feb. 5, 1999, the
disclosure of which is hereby incorporated by reference herein in
its entirety.
BACKGROUND AND SUMMARY OF THE INVENTION
[0002] The present invention relates to an automated tool for
modeling the cash flows of financial scenarios, which typically
involve use of at least one financial instrument, between various
parties to a financial transaction by providing analysts with the
ability to graphically represent the parties to the transaction,
and their complex interrelationships in a manner that simplifies
analysis of various options for completing the deal. In particular,
the instant invention is directed to a modeling tool that analyzes
various aspects of a proposed financial arrangement between parties
to the transaction on the basis of information provided through a
high level graphical user interface, and prepares competitive
financial proposals, structures the proposals in an optimal manner,
and which may further be used to manage and administer the final
transaction to ensure compliance and delivery of the financial
benefits determined by the tool.
[0003] The computer has become a critical tool for financial
analysts whose job it is to analyze extremely complex financial
transactions such as leveraged leases. The computer allows the
numerous variables in such transactions to be manipulated and
analyzed in a fraction of the time required for these calculations
to be performed by hand. Of course, in order to allow a computer to
perform useful functions, whether the area is financial analysis or
virtually any other subject, software designed for the particular
application is needed. Such software is often referred to as a
"tool."
[0004] Certain software tools for financial analysis of complex
transactions have been developed; however, they have inherent
limitations and are very difficult to use for a number of reasons,
including, for example, their inflexibility in altering existing
models, their requirement of complex commands and codes for
building and modifying a proposed model, and their inability to
manipulate a financial structure at the higher level of an
overview. The invention described herein was designed to overcome
the problems with these earlier tools and represents a major
advance in the field of financial engineering and analysis. The
invention incorporates extremely sophisticated aspects of computer
aided design (CAD) resulting in a graphical user interface unique
to financial analysis. As a result, an analyst using the invention
is able to quickly and easily analyze many different potential
scenarios and to determine optimal terms for the particular
transaction under consideration. For example, this novel approach
gives the analyst the ability to see partial results when building
a model, provides the financial analyst with dynamic overviews
(pictures) of the financial structure that can be directly
manipulated to alter the financial structure, and provides an
object-oriented distinction between high level structure and
financial details which allow the user to defer details until they
become available or relevant.
[0005] As described in greater detail below, an important part of
the invention is a computer software engine which has been designed
to automatically obtain and generate information relating to a
particular financial transaction or scenario in response to inputs
from the user. The software engine and the CAD-like graphical user
interface have been designed to work cooperatively together in
order to create a graphical representation of the particular
transaction or scenario on the screen of the analyst's computer.
The system is designed to allow the analyst to cause this graphical
representation to be manipulated, modified or revised so that
information useful to many different aspects of the transaction or
scenario can be quickly and easily obtained. The end result is a
system that is easy to use, extremely flexible and far more
efficient than prior financial analysis tools.
[0006] There are many automated financial engineering and analysis
tools currently available for use by analysts to determine various
components of a financial transaction and to optimize the
transaction based on the particular data associated with the
parties to the transaction. One such well-known tool is provided by
Warren and Selbert, Inc., of Santa Barbara, Calif. and is referred
to as "ABC". ABC has been used by analysts to generate various
alternatives within the constraints of a particular financial
instrument and optimize the results so that analysts can generate a
deal that is acceptable to all parties to the transaction. One such
commonly used financial instrument is referred to as a multiparty
leveraged lease. There are various other proprietary systems that
provide such automated financial analysis.
[0007] However, all of these known systems suffer from numerous
disadvantages. For example, the ABC program, and others like it,
require the use of complex commands and codes for building and
altering a proposed model. Moreover, the models typically must be
built prior to having the ability to view any intermediate results.
This, in combination with the complex programming-like language
that is required, results in a very long learning curve for
analysts who use the tool. Furthermore, the model, once built and
run, does not typically enable the analyst to easily change
variables or to easily view the resulting change in the
transaction.
[0008] A primary source of these problems is the complex and
inflexible user interface typically associated with these known
tools. Another problem with such prior art tools is that they do
not enable a user to model the financial deal visually and
mathematically and in a manner which enables interfunctionality and
dependency between the visual model and the mathematical model. As
a result, the tools currently in use provide limited ability to
deal with higher levels of complexity and the ever expanding
universe of evolving financial products in use today, and which
will be used in the future. Additionally, the inflexible interface
makes it very difficult for different analysts to be able to
discern the exact relationships and variables of a model that
another analyst may have been manipulating when the model was being
built and later modified.
[0009] To overcome the above and other shortcomings with prior art
financial modeling tools, the present invention provides a much
more user friendly, flexible tool incorporating easy to understand
graphics and interfaces to enable more efficient and practical
application of the tool. To that end, the invention provides a
financial modeling tool that addresses model complexity with a
graphical CAD-like approach to financial and/or mathematical
modeling, which facilitates, among other things: the ability to see
partial results while building a model; a short learning curve; the
ability to make changes when the user views the results of the
analysis; flexible "point and click" interfacing; easy handling of
indexed data; integrated and automatic handling of certain
variables, e.g., taxes and accrual; menu of building blocks, e.g.,
loans, rents, fees, purchases, etc.; menu of built in reports; and
an interactive and intelligent graphical representation of the
model.
[0010] In accordance with an important aspect of the instant tool,
a software engine, hereinafter referred to as "engine", is provided
in the tool and is programmed to automatically obtain and generate
information on a financial scenario in response to the user
creating a graphical representation of the scenario with the
CAD-like user interface. In other words, the manipulation of the
graphical user interface to generate a visual representation of the
scenario automatically results in the generation of information,
such as formulas, objects, templates, timelines, calculations,
constraints, parameters, optimizable parameters, cash flows,
reports, or any other suitable information that is helpful in
modeling the scenario represented by the visual representation
created by the user using the CAD-like interface. The information
generated preferably at least partially model at least a portion of
the scenario. After drawing a scenario, such as a proposed
financial deal, using the interface, the interface enables the user
to enter data and formulas, edit the information automatically
generated by the engine in response thereto, and to further define
the scenario in a manner which enables the engine to fully model
and analyze the scenario. Once the scenario is fully modeled, the
tool gives the user the ability to instruct the engine to attempt
to optimize the scenario, either directly or by creating
formulations to be optimized and passing the formulations to a
separate optimizing program. Once the deal is optimized, the
results can be viewed by the user using the interface. The scenario
can also be modified by the user and new results based on the
modification can be viewed. When the visual representation of the
scenario is modified, the engine automatically modifies the
information previously generated in a manner which corresponds to
the modification to the visual representation.
[0011] In accordance with a main aspect of the instant invention, a
financial transaction modeling and analysis tool is provided which
includes: a graphical user interface which enables a user of the
tool to create a graphical model of a financial scenario, generally
including at least one financial transaction, on a display screen;
and an engine operable, in response to creation of the graphical
model, to generate information which at least partially models at
least a part of the financial scenario using information collected
by the engine during creation of the graphical model.
[0012] The graphical user interface preferably enables the user to
create party graphics respectively representing parties to the
financial scenario, and to generate financial instrument graphics
representing financial instruments, wherein each financial
instrument graphic connects two of the party graphics. The party
graphics and the financial instrument graphics define the graphical
model of the financial scenario. Preferably, the financial
instrument graphics indicate a direction of flow, relative to the
financial instrument represented thereby, between the parties
connected by the financial instrument graphic.
[0013] In accordance with an important aspect of the instant
invention, the engine generates, in response to the creation of a
graphical model, an instrument information, such as an instrument
object or template, for each of the instruments in the graphical
model. Once an instrument is defined, the graphical user interface
enables the user to interact with the instrument information, such
as adding scenario specific instrument data to each of the
instrument objects generated by the engine. The instrument data
entered in connection with the instrument object constitutes either
a fixed part of the financial scenario or a variable part of the
financial scenario.
[0014] The graphical user interface also enables the user to enter
and define date information relating to the financial transaction
for use by the engine. Preferably, the graphical user interface is
operable to display the date information in graphical form on the
display screen. The tool preferably enables the date information to
be entered using a natural date language, wherein the engine is
operable to process the date information from the natural date
language.
[0015] In accordance with another aspect of the invention, the
graphical user interface enables the user to modify the graphical
model of the financial scenario, and the engine is operable, in
response to the modification of the graphical model, to modify the
information previously generated in accordance with the
modification of the graphical model.
[0016] In accordance with another aspect of the invention, the
engine is operable, in response to the creation of the financial
instrument graphic, to define roles for parties represented by the
party graphics connected by the financial instrument graphic,
wherein the roles are used by said engine to define the parties
interaction with the financial instrument represented by the
financial instrument graphic when modeling the financial
scenario.
[0017] The engine is preferably operable to determine and display
an optimal solution or result for the financial scenario relative
to at least one of the parties thereto, and to calculate optimal
values for each of the variables defined by the instrument data
based on the optimal solution.
[0018] The financial transaction modeling and analysis tool of the
instant invention preferably includes an extensible library of
predefined financial instruments, and the graphical user interface
enables the user to select and use one or more of the predefined
instruments during creation of the graphical model of the financial
scenario. In other words, numerous common and canned financial
instruments are provided to the user to facilitate easy modeling of
common transactions that may be used in financial scenarios.
[0019] In accordance with another aspect of the invention, the
engine is operable, in response to creation of each of the party
graphics to generate a party-specific information on the party, and
the graphical user interface enables the user to retrieve and
modify the information in the party-specific information.
[0020] In accordance with another aspect of the invention, the
graphical user interface includes a worksheet section, also
referred to herein as "smart paper," which enables the user to
input scenario information which is independent of or supplementary
to the date and instrument information relating to the financial
scenario, and the engine is operable to use the scenario
information when modeling the financial scenario. Preferably, the
instant tool includes a formula language for use in creating the
scenario information, wherein the formula language includes a
library of predefined functions and keywords which can be used by
the user when creating the scenario information.
[0021] The worksheet section is preferably a non-cell based,
outline based interface for inputting data and formulas in an
outline format. More particularly, the worksheet, also called
"smart paper" herein, is a non-cell based calculation interface
wherein references are based on a hierarchical outline rather than
a position reference. In a preferred embodiment of smart paper, the
interface enables one formula per row to be defined in an
outline-type format.
[0022] The engine is preferably operable upon entry of scenario
information, such as deal formulas, in the worksheet section to
establish links between related scenario information and between
scenario information and date information, thereby establishing a
dependence therebetween, and further wherein the engine is operable
to use the links when modeling the financial scenario. Preferably,
the tool includes a library of predefined worksheets for use in the
worksheet section, and the graphical user interface enables the
user to select predefined worksheets from the library for use in
the worksheet section.
[0023] The instant tool also enables a plurality of possible
outcomes to be modeled based on different information provided by
the user.
[0024] In accordance with yet another aspect of the invention, the
graphical user interface is presented on the display screen in a
book-like configuration in which a plurality of different sections
of the graphical user interface are represented by different
chapters in the book-like configuration, each of the chapters
having a tab graphic associated therewith, wherein upon selection
of the tab graphic by the user, the user interface is operable to
display the chapter associated therewith. Preferably, the tab
graphics are located along a side of the display screen, and each
chapter may include a plurality of pages, the pages having page tab
graphics which are also displayed to the user when a chapter having
the pages is selected by the user.
[0025] Preferably, the graphical user interface enables the user to
view two of the chapters simultaneously in a split-screen format on
the display. The engine is preferably operable to update
information in each chapter in response to changes made by the user
in a chapter.
[0026] In a preferred embodiment of the graphical user interface,
the chapters include a diagram chapter for creating the graphical
model, a parties chapter for providing data relating to the
parties, a time chapter for viewing and editing dates associated
with the financial deal, an instruments chapter for viewing and
editing instrument data, a worksheet chapter for enabling the user
to define scenario information or formulas relating to the
financial scenario, an optimization chapter for use in optimizing
the financial scenario, a payment chapter for viewing payment flows
in the financial scenario, and a reports chapter for enabling
reports to be generated relating to the financial scenario.
BRIEF DESCRIPTION OF THE DRAWINGS
[0027] These and other objects, features, aspects and advantages of
the instant invention will become apparent to one skilled in the
art upon review of the detailed description of the invention
provided herein when read in conjunction with the appended
drawings, in which:
[0028] FIG. 1 is a block diagram showing the major components in
the modeling and analysis tool of the instant invention;
[0029] FIG. 2 is a flow chart showing the main functions and steps
involved in using the modeling and analysis tool of the instant
invention to model and analyze a financial scenario;
[0030] FIG. 3 is a flow chart showing the main steps used to create
a graphical model of a financial scenario, in accordance with the
instant invention;
[0031] FIG. 4 is a flow chart showing the main steps used to create
a worksheet, also referred to as "smart paper", for use in
connection with modeling of the financial scenario, in accordance
with the instant invention;
[0032] FIGS. 5-12 show, in a split screen format, exemplary
information that is automatically generated by the engine in
various chapters of the instant tool in response to creation of the
exemplary graphical representation of a financial scenario shown in
the Payment Diagram chapter.
[0033] FIG. 13 shows a graphical diagram of an exemplary financial
deal created in accordance with the instant invention;
[0034] FIG. 14 shows a party graphic being made in the parties
chapter as a first step in modeling the deal of FIG. 13, in
accordance with the instant invention;
[0035] FIG. 15 shows a further step in creating a graphical
modeling the deal of FIG. 13, wherein two parties and a financial
instrument are shown, in accordance with the instant invention.
[0036] FIG. 16. shows date information related to the exemplary
deal of FIG. 13 being displayed in the time organizer chapter of
the graphical user interface of the instant invention.
[0037] FIG. 17 shows another view of the time organizer of FIG. 16,
where an early buy-out option is displayed;
[0038] FIG. 18 shows a view of the instruments chapter containing
data relating to the exemplary deal of FIG. 13;
[0039] FIG. 19. shows an enlarged, partial view of the display
screen of FIG. 18, wherein the interest rate is being modified;
[0040] FIG. 20 shows a view of the smart paper chapter of the
instant invention containing information from the exemplary deal of
FIG. 13;
[0041] FIG. 21. shows the constraints sub-chapter of the
optimization chapter of the instant invention, containing
information from the exemplary deal of FIG. 13;
[0042] FIG. 22. shows an exemplary report produced in the reports
chapter of the instant invention based on the exemplary deal of
FIG. 13; and
[0043] FIG. 23. shows the payment organizer chapter of the instant
invention containing information on the exemplary deal of FIG.
13.
[0044] FIGS. 24-29 show example uses of the smart paper feature of
the instant invention.
DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS
[0045] Referring now to the drawings, FIG. 1 shows an overview of
the main elements which comprise a preferred embodiment of the
financial scenario modeling and analysis tool of the present
invention. More particularly, as shown in FIG. 1, the tool 10
includes a user interface 12 which preferably enables both builder
users 16 and end users 18 to interact therewith, a software engine
14, an optimizer system 20, which is preferably a software package
known as CPLEX Optimization (version 6.0) offered by CPLEX, ILOG
CPLEX Division, but any other suitable optimization software may be
used, file I/O and support functions 22, output device(s) 26 such
as a printer, and a hard disk 24 or other storage device for use in
storing information and data provided with the tool 10 and input by
the users thereof. The engine 14 performs all calculations when
modeling a deal using the tool, including parsing of the formula
inputs. The engine 14 also reduces the data representing the deal
into an abstract form for submission to the optimizer 20 in order
to perform optimization functions for the deal. The user interface
12 and the engine 14 are the main elements of the present invention
and will be described in greater detail below.
[0046] In order to enable a better understanding of the instant
invention, the following glossary of definitions are provided for
terms commonly used herein to describe the instant invention:
[0047] Smart Paper--is one of the chapters in the user interface of
the tool. Smart Paper is a non-cell based calculation interface
wherein references are based on a hierarchical outline as opposed
to a positional reference. Smart Paper is also referred to herein
as a "worksheet."
[0048] Party--represents a potential (or actual) participant in a
financial transaction or scenario, and as such its meaning is close
to that of colloquial English. Parties connect to the roles of
instruments to define the financial interactions among the
parties.
[0049] Instrument--is a tool object that encapsulates an atomic
financial transaction among a pair of parties, including the tax
consequences and classification of the transaction (e.g. rental
payments).
[0050] Role--is a party connection point of an instrument that
defines how the party interacts with the instrument.
[0051] Key Date--is a globally available date defined by the user
in the Time Organizer.
[0052] Date Stream--is a chronological pattern of dates that
defines both discrete dates and their relationship to time
periods.
[0053] Timeline--is a globally available Date Stream defined in the
Time Organizer that can be used for synchronizing payments and data
throughout a user's model.
[0054] Decision--represents a "yes or no" option at some point in
time that is available within the transaction being modeled with
the tool, wherein the tool then tracks both the "yes" and "no"
results.
[0055] Outcome--is the result of some specific set of assumptions
regarding Decisions, i.e. a specific assumption as regards the
"yes" or "no" of each Decision (see also ACOE below)
[0056] Alternative Courses of events (ACOE)--is the full set of
possible Outcomes in a model, all of which are active within the
model. For example, a deal or scenario may include the leasing of
an airplane over 20 years where the lessee has the option to buy
the plane after 10 years. One outcome of the case is the 20 year
lease, the other would be the 10 year buy out option.
[0057] Decision Handler--is the mechanism within Instruments that
defines the action for a "yes" Decision.
[0058] Parameter--is a piece of information within a case which has
a name, a mathematical formula, and a value. The value can be a
number, date stream, formula or other item.
[0059] Case--A case is a single file created with the tool which
has all the different elements of a single deal or scenario.
[0060] Referring now to FIG. 2, there is shown a general overview
of the main steps, according to a preferred embodiment of the
present invention, which are followed when using the tool 10 to
model and analyze a financial scenario, deal or transaction. As
will be described in greater detail below, the tool 10 provides a
graphical CAD-like interface which is used to model the flow of
financial instruments and data between various parties to a
financial scenario, including individual, corporations,
institutions and/or the like. In accordance with the instant
invention, the tool enables users to visually define the parties
involved in the scenario and, for example, the flows of money and
assets in the form of a graphical model of the scenario. Parties
are preferably represented by boxes which display the name of the
party. Arrows are preferably used to represent the flows of
instruments. Once the model is defined in the tool in graphical
form, the specifics of each party and the flows are further defined
in various interfaces until the model is fully defined.
[0061] If the model as defined satisfies the requirements of all
parties involved, the tool provides an interface which enables the
user to create various reports relating to the model generated for
the scenario. These reports include, for example, the flow of
instruments and assets over various time periods. On the other
hand, if variables exist in the scenario based on requirements of
the parties, the tool enables the scenario to be optimized. For
example, the deal may require that a party obtain a return on
investment of at least 5%. The party may desire an even greater
return provided all other aspects of the model of the scenario are
satisfied. Such requirements are known as constraints of the model.
The process of optimization involves creating the best model which
satisfies all such constraints and determines the best possible
model based on the requirements and goals of the parties. The
instant tool enables optimization against a number of constraints
that may exist in the scenario.
[0062] The tool operates in two basic modes: build mode and end
user mode. In build mode, the user creates the definition of
certain aspects of the tool, such as creating instruments which
model real world financial instruments. These instruments are then
stored in the tool for use by end users when modeling a scenario
using the tool. In other words, the builder user provides a library
of "canned" instruments which can be used by the user to more
easily and efficiently model the scenario with the tool. The
instruments involve a set of inputs and calculations based on those
inputs. The end user incorporates the built instruments into a
model and supplies the real inputs corresponding to the actual deal
that is being modeled. The build user mode also enables the builder
user to create calculation templates to be used by the end user in
conjunction with various instruments.
[0063] FIG. 2 illustrates the steps performed by the end user when
using the tool to model a scenario. More particularly, when a deal
opportunity 28 is presented to a user of the tool, the first step
30 is for the user to draw a graphical diagram of the scenario
using the CAD-like user interface section of the tool. Once the
diagram is drawn, the next step 32 is to define and modify dates
relating to the scenario. Once the dates are defined, the next step
34 is for the user to modify data and numbers in a worksheet
section, also referred to herein as "smart paper", in order to
provide all of the information necessary to model the deal. If the
deal is determined to be acceptable in step 36, the user can
generate reports (step 40) using a reports section or chapter of
the tool, and then the scenario or deal can be presented (step 46)
to the client or the person contemplating participating in the
deal. If the deal is not accepted in step 36, but optimization is
not desired or possible based on the particular deal, the user can
review all of the input (step 44) and edits or modify the deal as
needed to make the deal acceptable. If optimization is desired, the
user can run the optimizer (step 42) and then review the optimized
deal. If the optimized deal is then acceptable, the user can run
reports and present the deal to the client (steps 40 & 46).
[0064] As indicated above, one step involved in modeling a deal
using the tool of the instant invention involves creating a party
diagram (step 30) or graphical model of the deal. FIG. 3 shows flow
chart of the steps involved in creating this graphical model.
Similarly, FIG. 4 shows the preferred steps involved in creating
smart paper or a worksheet in step 34 of FIG. 2. It is noted that
the flow charts of FIGS. 2 and 3 are self-explanatory. Thus, no
further explanation of the particular steps in the flow charts of
FIGS. 3 and 4 are provided at this time. However, further details
regarding model creation and smart paper use are provided
below.
[0065] The Graphical User Interface (GUI)
[0066] The following is a description of the functionality of the
present invention in terms of the graphical user interface (also
referred to herein as "GUI"). It is noted that, in accordance with
the instant invention, the GUI may be implemented using Windows 98,
Windows NT, MAC, or it may be Web-based. In other words the instant
system may be implemented on any suitable standalone, networked or
web-based platform. In a preferred embodiment, the tool can be
implemented using the following hardware, however any suitable
hardware may be used in accordance with the invention:
[0067] A Pentium compatible machine running Windows NT 4 with
service pack 3
[0068] 64 Megabytes Ram
[0069] 45 Megabytes hard disk space
[0070] Cplex Optimization software version 6.0
[0071] Actuate reporting modules including all DLL's and OCX's
(Actuate is a commercially available reporting technology)
[0072] Version v4.72.2106.4 or later of ComCtrl32.dll
[0073] The instant invention preferably uses a book-like display as
a viewing device. More particularly, the invention displays its
data as pages in a familiar-looking tabbed notebook configuration
on the display screen. Each tab of the notebook represents a
"Chapter", corresponding to one part of system's functionality.
Users can work with one copy of the book visible (see FIGS. 14-18
and 20-23), or with two copies visible at once (see FIGS. 5-12).
Viewing two copies of the book lets the user see related "pages" in
both chapters simultaneously. When two book copies are visible, the
books can turn each other's pages, so the user can click on a model
component in one book to see more detail about that component in
the other book. Preferably, the user should never be more than a
couple of clicks away from seeing any part of the model or system.
The GUI is designed so that the user never feels lost inside the
program.
[0074] The first chapter in the GUI is the Payment Diagram (see
FIGS. 14 and 15), which provides a graphic boxes and arrows
overview of the relationship among parties and instruments, as well
as the payments the parties make to one another. This is valuable
because ideas for financial structures are often presented as boxes
and arrows drawn on paper. The payment diagram provides an
analogous representation. However, as explained herein the payment
diagram represents much more than simply a graphic diagram. The
user can control or create the program's model by modifying the
picture or graphical representation of the deal shown in the
payment diagram. An advantage of this approach is that there are no
separate languages to learn and no complicated controls to master.
The GUI provides for instantiation and deletion of parties. The
user can drag-and-drop a box onto the diagram to create a new model
participant, and can delete a box to remove a model participant.
The GUI provides for instantiation and deletion of arrows
representing financial instruments which, in turn, represent
payments made by one participant to another, and/or represent the
tax effects of those payments. The user can rearrange who pays what
to whom by moving the instrument arrows from one box to another.
The GUI also enables selection of an overview by possible outcome.
In other words, in transactions with several contingencies, it is
often helpful to show only those payments contingent on a
particular decision path. The user can rearrange the participant
boxes on the diagram using a drag-and-drop method. The connected
instrument arrows follow automatically in response to the
drag-and-drop operation. The GUI provides a list of pre-defined
instrument types immediately upon creating the instrument.
Double-clicking on an instrument and party tells the system to show
detailed information about that instrument or party. Clicking the
second mouse button offers a list of actions appropriate for the
instrument or party clicked. The GUI also provides navigation to
the Payment Organizer (preset for specified party) via the
second-mouse-button menu.
[0075] The next chapter is the Parties chapter. The program
simulates "parties," which are entities that participate in a
financial transaction. It provides automatic creation and deletion
of party-specific information. This party-specific information
includes items, such as tax rates, fiscal-year-ending months, or
yield requirements. The GUI provides support to the Payment Diagram
for party detail information. The GUI also provides the user with a
standardized and extensible location for party data. Each party can
have individual tax attributes, paying different kinds of taxes to
different governments (U.S. states or foreign countries).
[0076] The next chapter is the Time and Decision Organizer, which
is also called "Time Organizer" in the program for short (see FIG.
16). In this chapter, the GUI provides users with control of
globally available (case-wide) key dates, timelines and outcomes
(from decisions). This is important because: (a) transactions often
require numerous payments to be synchronized; (b) payments are
often contingent; (c) contingencies can interact or cancel each
other out; and (d) having all these in one place, and graphically
editable, can make a transaction much easier to explain and
understand. In addition, the GUI provides the ability to create,
delete, and edit Key dates, timelines and decisions. This is
important because: (a) assumed closing dates usually have to
change; (b) there are constraints on when important deal events are
allowed to occur; and (c) deal economics can be enhanced or harmed
by proper choice of such dates. The GUI also provides a graphic
overview of key dates. Also provided is a graphic overview of
instrument payment date streams, aggregated by timelines. This lets
the user see quickly whether the model's payments are properly
synchronized. The system also provides graphic control of decision
interaction to create and delete mutually exclusive outcomes. The
user can thus see whether decisions occur in the proper order, and
that they are also properly contingent on each other. The GUI also
provides the user with control over the global default for
"Calendar" (conventions used for counting the number of days in an
interval). This makes it easy to modify a model's calendar
convention for use in Europe, Asia, or the U.S., in addition to
following the particulars of any model. The GUI also provides a
"default" timeline to synchronize newly created Instruments'
activities automatically.
[0077] The next chapter is the Instruments Chapter (see FIG. 18).
Instruments are the containers for the systems built-in financial
expertise. They handle a lot of the routine bookkeeping that
financial models demand, leaving the user free to concentrate on
the nonroutine business aspects of the transaction. The GUI of this
chapter provides controls for creation and definition of payment
streams between parties, and the tax effects of such payments on
the paying or receiving party. An expandable library of instruments
keeps the system up-to-date. Instruments have clearly separated and
protected "input" and "output" sections, so all users can rely on
their integrity. The system connects parties (badges) to payment
streams via role definitions and allows the user to switch parties.
This is how the model knows which parties pay or receive the
payments the instrument defines. This chapter also connects payment
streams to payment organizer classifications (cash and income
badges) via role definitions and allows users to change the
classification. This is how the model puts labels on each payment,
so that it can show up in an informative place on summary
reports.
[0078] The system allows paying and receiving parties to have
distinct interpretations of the instrument payments, tax effects,
and classification. This is an important feature, because tax law
often makes these distinctions. Instruments contain pre-built and
pre-tested Smart Paper computation sections, making the system more
reliable and freeing the user from having to do repetitive
programming. The system automatically activates and deactivates
instrument Smart Paper computation sections according to the user's
selection of role information for the parties. Thus, sections not
in use remain visible and available and do not distract the user.
Glyphs are used to highlight the relationship between role
specifications and the calculations. Specific items representing
payment or receipt of funds, or of taxable income or deductions,
are identified with symbols that make those items easy to find. The
system also allows the user to change the name of the instance of
the instrument. These name changes show up on the party diagram and
the payment organizer, making both of these a lot easier to read
and understand. In addition, model pieces can be named with the
names that other transaction negotiators are using, making
communication a lot easier. The system also automatically generates
the parallel payment streams for different outcomes using handlers
for each possible decision. Each instrument can thus generate
different specific payments depending on the state of various
contingencies. This is important because exercise or non-exercise
of certain options can mandate different behavior on the part of
the same instrument. The system allows the user to modify the
handlers' termination behavior. Thus, special cases do not require
modifications to the system. In addition, the system uses Smart
Paper "protection" modes to preclude user corruption of instrument
functionality, but otherwise allows users the ability to modify
instrument Smart Paper. Thus, users can be confident that canned
(and therefore tested and reliable) model parts are being used,
instead of model parts which may not be correct given an unforeseen
peculiarity of a particular model.
[0079] Users can supply their own formulas. Such formulas are
clearly marked, so that other users know they have to validate the
formulas before using the model. The system also provides canned
calculations for specific types of financial elements (e.g. rent,
loans, etc.). These canned calculations cover a very large fraction
of the payments users would run into when modeling a financial
scenario. Thus, users will spend little time having to invent new
payment mechanisms. In addition, this set of canned calculations is
contained in an expandable library, so as the industry changes,
additions can be added to the library to keep it up to date. The
system provides the user the ability to customize the calculations,
making use of the invention a lot easier. Pre-defined reports of
the instrument results are also provided. As a result, explanations
of what an instrument is doing are only a click away. The system
also allows the user to specify that an instrument only exists when
a certain decision is assumed. Contingent instruments can be put
into the model and will thus automatically be properly handled. The
system also supports automatic decision and outcome creation for
termination values and other make-whole payments. These contingency
dates are too numerous to include as separate instruments or
outcomes, and so including them here provides a compact way of
computing them as a class. In addition to general financial
instruments, the system may also include instruments for advanced
corporate finance operations, such as mergers, acquisitions and the
like.
[0080] The next chapter is the Smart Paper chapter (see FIGS. 20
& 25-29). Smart paper is a powerful non-cell based calculation
interface wherein references are based on a hierarchical outline as
opposed to a positional reference. Unlike spreadsheet programs,
smart paper is non-cell based and does not rely on a positional
reference for use in calculations. Smart paper is the bridge
between the ease-of-use that spreadsheet users depend on, and the
power of financial and optimization packages. It makes computations
visible, understandable, and accessible. Users do not need to be
computer programmers or learn to work as programmers in order use
the system effectively and efficiently. The system has enhanced
data capabilities, which automatically perform a lot of rote
date-related manipulation that makes spreadsheets hard to create
and even harder to modify. Thus, the system provides capabilities
normally found in relational database packages. The smart paper
chapter is the component where the user specifies the computations
he wants the system to perform. Users can define values directly,
or they can provide a formula which will tell the system how to
compute the desired values. Smart paper provides user control over
outline-like (i.e. tree-like) format of parameters and several
nested layers of headings. This makes Smart Paper work much more
readable, and provides a mechanism for the system to resolve (or
ask the user to resolve) formula ambiguities. Smart paper allows
the user to create one or more sheets of smart paper. Related
computations can be kept together, and unrelated ones can be
segregated. Tabs are provided for moving among sheets of smart
paper. As a result, users do not feel lost in the program and are
able to find quickly what they are looking for using the GUI. The
GUI provides controls for viewing "formulas" versus "results" or
both. Thus, users can get immediate feedback as to whether they
have properly specified a formula. The GUI provides editing
capabilities for headings and parameter names, as well as provides
access to the template library and instantiation of templates.
Smart paper defines parameter name scope and parameter index scope
automatically via outline format. This resolves many "name
clashes," which would be otherwise inevitable in a model of any
size. It also provides a view of dependency relationships among
parameters. Users can thus identify information relationships among
their parameters. Also provided is general support goal-directed
"search" for setting parameter values. The system automates some of
the trial-and-error involved in changing parameters' values in
order to produce the desired answer. It also allows the user to
specify formulas that define (dynamically) activation/deactivation
of sub-trees. This gives models the ability to be
"context-sensitive," responding sensibly to particular values of
input data. It also provides capability for import/export of data
and formulas from/to Microsoft EXCEL or the like. Models can be
created using the system and the system will automatically
reconstruct the model in Microsoft EXCEL.
[0081] The GUI also provides a date stream bar that always displays
the index of the uppermost indexed stream. The important pairing
between dates and date-indexed data is therefore always visible on
the screen. This eliminates a lot of meaningless clicking back and
forth to keep the index visible, and eliminates the need for a lot
of "split-screen" display. The GUI supports multiple data-entry
modes: simple-edit, full-edit and rapid-entry. These modes make
constructing models easier and faster. Also, smart paper items
(e.g. headings, templates, formulas, indexes) can be changed into
each other. Tool bar and menus provide editing to morph, promote,
demote, insert, and delete operations. This eliminates the need for
learning a lot of jargon. Instead, all the alternatives are
displayed, and the user can choose the most logical one. The system
also provides graphic feedback as to the type of indexed data
represented by parameters. Moreover, in accordance with the
invention formulas for dates resemble "English-language"
instruction. Formulas can be printed, providing human-readable
documentation for a model. This differs significantly from
spreadsheets, wherein formulas consist largely of a list of data
locations instead of identities, resulting in a nearly useless
documentation tool for a human. The system creates templates as
white-box functions which allow the user internal access. Thus,
there is no need to refer to external, written documentation to
figure out what a template/function is doing, because all the code
is right there, visible.
[0082] In addition, smart paper has an extremely powerful formula
language (with input/edit wizards). This formula language automates
many tasks which are routine in finance but which are now
cumbersome for spreadsheet users. The formula language, which is
described in greater detail below, has the following exemplary
features:
[0083] Uses Prefixes attached to formulas to define special types
of parameters for--
[0084] Accrue: Automated accrual over time periods
[0085] Table/Interpolate: Data Tables (regular and
interpolated)
[0086] Advance: Advance payments
[0087] Arrears: Arrears payments
[0088] StartDates: Date streams that represent the start of time
periods
[0089] EndDates: Date streams that represent the end of time
periods
[0090] List: Named members of an ordered set.
[0091] ActsLike: Ties one parameter's type to the type of another
parameter.
[0092] Uses Prefixes attached to formulas to define goal-oriented
setting of parameter values
[0093] Optimize: To have values set by the Linear Programming
optimizer.
[0094] Search: To have the system set a parameter value based on a
defined target result.
[0095] Single formula defines entire array of data.
[0096] Array data is keyed by index parameter. Thus, there is
provided what amounts to a relational database structure, without
making users learn a bunch of relational database jargon.
[0097] Intelligent translation of data from one index to another
based on the dates and the prefix type.
[0098] Relational database capability without making users use a
separate program or even learn relational database jargon.
[0099] Automatic maintenance of minimal name expansion for
parameter references. Names are thus presented as short as
possible, keeping the mental burden down and reducing the
possibility for confusion.
[0100] Intuitive, English-like and flexible syntax (and wizards)
for creating date streams. These date streams can thus be easily
changed and maintained, unlike spreadsheets, which are very rigid
in their handling of this information.
[0101] Parameter labels define the parameter name for formula
references. This is different from spreadsheets, in that, in
spreadsheets, values are identified generally by where they are,
not by their names (despite a cumbersome facility spreadsheets
offer for naming cells).
[0102] Notes can be added to any heading or parameter, and the
identify of the user making the note is recorded. This helps with
auditing and documentation of models.
[0103] Assertions can be added to any parameter. Assertions let a
"product manager" create models and guide future users in the
model's use.
[0104] Optimization constraints can be added to any parameter.
[0105] Optimization constraints can be "OR'd" together to make a
single constraint that is satisfied by any one. Users do not need
to deal with linear programming jargon, which is often unfamiliar
to them. This makes it easy to specify commonly desired constraints
that are difficult to implement with binary variables in a strict
"linear program" setup.
[0106] An activation formula can be attached to a constraint that
makes the constraint inactive when the formula evaluates false.
Thus, constraints can be "data-driven." This lets model builders
build models for less-sophisticated users, who can operate
complicated models by providing values for variables.
[0107] An activation formula can be attached to a heading to make
the sub-tree (for which it is a root) inactive when the formula
evaluates false.
[0108] Glyphs reflect the existence of notes and assertions
including the pass/fail state of assertions. Thus, the user doesn't
need to open a parameter in order to tell whether a note or
assertion is inside it.
[0109] Glyphs indicate the protected state (if any) of the
parameters.
[0110] Allows for partial null data in an array.
[0111] The "Collect . . . ( )" functions let models be defined
concretely ("add this to that") or abstract/symbolically ("add
everything labeled principal to everything labeled interest"). The
abstract/symbolic capability means that product managers can write
models that stand up to use in many different contexts.
[0112] An extensive range of mathematical functions for use in
formulas (see below).
[0113] Intelligent/selective recalculation helps program
performance.
[0114] The next chapter is the Optimization chapter (see FIG. 21).
In this chapter the system is able to solve mathematical linear
programs and other "search for best answer" problems. It also
provides extensive tools for managing and seeing the effect of
model constraints. This feature is very important as models get
complex, and the number of constraints grows to, for example,
several dozen. A deterministic, formula based model can be used as
the basis for an optimizable model: starting with a deterministic
model, the user can simply identify the objective and add
constraints. In accordance with the invention, there is no need to
write a separate, optimization-ready version of a model. The
optimization chapter provides an overview of all optimization
constraints and parameters in a case and defines the objective
function for optimization. The system analyzes the optimization
instructions and data contained in a model. It provides diagnostic
status indicators for:
[0115] the mathematical type of optimization problem (e.g. linear,
integer, non-linear, etc.);
[0116] the state of the constraints (satisfied or not satisfied).
Thus, a hypothetically optimal solution can be hard-coded and
compared against constraints, identifying those parts of the
hypothetical solution that do not meet the constraints; and
[0117] the state of optimization (e.g. optimal, not optimal,
infeasible, unbounded);
[0118] In addition, the system gathers all model constraints for
viewing on one page. This is important because constraints are
often of definitive concern in tax-motivated transactions. The
system also sorts constraints by failing, binding, non-binding, and
inactive. This helps negotiators identify the critical points in
their deals, or helps a user figure out why his model might fail to
provide an answer he would expect. It also provides detail results
of the values, slack, shadow prices or failure margin of
constraints. This information helps the user explain anomalous
results, or suggest ways that financial objectives may be attained
at less cost. Also provided is a simple algebraic list of all
constraints, making it easier to make sure that no constraints have
been mistakenly taken out or left in. This list can be printed, and
becomes an important "output" for deal participants to examine and
approve. The system also gathers all optimizable parameters, search
parameters, and non-linear parameters for display separately on
their own pages, helping make sure that the linear program model
has been set up properly. It also automatically determines whether
there are any parameters causing non-linearity and thus precluding
being solved by the built-in linear optimizer The user can then
more easily decide how to change the model to be solvable by the
available optimizer. The system automatically traces the non-linear
parameters to corresponding optimizable parameters and displays
them with the non-linear parameter. This helps modelers find linear
models that are approximate solutions to otherwise unsolvable
nonlinear problems. The system also allows users to specify facets
of optimization in a way that is intuitive and easy to understand.
Constraints are expressed in terms of comparisons and not just
formulas. Prior art systems treat formulas with constraints as one
and the same making it difficult to discern between a formula that
is incorrect and a formula which is correct but not satisfied in
the model. Constraints are entered and evaluated separately from
the associated formulas making it easy to see where the true
problem lies. Results from the optimization software (e.g. CPLEX)
are likewise translated back into these terms producing a result
that users can easily interpret. It also provides button access to
the optimizer. The system automatically converts the model to
"optimizable" form for the optimizer, and then re-converts the
optimizer's solution to code; thus, optimization is a transparent
process to the user.
[0119] The GUI presents user with detailed progress screen and
saves the results back to the user's file. The system also
re-evaluates constraints in the context of the user's model to
provide more useful feedback from optimization. This is important
because the specific analytical assignment is often to
reverse-engineer the set of constraints that produced a particular
answer. The system also automatically invokes Successive Linear
Programming (SLP) when needed to solve for a search parameter. This
saves the user the labor of having to determine that the problem at
hand is SLP and then perform the SLP by successively invoking the
optimizer. It also automatically combines point-by-point searching
and mathematical optimization, saving the user the labor of
searching over various valid values of nonlinear data.
[0120] The next chapter is the Payment Organizer (see FIG. 23). The
Payment Organizer shows all the payments a given party receives, or
taxable income effects a party might recognize (contingent on the
exercise or non-exercise of a particular set of decisions, if there
are any). In short, this is the party-specific "bottom-line." It
also provides user top-level control over payment stream
classifications and summary report of all payments. The system
calculates and summarizes the cash flows and taxable income effects
of all instruments automatically. It also provides ability to add,
delete, rename and reorganize (tree-like) all payment stream
classifications. The system also provides the capability to filter
payment streams according to party, outcome, or cash versus taxable
income. It also provides capability to view payment stream summary
according to any ad-hoc date stream specified by the user. Data can
be summarized annually, monthly, daily, or even in combination
(daily for the first couple years, annually thereafter). This is
enormously difficult to do in a spreadsheet. Also, categories can
be collapsed to show less detail, or expanded to show more detail.
Categories can also be expanded to show individual payments
contained in the category for auditing purposes. Subtotals can be
shown on top of items totaled or below them, with a button-click.
This makes reading the reports easier. The editor for the symbols
is useable in symbolic-definition formulas (i.e.,
"CollectWhatever"). Additionally, the system provides standard
financial statements (income, balance sheet, funds flow).
[0121] The next chapter is Reports (see FIG. 22). The Reports
chapter provides the user with the ability to create, edit, view
and print model data in reports that are useable as explanatory
documents. Users do not have to load data into some other program
for cosmetic improvements. A report can consist of several sections
(each of which could otherwise be a freestanding report of its own,
all arranged on a single report's page. The system provides the
ability to create report "sections" (report parts), and provides
the ability to drag and drop report sections on a layout editor to
organize above/below and left/right arrangements of report
sections. It also provides for push-button pivoting of individual
sections of a report so that dates and/or labels can be shown
vertically or horizontally. The system automatically creates
headings for data rows/columns based on parameter names. The user
can change these names. It also supports user-driven and automatic
creation of nested super-headings (i.e., headings running across
several columns). This makes reports more readable because it
groups data into fewer, more easily understandable chunks, and
helps the report reader find a particular column of interest more
quickly. It also provides titles, headings, footnotes and control
over data format. Reports can thus be "customer-ready" without
having to be imported for clean-up into commercial word-processing
or spreadsheet software. The system also supports the creation of
sets of many reports to be printed or viewed. This is important
because the "story" of a financial product often requires several
related reports. It may optionally bind reports to user models (so
that they are stored with the model), or to instrument definitions
(so that they are stored with the instrument definition and thus
available in every model in which such an instrument is used).
Reports are language-independent: thus output can be in a language
other than the system user's working language. The user does not
have to speak the output language.
[0122] The next chapter is Template Builder. A "template" is a
white-box piece of pre-built and pre-tested Smart Paper. A library
of such templates provides a large part of the built-in financial
knowledge that users can draw on. This makes it worthwhile for an
organization to invest in well-constructed Smart Paper pieces that
can be reliably shared. The GUI provides the ability to create
Template definitions to be used for instantiation. Generally, only
specially trained "builder/users" would invoke the Template
Builder. It provides user access to protection controls over
read/write specifications of parameters. It also allows the builder
of templates to work in the same manner as in regular Smart Paper.
Thus, they are familiar in appearance and do not require users to
learn how separate components look and work. The system provides
linkage to the currently active model so as to provide useful
feedback to the builder. It also allows the builder to create, edit
and delete template definitions, and to make these definitions
available to the larger user community.
[0123] The next chapter is Instrument Builder. This chapter
provides a special "build" mode for instrument builders to create
the definitions of instruments. Instruments can be designed to, for
example, calculate tax effects for numerous governments (U.S.
states, foreign countries) simultaneously. Tax instruments can be
designed to, for example, handle complex multinational tax
interactions (foreign tax credits and the implications of various
international tax treaties).
[0124] The next chapter or feature contains Main Menu Items. These
items include an extensive, full-featured on-line "help" system
which provides documentation for system features and behavior, and
also provides financial examples which can serve as a tutorial;
options for adjusting the program's appearance (horiz/vert tabs);
and a program that follows the Windows NT "Control Panel" settings
for cosmetics (dates, mouse clicks).
[0125] In addition to the above, there are some general features
found in several of the chapters or components of the system
described above. For example, print previews are provided for
enabling the user see output before committing it to paper, thereby
saving time, paper, and aggravation. In addition, general cosmetic
formatting capability is provided which is similar to that found in
commercially available word processing or spreadsheet programs.
[0126] Another chapter or feature of the invention provides the
ability to manage multiple cases. A financial analyst may spend as
much time managing and summarizing the cases he produces as he
would spend producing the cases in the first place. The GUI also
provides tree, containment, or list views of the files. It also
provides an overlapping grouping capability, so files can be
treated as a group in addition to individually. The system also
provides a mechanism for extracting key results for several files
and presenting them in a tabular report. It also provides file
search capabilities based on the contents of the file in addition
to the file's name, as well as filtering and sorting capability
(e.g. show only my files). A "recent files" section and "all-files"
section is provided. This is important because a great majority of
the time users work on a single project continuously, and, with
this feature, they don't have to look through hundreds of files to
find one they were recently working on. The system intelligently
identifies differences between two or more selected files, making
it easier to explain their differences. It also provides capability
to reorganize files (i.e. the tree), and the capability to read and
add notes to files. Thus, a file's owner can protect the file from
changes, while letting colleagues look at, and then attach notes to
the file. In addition, the system provides detail records of file
(e.g. ancestry). This is important because the great majority of
files will probably not be created anew, but rather will be
modified versions of existing files. The ability to track the
changes that produced a file is a very advantageous and time-saving
feature.
[0127] It is noted that not all of the "chapters" discussed above
necessarily have a "Tab" always visible on the GUI. In other words,
some of the chapters or features, i.e. Template Builder, are
accessed through menu items or other suitable means for enabling
the selection thereof.
[0128] Referring now more particularly to FIGS. 5-12, there is
shown an example of the Payment Diagram chapter 50, having a
graphical representation 52 of a simple financial scenario
involving a two parties (54 and 56) and a "loan" instrument arrow
58 connected therebetween. In FIGS. 5-12 the two book view is used
in order to more clearly explain the functionality of the
invention. It is noted that, in FIGS. 5-12, the Payment Diagram
chapter 50 has a reduced size so that greater information can be
seen in the other chapters on the right side of the display.
[0129] In accordance with an important aspect of the invention, the
Engine is operable, in response to creating of a graphical model,
to automatically create useful information in certain of the other
chapters. More particularly, in response to drawing an instrument
in the Payment Diagram chapter, such as "loan" as shown in FIG. 5,
the engine automatically generates time lines 62 in the Time
Organizer chapter 60. This functionality is illustrated in the
split screen view of FIG. 5, wherein the Payment Diagram 50 is
shown on the left side of the display, while the Time Organizer 60
is shown on the right side of the display. The badged parameter in
the instrument marks the most important cash flow which is
displayed graphically in the Time Organizer. It is noted that the
engine uses default data for generating the time lines of FIG. 5,
and that the user can then edit the information, if necessary, to
comply with the particular scenario being modeled.
[0130] Similarly, FIG. 6 shows an instrument calculation that is
automatically generated in the instruments chapter 68 in response
to drawing of the "Loan" instrument 58 in the Payment Diagram
chapter 50. Default settings are also used for this canned loan
instrument, but after it has been created, the user can modify the
data in the instrument chapter as required to correspond with the
particular scenario being modeled. Thus, by adding an instrument in
the payment diagram 50 the engine automatically generates the
instrument definition including related calculation in the
instrument chapter 68; FIG. 7 shows the badged parameters in the
instrument of FIG. 6. The box to arrow graphic on the left side of
the instruments chapter, as shown in FIG. 7, indicates the
important cash stream which shows up in the cash link in the
payment organizer and in the time organizer link. The triangles and
squares combined with the plus and minus signs (also on the left
side of the instruments chapter) show the tax effect which shows up
as the income in the payment organizer.
[0131] FIG. 8 shows the information automatically created in the
constraints page of the optimization chapter 70 in response to
drawing of the instrument shown in the instrument chapter 50. FIG.
9 shows another page, i.e. the optimizable parameter page 70a, of
the optimization chapter 70 and the related information
automatically generated by the engine in response to drawing of the
"Loan" instrument.
[0132] FIG. 10 shows the information (cash) that is automatically
generated by the engine in the payment organizer chapter 72 in
response to drawing of the "loan" instrument in the payment
organizer chapter 50. Similarly, FIG. 11 shows the (Income--tax
effects) payment organizer view which is also automatically
generated by the engine. The user can switch between the view in
FIG. 10 and FIG. 11 by modifying the "Payment Type" in the
pull-down menu at the top of the Payment Organizer chapter 72.
[0133] Finally, FIG. 12 shows the information that is automatically
generated in the Reports chapter 74 in response to creation of the
graphical party diagram in the payment diagram chapter 50 shown
therein.
[0134] Of course, all of the information shown in FIGS. 5-12 is
only exemplary, and is only based on the exemplary graphical
representation shown in the payment diagram 50 which has the
exemplary loan instrument. This information will, of course, vary
depending on the particular instruments used with the tool and the
particular application in which the invention is utilized.
EXAMPLE CASE
[0135] The following description provides an example of case or
financial scenario modeled using the tool of the instant
invention.
[0136] This exemplary case is called a QTE or Qualified
Telecommunications Equipment case. A graphical representation of
this exemplary financial scenario is shown in FIG. 13. The party
LessorNameHere is the client or main focus of the deal and is
called the lessor. The lessor wants the tax effects associated with
owning QTE equipment. The party LesseeNameHere, called the lessee,
currently owns the equipment and thus has the tax effects. The
lessor proposes a deal to buy the asset and lease it back to the
lessee thus acquiring the tax effects. The lessee still gets to use
the equipment. To get the lessee to agree to the deal, a portion of
the money used to buy the asset goes to the lessee as well. The
tool is used, in this example, to model the deal from the
perspective of the lessor. The company, FeeRecipients, known as the
advisor, has been hired by the lessor to arrange the deal and thus
the fee is paid to it. Likewise, only the lessor is shown to pay
taxes because the deal is from their perspective. FIG. 7 provides a
graphic representation of this exemplary financial scenario or
deal. The diagram was created in using the tool of the present
invention.
[0137] The following steps present a high level description of what
is happening in this deal:
[0138] 1) The lessor borrows money from the lender (LenderNameHere
in the diagram) to buy the assets.
[0139] 2) The lessor buys the assets from the lessee as indicated
by the HardAsset and SoftAsset lines (the direction of the arrow
indicates which way the money flows, not the asset).
[0140] 3) The lessee pays rent to use the assets.
[0141] 4) The lessor pays taxes during the deal.
[0142] 5) The lessor pays a fee to the advisor for arranging the
deal.
[0143] 6) At the end of the lease, the lessor sells the assets to
another party (Generic in the diagram). This is indicated by the
residual line.
[0144] 7) At some point in the middle of the deal, the lessee can
buy the assets back and terminate the deal. This is illustrated by
the PurchaseOp(EBO) line.
[0145] Step 1--Draw the Diagram as Shown in FIG. 13 in the Payment
Diagram Chapter.
[0146] The first step in creating a case involves drawing the
diagram shown in FIG. 13 using the Payment Diagram chapter 50 of
the user interface. The basic steps for this involve adding the
various parties to the diagram, as represented by boxes, and
drawing financial instruments, as represented by directional arrows
connecting the boxes. FIG. 14 shows the Payment Diagram interface
used to create the diagram, and also shows the result of the first
step executed in this example, wherein a first party 78 named
"LenderNameHere" has been drawn in the Payment Diagram chapter 50
The white area of FIG. 14 is the drawing area where the diagram of
the deal is created. The tools above the drawing area are used to
create and view the diagram. For example, the magnifying glasses
allow the user to zoom in and out.
[0147] This image also shows the general interface for the product.
It is noted that not all figures herein show the full interface of
the full chapter. In other words, some of the figures only show an
enlarged partial view of the interface or chapter. The tabs 76 on
the left side of the screen are used to navigate around the program
to the different interfaces or "chapters" of the user interface.
Each major step in creating a deal is represented by a chapter. The
icons under the menu bar are general purpose tools used, for
example, to save a case to a hard disk or load a new case.
[0148] To do this first step, the user clicks the party tool (the
round box with a plus sign) and then clicks in the drawing area
where he wishes to locate the party. He can then select from a list
of predefined parties or enter his own.
[0149] When the user adds a new box to the party diagram, such as
party 78, there is no specific action in the engine, except for the
possible generation of a party object in the Parties Chapter. If
this is a party that does not appear anywhere else in the payment
diagram, then the engine adds a new section to the Parties chapter
with two parameters which the user can then edit and augment. The
two parameters represent, for example, the first month of that
party's fiscal year, and the name of his tax counsel. This data is
reflected in engine parameters to provide persistence to the data,
and to make the data available to instruments which will be
connected to this party.
[0150] Referring now to FIG. 15, after adding a two or more parties
78, the user can then begin to add financial instruments 80. The
user does this by clicking on the first party (the one who will be
making payments), and dragging a line to the second party (the one
who will be receiving the payments). The arrow indicates the
direction the payments flow. FIG. 15 shows this next step with two
parties and a single loan instrument. When considering the arrows
of an instrument line, the loan is a misnomer because payments or
money flows in two directions. The borrower receives the loan and
then makes payments back. However, the convention used by this
embodiment of the program is to show only the direction in which
the loan is paid back.
[0151] When the user draws an instrument 80 on the Payment Diagram,
the application creates a representative object in the engine to
calculate and generate the calculations and cash flows for that
instrument. More specifically, the client application tells the
engine General Registry to create a new instrument object, which
initially is an empty shell. The client application reads in from a
data file the representation of the instrument that has been saved
by the instrument designer, and splits this up into graphic and
engine data and passes the engine part to the new Instrument
object. The engine then reconstructs the instrument from this data;
this includes a hierarchy of parameters and parameter lists, a
couple of instrument party objects, and a default instrument
handler. Each instrument party contains the role information needed
to create the cash and tax implications for the party at one end of
the instrument arrow. The default instrument handler contains the
information needed on whether and how to truncate the flows in
non-base outcomes. Each parameter's formula is parsed into its
expression objects, and named references are registered with the
general registry's name reference manager, which, if possible,
resolves them, so that the parameter's values can be calculated
when needed. As these references are resolved, links are made
between the parameters' dependency managers so that changes are
correctly propagated through the entire system. For each decision
that the user has created in the time organizer, the engine creates
an instrument handler containing the information on whether and how
to truncate the flows for outcomes containing that decision. Each
handler starts as a simple copy of the default handler, but can be
changed by the user. The client tells the engine instrument object
the names of the parties at each end of the arrow. The engine then
looks in the parties data to find a section of data for that party,
which it then uses to complete the instrument party role
information (e.g. date of fiscal year end). The engine instrument
synchronizer object then springs into action, generating the actual
flow parameters for each party and outcome. The instrument party
information is used to determine which parameters contain the cash
and tax flows for that party. For non-base outcomes, the
synchronizer searches for the first decision that terminates the
flow, according to the instrument handlers. It then generates a
truncating parameter (if necessary), and a final parameter which it
identifies to the internal database by attaching badges indicating
the party, cash or income classification, outcome, instrument name,
other party and tax authority (for income flows). The engine
internal database recognizes these new badged parameters and
changes any collected data in (for example) yield calculation
templates to update their values. This process also enables the
payment organizer to update its display to show the new
instrument.
[0152] The user continues to add parties and instruments until the
deal is modeled fully as shown in FIG. 13.
[0153] Step 2--Define the Dates
[0154] Dates and timelines are defined in the Time Organizer as
depicted in FIG. 16. In the top portion 82 of this chapter, the
user defines single case dates known as Key Dates. The user clicks
the add date tool (the calendar with a plus sign) and then enters a
name for the date as well as the actual date. Similar to parties,
the dates are stored in the engine and can be referenced by other
parts of the case. The other tools next to the add date tool are
used to modify the dates including changing or deleting a date.
[0155] In the bottom section 84 of the interface, the user defines
the overall deal dates called the EventDates. This sets the basic
start and end of a deal and also the periodicity (annual,
quarterly). The user changes the EventDates by right clicking on
the line and selecting "Edit timeline" from the menu. The other
lines are for visual purposes only. All key dates defined in the
deal are shown. Each primary cash flow for an instrument is
represented by a line in the time organizer. Badging information
stored within the engine for each instrument defines which is the
primary cash flow for that instrument.
[0156] For this exemplary deal, the following changes are defined
in the Time Organizer:
[0157] Closing: Dec. 30, 1998--the date the deal closes and all the
transactions begin (every deal has a closing date)
[0158] EBO: Jan. 2, 2011--the date the lessee can option to
purchase the assets back (EBO stands for early buy out)
[0159] Residual: Dec. 30, 2014--the date the lease ends
[0160] EventDates: from the Closing to the Residual--the main deal
time line starts at the closing and continues annually until the
residual date
[0161] Once the EBO date is defined, it is turned into a "decision"
by the engine, which means the deal splits in to two possible
courses or "outcomes". The normal case, or BaseOutcome, means the
deal comes to term and the assets are just sold to the market
place. The EBO outcome occurs when the lessee purchases the assets
prior to the end of the deal. For the purpose of financial
analysis, all outcomes can be fully modeled to get the deal
approved by the client. The outcome tool, the triangle with a plus
sign (currently disabled in FIG. 16), is used to define an
outcome.
[0162] When the user adds an outcome to the time organizer chapter,
the engine performs numerous functions. More particularly, the
engine creates a new outcome object to house data specific to this
outcome, with links to the decision objects which comprise the
outcome. For each tax-like instrument (for which the instrument
designer has specified a "fresh copy for each outcome"), a complete
copy of its parameter, party and classification data is generated.
For each instrument, the instrument synchronizer generates new
terminating parameters as necessary. These parameters terminate the
flows generated by this instrument at the first decision contained
in the new outcome that has been designated by the user as a
terminating decision in the instrument's decision handlers. For
each instrument, the instrument synchronizer generates new badged
parameters to identify the flows to the internal database. These
parameters take their value from the terminating parameters defined
in the previous section (or the original parameters if not
terminated), with possibly a sign change. They are given badges
based on the data in the party and classification sections of the
instrument; the categories are Party, Outcome, Cash or Income
Classification, Other Party, Instrument Name and (for income
classifications) Tax Authority. When the internal database receives
the information about the new badged parameters, it signals all
effected collector parameters that a change has occurred. These are
parameters which have been designated as extraction parameters, or
as formula parameters using one of the special "collect" functions.
The next time that their values are requested, they will
re-establish all links with badged parameters so that the new ones
are included. The collector parameters signal a value change via
their dependency managers to tell all other parameters whose value
depends on theirs that a change has occurred. In this way the flows
generated by the new outcome spread their effect throughout the
model.
[0163] FIG. 17 graphically shows the decisions and outcomes which
result from the early buy-out (EBO) option in this example.
[0164] Step 3--Entering Instrument Data
[0165] Once the diagram is created and the dates are defined, the
user next fills in all the data and calculations necessary to
complete the deal. The first part of this is filling in instrument
data. Instrument data is entered in the Instruments chapter as seen
in FIG. 18. FIG. 18 shows the Calculations section of an instrument
where data, such as the rate of a loan or cost of an asset, and
calculations, such as the amortization of a loan or depreciation of
an asset, are entered.
[0166] The first two tabs near the top of the figure and next to
the "Calculations" tab are used to enter role information for each
party associated with an instrument (as defined by the payment
diagram explained earlier). In FIG. 18, the Borrower tab can be
seen where information about the party borrowing the money for the
loan is modified such as how the loan interest is deducted. Lender
information is modified by selecting the next tab. The Event
handlers tab contains the settings for how the instrument is
processed if a different outcome is used. For example, loans are
generally paid off if a deal ends early. The Reports tab lists the
reports specific to the instrument, such as the loan payments.
[0167] Starting with the loan instrument, the only item which needs
to change is the loan rate. The other default or initial values for
the instrument are sufficient for how the loan should be setup in
this deal. Money is borrowed at a fixed rate of 5.0625%. The steps
are as follows: 1) Double click on the current value for the loan
rate (this is the Rate parameter in the Calculations section of the
Loan instrument); and 2) Change the value from the default value to
5.0625%. (See FIG. 19). It is noted that the formula includes
additional syntax that indicates how the Rate parameter is to be
used throughout the model.
[0168] When the user changes the Rate formula in the user
interface, the engine will record the new formula for that
parameter, parse it into its expression objects, and transmit a
value-changed message through the network of dependency managers
for parameters whose values depend on this parameter. Each of these
parameters will then know to recalculate its value when it is next
requested.
[0169] To complete the instrument changes, data will need to be
entered for several other instruments. Instrument data generally
falls into two categories. It is either a fixed part of a deal such
as the cost of an asset or the interest rate of a loan. Or it is an
optimized value that gets calculated when the optimal solution is
found. The instruments in this case are set up in the following
way:
[0170] Fixed Data:
[0171] HardAsset--$700,00. The cost of the asset which is generally
a given in the deal
[0172] SoftAsset--$300,00. The cost of the asset which is generally
a given in the deal
[0173] Fee--This is 1% of the assets purchased and is negotiated
with the client or lessor.
[0174] Residual--For this example, the residual is actually fixed
at 20% of the cost of the assets.
[0175] Variable or Optimized Data:
[0176] Loan--The loan payments or debt service are optimized to
satisfy the deal (see the optimization step).
[0177] Rents--The rent payments are likewise optimized to satisfy
the deal.
[0178] PurchaseOp(EBO)--The purchase option payments which are used
when the EBO is exercised are optimized as part of the deal.
[0179] No changes are needed in the Taxes instrument since this is
based on the standard federal tax rate.
[0180] Step 4--Building Smart Paper
[0181] Any data or calculation not specified as date or in the
instruments is entered in Smart Paper. Smart Paper is a calculation
based feature very similar to a enhanced spreadsheet (more details
on Smart Paper are provided below). However, while a spreadsheet is
based on individual cells linked together strictly by formulas,
Smart Paper formulas know about each other and about links to
dates. More particularly, as explained above, Smart Paper is a
non-cell based calculation interface where references are based on
a hierarchical outline as opposed to a positional reference. The
linking information is stored in the engine. For example, one
formula may contain a set of values linked to the first date of
every year for 20 years. A second formula may only need the value
from a specific date, such as the fifth date, within the first
formula. The second formula need only specify the specific date and
the engine will search out the most appropriate value.
[0182] The Smart Paper in this deal is built up in two ways. First,
the user has a variety of templates he can add that perform
pre-defined calculations. Second, the user can create custom
calculations or enter custom data into Smart Paper. FIG. 20 shows
the interface for creating Smart Paper. The main screen with all
the data and calculations is where the user creates his outline of
data and calculations. The tools along the top are used to change
the view of Smart Paper and to operate on specific entries in the
outline.
[0183] Each tab is a different sheet of Smart Paper where the user
can create his outline and enter his data and calculations. When
the user adds a piece of Smart Paper, the engine creates a
worksheet in the General Registry. As the user creates Headings and
Parameters in the piece of Smart Paper, the engine creates
mirroring Parameter Lists and Parameters. When a Parameter is
created and named, the engine registers it with the name reference
manager. This will attempt to resolve any outstanding references to
this name by formulas in other parameters. It will also see if
references to other parameters of the same name need to be more
fully qualified to prevent ambiguities. When a reference to this
parameter is resolved, the referencing parameter sets up a link
between its dependency manager and that of the new parameters, so
that any changes in value of this parameter will be signaled to the
referencing parameter.
[0184] When the user specifies the formula for the new parameter,
the engine parses it into its basic expression nodes. Any
references to other parameters are registered with the name
reference manager which will attempt to resolve it immediately. If
it cannot be resolved immediately, then the name reference manager
keeps the request as pending, in case it can be later resolved. Any
resolved reference causes links to be set up between the dependency
managers as described above.
[0185] As the user enters parameters into Smart Paper, the values
of these parameters are immediately displayed. It does this by
asking the engine to calculate the parameter's value, which
triggers an evaluation of the parsed expression nodes. These nodes
do the basic arithmetic operations, references to other parameters
and evaluation of functions. The value returned can be either a
scalar or some sort of array. Scalars are single quantities like
numbers, dates, frequencies, elapsed times, character strings.
Arrays are lists of these scalars.
[0186] In FIG. 20, we see that the user has set up five sheets of
Smart Paper. The first one contains all the IRS related
calculations which become important when optimizing the deal. A
fully optimized deal has certain legal requirements it must meet.
The next one calculates the present value benefit of the deal for
the lessee. In fact, the entire purpose of this deal is to maximize
the present value benefit. The next two sheets calculate the
lessor's MISF yield for the EBO and BaseOutcomes. And the last
sheet just has a general collection of data used throughout the
deal. All parts of Smart Paper except the general section are
created using pre-defined templates.
[0187] Step 5--Optimizing the Deal
[0188] Optimization is the process of imposing constraints or
requirements on a case and the varying values and other parts of
the case until the best result is found. By a constraint, it is
meant, for example, that some cases fall under certain restrictions
from, for example, tax laws relating to leasing and rents which
must be satisfied if the case involves a lease or rents. The
elements of a case that can be varied are called optimizable
parameters.
[0189] In this deal, we are maximizing the present value benefit to
the lessee. The following constraints exist on this deal and must
be satisfied when optimizing to the best result:
[0190] IRS tests for profit, EBO compulsion, minimum investments
and uneven rents
[0191] Rent payments must be greater than 0
[0192] Loan payments and the loan balance must always be greater
than 0
[0193] Loan payments must be less than rents received
[0194] EBO payments must be less than the taxes paid by the
lessor
[0195] The loan amount must be less than or equal to 80% of the
asset cost
[0196] Standard constraints on the calculation of a MISF yield for
both the BaseOutcome and the EBO outcome
[0197] The following parameters are then varied to reach the
optimal deal:
[0198] The loan payments
[0199] The rent payments
[0200] The purchase option payments
[0201] MISF minimum investment balance
[0202] The optimization screen is divided into several pages by the
tab across the top of the screen, as shown in FIG. 21. The
"Constraints" tab which is selected and shown in FIG. 21 shows
those aspects of the deal which can't change or must be satisfied.
These constraints are added to parameters spread throughout the
instruments and sheets of Smart Paper. The engine collects these
and displays them in a precise form for the user to view and
evaluate. The Optimizable Parameters tab lists those items which
can change. The other tabs provide other relevant information to
help the user evaluate his model. The Objective Function shows what
is being optimized and whether a maximum or minimum value is
sought. The user simply clicks the Optimize button near the top of
the screen to start an optimization.
[0203] When the user hits the optimize button, the engine analyzes
all the parameter definitions and constraints that the user has
entered, and tries to set up a linear (or mixed integer)
programming representation of these suitable to be sent to the
CPLEX linear optimizer. Assuming that this can be done, it sends
the model to CPLEX, gets the results back and puts the resulting
values for optimizable parameters back into their formulas.
[0204] Step 6--Viewing Output
[0205] The final step is viewing the data either in the reports
chapter or in the payment organizer. A report from the reports
chapter is displayed in FIG. 22. The tools are provided to allow
the user to view different aspects of the report including zooming
in and out or printing the report.
[0206] The data for a report is collected directly from Smart Paper
and instruments. The only function the reports chapter performs is
formatting the data for professional output. Likewise, the Payment
Organizer chapter, allows the user to view the data and cash flows
according to a specific party, outcome and time frame within the
deal. This again is only a viewing interface which collects data
directly from the data and calculations entered in other parts of
the model. The Payment Organizer interface is displayed in FIG. 23.
FIG. 23 shows the annual cash flows for the lessor party from the
base outcome of the deal. The user changes the view by manipulating
the various controls provided at the top of the screen.
[0207] As can be seen from the example case above, the user can
model a financial scenario easily and quickly using the tool of the
present invention.
SMART PAPER EXAMPLES
[0208] The following are examples demonstrating the functionality
of the worksheet section or Smart Paper feature of the instant
invention.
[0209] Smart Paper is a non-cell based calculation interface where
references are based on a hierarchical outline as opposed to a
positional reference. FIGS. 24 and 25 show a simple, example piece
of Smart Paper created in accordance with the instant invention,
and demonstrates some of the benefits of the non-cell based
formulas used therein.
[0210] The smart paper example of FIGS. 24 and 25 show a portfolio
of airplane rents. Under the heading Aircraft, we see rents for
Plane1 and Plane2. The rents for each aircraft are paid on
different dates and for different amounts. The Totals section sums
all the dates that the rents are paid on and shows the rents paid
on each date. In a sense, this acts as a summary table. The
AnnualTotals section refers directly to the Totals section but uses
an annual date stream as opposed to the dates each rent is paid.
This effectively shows the viewer how much rent is paid each year
regardless of the specific day that rent is paid.
[0211] FIG. 24 shows the values or results of the formulas created
in Smart Paper, while FIG. 25 shows the corresponding (or hidden)
formulas used to obtain the values in FIG. 24. It is noted that the
actual rents are just dummy values used for illustration purposes.
The two functions used in this example are Subtotal and Union (see
description of Formula Language below). Union collects a bunch of
date streams and combines them into one. Subtotal searches all the
parameters underneath a heading and collects values from all the
parameters with the same name as specified for the function.
[0212] From this example, we see some of the benefits of the
non-cell based worksheet of the instant invention. For example, if
another plane is added under the heading Aircraft, and the rent
stream is called Rents, then the TotalRents parameter will always
show the total of all rents, because the Subtotal function finds
all parameters named Rents under the Aircraft heading. Likewise, if
a rent payment is added to any of the existing Rents parameters,
TotalRents is automatically updated. In a conventional spreadsheet,
solving these two problems would ultimately involve inserting cells
or rows or columns and updating formulas that sum the data. The
hierarchical nature of the outline, made possible by Smart Paper,
lets the same name be used more than once in the manner indicated
above. As a result, a very convenient, flexible and powerful
calculation interface is provided by the Smart Paper chapter of the
instant invention.
[0213] This example also demonstrates the advantage of the dynamic
non-cell based formulas used in Smart Paper. For example, the
AnnualTotals collects all the rents paid for each year. In a
spreadsheet, the user would have to examine each rent stream and
individually select which rent payments fall in each year. If the
Annual table then needed to be changed to quarterly, the user would
have to go back and re-do the entire process from scratch. However,
with the non-cell based worksheet of the instant invention,
formulas know how to link values to dates so that the final formula
can interpret the input values based on the actual date rather than
the position the date falls in a spreadsheet, which relies on
positional references rather than the hierarchical references of
the instant invention.
[0214] Similar to the AnnualTotals, the TotalDates parameter
benefits from non-cell based references if a new date is entered
for any rent stream. The TotalDates will always collect all rent
dates regardless of how many or few there are.
[0215] A second smart paper example is shown in FIGS. 26 and 27.
This example relates to a simple loan structure in which
calculations of the loan amount and its amortization is based on a
present value (PV) factor and a fixed debit service. FIG. 26 shows
the actual values in this smart paper example, while FIG. 27 shows
the underlying formulas used to calculate the values. The following
table explains the particular headings, parameters and formulas
used in the example of FIGS. 26 and 27.
Simple Loan Example
[0216]
1 Heading/Parameter Details Inputs.Scalars Cost Amount on which
loan will be based (i.e., the cost of an asset) Calendar Calendar
day-counting method to use in the calculations that follow. Refers
to Time Organizer default calendar setting. Inputs.RateSchedule
RateDates Dates that interest rates are set and the periods to
which those rates apply. First and Last links the first and last
dates of the current schedule with those of another schedule, which
in this instance is the PaymentDates index in the Inputs.Payments
section. Rate Interest rates indexed to RateDates Table means a
given value applies to every day in its period. For uses a
repetition value to map the same value to a certain number of
periods. The semicolon (;) symbol stops the current sequence of
values. Thereafter maps the last given value to remaining index
dates. Inputs.Payments PaymentDates Dates of payment and the
periods to which those payments apply. StartDates: recognizes the
dates that follow as first days of periods. InputAmounts Debt
service paid, based on asset cost and number of periods. COUNT
determines the number of elements in an array. Therefore,
Cost/COUNT (PaymentDates) is 1,000,000 divided by 11. Thereafter
maps the given value to each remaining period. Amortization
AmortDates Dates of debt service calculations and the periods to
which those numbers apply. ActsLike ensures that any change in the
PaymentDates prefix or dates is automatically passed on to the
current parameter. Principal Applied to balance after interest is
paid. Interest Interest due for each period, paid in arrears.
Arrears applies each amount to the period that precedes the index
date. Previous defines an array in which each value refers
(relative to its position on the index) to the value of the argued
parameter in the preceding period. For example, Interest 30,036.66
on 01 Jul 2000 refers to Balance 730,064.69 on 01 Jan 2000.
PeriodInterval returns the length in years of a period on the
current date index. The length is .5 due to the semiannual dates of
the AmortDates index. The offset of -1 instructs the application to
use the previous period for its calculation, since interest is paid
in arrears. DebtService Direct reference. Balance Remainder after
payment of principal. Previous defines an array in which each value
refers (relative to its position on the index) to the value of the
argued parameter in the preceding period. The second argument for
the Previous function tells the application to return the value of
the LoanAmount parameter to the first period. Thereafter, each new
balance is reduced by principal paid during the current period.
PVFactor Constructs a PV curve. For Previous, refer to Balance
parameter detail. For PeriodInterval, refer to Interest parameter
detail. Result LoanAmount Loan amount based on the PV of the total
Debt Service payments. SUM returns the total of all its arguments;
i.e., the sum of the products of all debt service payments and the
corresponding PV factors.
[0217] A third smart paper example is shown in FIGS. 28 and 29.
This third example illustrates ways in which smart paper can be
used to determine the nominal daily present value (PV) and investor
rate of return (IRR) for all pre-tax and after-tax cash flows with
respect to an investment. Again, FIG. 28 shows the actual values,
while FIG. 29 shows the underlying formulas used to calculate the
values. The following table explains the particular headings,
parameters and formulas used in the example of FIGS. 28 and 29.
Present Value and IRR Example
[0218]
2 Heading/Parameter Details Inputs Investor Name of party whose
investment is to be analyzed. Selected list member from category
"Party". Calendar Day-counting method to use in calculations on
this sheet of Smart Paper. Selected list member from category
"Calendar". CashFlow_Summary Project_Dates Dates returns the dates
of flows found by the CollectPayments function. CollectPayments
identifies all payment flows classified as AfterTaxCash for the
Investor parameter. Investor_PTCF Identifies payment flows
classified as PreTaxCash for the Investor party. Investor_Taxes
Identifies payment flows classified as Taxes for the Investor
party. Investor_ATCF Identifies payment flows classified as
AfterTaxCash for the Investor party. IRR_Calculation FirstIRRDate
MonthEndOf returns the last calendar day of a month defined by the
First, Dates, and CollectPayments functions. One month is
subtracted from the result. First(Dates(CollectPayments . . . ))
finds the first date among the dates of all payment flows
classified as AfterTaxCash for the Investor party. LastIRRDate As
above, except the month for the MonthEndOf function is defined as
the Last of all dates for payment flows classified as AfterTaxCash
for the Investor party. IRRDates Starting and Ending refer to the
dates defined above to specify the First and Last dates for date
stream. Monthly specifies that dates continue monthly from the
first date in the stream. InvestmentBalance Cumulative returns the
accumulation of all Investor_ATCF values up to each period. The
cumulative Earnings values are added to the result. Earnings
Arrears recognizes that each value occurs in arrears. For example,
the value on 31 Mar 1999 applies to the period that began 28 Feb
1999. Previous defines an array in which each value refers to the
product of InvestmentBalance in the preceding period multiplied by
13.6156% (NominalIRR_UsingSearch) times the PeriodInterval for the
previous period. PeriodInterval returns the length in years of a
period. With monthly dates and a US_30_360 calendar, the length is
0.083 . . . PV Calculation PVRate_Effective NoIndex: recognizes the
value that follows as a scalar, i.e., a single value that is
independent of the current date index. PVRate_Nominal As above. The
formula that follows converts an annual rate into a nominal rate.
PV_Dates Starting and Ending refer to names of key dates in Time
Organizer to define the respective first and last dates in the date
stream, with monthly dates in between. PVFactor Semicolon(;) stops
the current stream. In the subsequent stream: For its first value,
Previous divides 1 (the value of the preceding period) by the sum
of 1 + 9.5690% times the period interval value. See PeriodInterval
in IRR_Calculation.Earnings above. Thereafter, Previous uses the
result of the preceding period in the calculation for the current
period. Base_PTCF Simple reference. Discounted_PTCF Simple
arithmetic. Base_ATCF Simple reference. Discounted_ATCF Simple
arithmetic. PV_Summary PVofPTCF_UsingFunction Daily_Present_Value
uses the value of PVRate_Nominal to calculate the daily present
value of Base_PTCF (the base pre-tax cash flow) as of the Closing
date. Closing is not defined on this sheet; it refers to a key date
in Time Organizer. The function uses the Inputs.Calendar setting
for the day-counting metrics. PVofPTCF_UsingSP Sum returns the sum
of all values in the Discounted_ATCF parameter. The result is the
same as the result of the Daily_Present_Value function as argued
above. PVofATCF_UsingFunction See PVofPTCF_UsingFunction above.
PvofATCF_UsingSP See PVofPTCF_UsingSP. IRR_Summary
NominalIRR_UsingSearch Search performs iterative calculations until
it finds a nominal IRR rate between 10% and 200% that makes the
last investment balance equal to the target value of 0. The search
increment accuracy is le.sup.-8. NominalIRRUsingFunction
Monthly_IRR calculates the nominal monthly investor rate of return
using the dates and values of the Investor_ATCF parameter. The
result is the same as the search iteration method as argued above.
EffectiveIRR Simple arithmetic to convert the nominal IRR to an
annual IRR.
[0219] As can be seen from the examples above, the Smart Paper
feature of the instant invention provides a very useful calculation
interface and tool. It is noted that the Smart Paper tool can, in
accordance with the instant invention, be used independently from
the modeling and analysis tool of the instant invention as an
improvement to spreadsheet applications.
[0220] The Engine
[0221] As explained above, the graphical user interface and the
engine provide an intelligent interface which enables data to be
generated which models the deal in response to graphical modeling
of the deal by the user. Thus, the graphical model not only
provides a visual representation of the deal, but it also causes
the engine to generate useful information which at least partially
model the deal based on the information the engine is able to
obtain from actions performed by the user during creation of the
graphical model of the deal.
[0222] In the preferred embodiment of the instant invention, the
engine operates in accordance with the description below. More
particularly, the engine is a computational server designed to
support client applications wanting spreadsheet-like formula
evaluation, manipulation of indexed streams of quantities and
linear and mixed integer programming optimization. The engine has
the following main features:
[0223] The engine is designed as a COM server which can be
initiated either in-process or out-of-process. In the latter case,
it can be either local or remote, and can handle multiple
clients.
[0224] The engine has a hierarchical organization of data; at the
topmost level the predefined general registry can contain multiple
worksheets and instruments; these can contain an arbitrarily deeply
nested hierarchy of parameter lists, each containing parameters and
other parameter lists.
[0225] The engine has interfaces which stream in or out all of the
data that has been specified by the client in the form of an
indexed bit stream. This enables the client to save and restore
cases in files. The index can be used by the client to view the
structure of the data and compare files; it is used by the engine
to recover as best it can from a corrupted bit stream. Copies of
each index entry are included in the bit stream so that a client
may attempt to recover from a corrupted index.
[0226] Parameter lists may be independently streamed in and out.
This enables the client to maintain a library of templates, which
are sets of parameters which can be instantiated into any case.
Instruments may also be independently streamed in and out. This
enables the client to maintain a library of instruments which can
be instantiated into any case.
[0227] Each parameter is a fundamental calculation unit. It has a
name by which it can be referred to by other parameters, a value,
and possibly a means of calculating that value. Parameters can have
badges identifying them to the internal database. Each badge is a
list of "category=member" specifications, where the list of
possible categories is defined by the client, though there are
specific categories assumed by instruments. The tool uses
categories like "cash classification", "party" and "outcome" to
model the flows of a financial model. Parameters can be designated
as defining results. Each result is attached to a specific name,
party and outcome. The result parameters can then be collated by
the client into capsule summary reports, for example. The values
manipulated by the parameters can have many types. Some are single
quantities (scalars) representing numbers, logical values (true and
false), dates, time intervals, frequencies (annual, monthly, etc.),
character strings and enumerated types. Other values are arrays,
plain, sorted or indexed. There are also some values which are
neither scalars nor arrays, but become indexed arrays when referred
to from a keyed parameter. These are used to represent income that
will automatically be accrued, for example. There are special
values to represent null, which is like an empty cell in a
spreadsheet, and the results of calculation errors (e.g.
divide-by-zero).
[0228] There are some built-in enumerated types (e.g. "calendar"),
which enumerates the different ways of calculating the length of
time between two dates, and the client can create its own using
special list-definition parameters.
[0229] A plain array is a set of values indexed by the natural
numbers (1, 2, 3, . . . ). Normally there is only a finite number
of elements in the array, but limited support is provided for
infinite arrays which are regular beyond a certain point. A sorted
array is always in ascending order of its elements, with no
duplicates; it is used for streams of dates representing events in
a financial model. An indexed array, or stream, is an array which
is attached to a sorted array for indexing purposes. This is used
to represent streams of cash flows in a financial deal, where each
flow is attached to a date. The elements of arrays can be other
arrays, thus providing support for multi-dimensional arrays.
[0230] A keyed parameter is a parameter that has been connected to
another parameter for the purposes of providing a key (or index)
for its array value. Normally, the key parameter has a date stream
(i.e. a sorted array of dates) as its value, and these represent
the dates of the flows defined in the keyed parameter. When a keyed
parameter refers to another parameter in a formula, it triggers
special calculations to convert the keys. This is normally an
"accumulate to date" algorithm, but can be changed to effect
accrual, table lookup, interpolation and extrapolation by using
formula prefixes.
[0231] The normal rules of arithmetic have been extended to handle
all the different types of values, wherever possible. Thus a date
and a time interval can be added to produce another date. A scalar
can be added to an array (it is added to each element of the
array). Two arrays can be added by adding corresponding elements.
If these are indexed arrays, then the corresponding elements are
found by matching the indexes (i.e. two streams of payments are
added by adding the payments on the same dates).
[0232] Parameter values can be specified in several ways. The
client could simply specify a value, or it could specify a way of
calculating the value. A formula parameter has a formula specified,
which is an algebraic combination of constants, references to other
parameters, and functions. A copied parameter simply duplicates the
value of another parameter. An extracted parameter is designed to
extract data from the internal database. In that case, the client
specifies a list of "category=member" specifications and the value
is calculated by matching these requirements with the badges of all
parameters, and adding up those which match. This enables the
client to request, for example, all of a certain party's rental
income, without knowing the details of the instruments in the
model.
[0233] The formula language includes an extensive set of functions
to provide spreadsheet capabilities for manipulating data. Also
included are functions for manipulating dates and arrays. The
formula language also includes a set of prefixes specified at the
beginning of the formula. These prefixes affect the way that the
parameter is handled in references by other parameters, and can
trigger automatic accrual, table lookup, interpolation and
extrapolation. The prefixes are also used to specify variability
during optimization and to trigger search and repetitive
calculations.
[0234] In addition to the built-in functions, the client can define
custom functions. These are named objects created in a worksheet
which can then be referred to from any worksheet in the same way
that a parameter could be, except that the reference is followed by
a list of arguments. The definition of the custom function
specifies how the result of the function is to be calculated from
its arguments. Arguments can be specified as mandatory or optional,
with a default value.
[0235] There is a special formula syntax used to specify date
streams and arrays of values. This uses keywords like "starting",
"ending", "then", "also" to make the specification of these types
of values easier and more understandable. The engine can provide
the client with detailed parsing information about formulas. This
can be used to write formula wizards. The engine parses each
formula into a tree of basic expression nodes. Each expression node
handles a specific job like addition, multiplication, references to
other parameters, function evaluation, etc. Parameters can refer to
themselves in expressions with array values, provided that they use
either the "previous" or "next" function to avoid a logical
circularity. In this case, the engine duplicates the expression
tree for each element in the array (normally for each date), so
that the expression nodes can be evaluated without encountering
circular reasoning. More generally, a set of parameters can form a
self-referential group, triggering duplication for each parameter
in the group.
[0236] Each expression node keeps its calculated value until it is
invalidated by a client change. This "intelligent recalculation"
minimizes unnecessary repetition of calculations. When a formula
refers to another parameter, it does so by specifying the other
parameter's name, possible qualified by the names of its worksheet
or instrument and levels of the parameter list hierarchy.
Qualifiers are other names preceding the parameter name, separated
by periods. Many levels of qualification are possible, e.g.
"Loan1.Calculations.Amortization.Interes- t". Internally, the
general registry has a name reference manager which maintains all
these references. As parameters or parameter lists are created,
destroyed and renamed by the client, the references get
automatically updated. Unnecessary qualifiers are removed.
Qualifiers are added if the original reference becomes ambiguous,
thus maintaining the intended parameter linkages.
[0237] Each parameter has a dependency manager which handles the
invalidation of expression nodes when the client changes a
parameter. When the name reference manager resolves a reference,
the target parameter sets up a link between the source's and
target's dependency managers. If the source value changes, an event
is triggered in its dependency manager which is transmitted via the
link to the target; in turn this is passed on to the target's
dependents. The dependency managers can also provide the client
with lists of dependents and precedents for any parameter.
[0238] Dependency managers are also created for parameter lists,
worksheets, instruments, and indeed the general registry. Changes
are propagated up the parent chain so that each level knows when
there has been some change inside them. This information can be
tapped by clients to provide an intelligent refreshing mechanism;
i.e. don't bother to redraw interfaces for objects which have not
changed. The client requests a modification server for any level
from parameter up to general registry. This modification server can
be polled to determine whether there has been any change since the
last poll.
[0239] Search parameters are formula parameters with a search
prefix. There are three kinds: the optimization search, the
targeting search and the maximization search. The optimization
search only uses the first three arguments (low, high and accuracy)
to the search prefix; it has no effect on calculations outside of
the optimizer. The other types of search specify a target formula
as the fourth argument. The targeting search specifies a value to
target in the fifth argument, while the maximization search uses
one of the keywords "maximum" or "minimum" as the fifth argument.
Whenever a non-optimizing search parameter's value is requested, it
iterates guesses for its value until the target formula is equal to
the target value, or maximized, or minimized, depending on the
fifth argument. Its value is saved until the dependency managers
invalidate it, to avoid pointless recalculation.
[0240] The targeting search preferably uses third-party software
which is designed to find the zeroes of functions. This software
does a good job if the function is monotonic. However, it can get
confused by non-monotonic functions which may have several
solutions. The maximization search uses a custom algorithm which
uses quadratic interpolation to refine the guesses. It depends on
the function being fairly well-behaved as well. However, any
suitable application can be used to perform this function.
[0241] The engine has a facility for collating multiple parameters
into a single date-indexed table. It is called a parameter date
table, and there is one in every worksheet (more are available on
request). The client specifies which parameters it wants in the
table, and the engine collates their dates and outputs a combined
list of dates and a matrix of values. If the client wants to
collate the data in regular intervals (e.g. annually), it can
specify any number of date buckets; these override the table's
normal "daily" rule.
[0242] The engine maintains a set of client-specified numeric
formatting rules. These can be specified at any level of the data
tree, from parameter up to general registry. The client can then
request the effective formatting for any parameter, and use it to
format numeric values using special engine calls. The facilities
include comma insertion, fixed number of decimal places, prefixes
and suffixes, percentages and scaling.
[0243] The internal database uses a bill-of-materials structure to
enable parameters to collate data which has been identified via
badges on parameters. Inside each category there are members which
can be connected in a directed a cyclic graph structure, with
numeric coefficients applied to each link. Thus a category
representing the parties in a deal can establish ownership links
between the parties, e.g. A owns 50% of B. When a parameter which
has a badge specifying party B is extracted by a parameter
requesting flows for party A, its values will automatically be
multiplied by the 50% factor. The links are also used to establish
rules on the cash classifications, like "after-tax cash" equals
"pre-tax cash" plus "taxes". The categories and members are
completely arbitrary, and maintained by the client. An interface is
provided to stream the entire table in or out, so that the client
can save a default table in a file.
[0244] Parameters can extract data from the internal database
either by designating them as extraction parameters, or by
designating them as formula parameters and using one of the
"collect" functions. Either way, the parameter specifies a list of
category-member pairs and receives back from the database a list of
parameters matching those specifications, with corresponding
coefficients, and it then combines their values to get a value.
[0245] Parameter lists can be given an activation formula by the
client. This is a formula that should evaluate to true or false.
When the formula evaluates to false, the parameter list and all of
its contents are labeled as inactive. Inactive parameters do not
have values. If an active parameter tries to reference an inactive
one, it will get an error value. Clients can use this facility to
de-emphasize blocks of the model that are not currently being used,
and prevent useless calculations from slowing down the program.
There are several restrictions on the formula that can be used--for
example, it must not refer to a parameter inside its own parameter
list. Invalid formulas will always make the parameter list
inactive. The engine can supply the reason why a parameter list is
inactive.
[0246] The general registry contains a predefined worksheet called
the timeline. This is designed to hold basic date and date stream
definitions for the rest of the model, and has special interfaces
to enable the client to manage them. The timeline acts as a
preferred source of parameters to the name reference manager. If a
reference cannot be resolved within the parameter's own worksheet
or instrument, then the timeline is searched before going to any
other worksheet or instrument. This gives a "global" nature to the
timeline parameters.
[0247] The engine maintains lists of decisions and outcomes.
Decisions are named objects attached to date-valued parameters.
They are designed to represent points in a financial model from
which the deal could proceed in different directions; e.g.
depending on whether an option is exercised. Outcomes are named
objects that are the result of saying whether each decision has
been taken or not. The outcome in which no decisions have been
taken always exists and is called the base outcome. Other outcomes
can be created by the client by adding a decision to an already
existing outcome. For example, if the client has created three
decisions. then there are seven possible outcomes in addition to
the base outcome obtained from the seven different ways of saying
which combination of the three decisions has been exercised. These
extra outcomes are not created automatically because the decisions
may not correspond to independent decisions in real life--only
certain combinations of decisions may be realistic.
[0248] Instruments are objects created by the client in the general
registry. They are like worksheets in that they have an arbitrarily
complex parameter list, but they also have data geared toward
modeling financial instruments like loans, rent agreements, etc.
They simplify designing badges for parameters.
[0249] Each instrument can have one or more parties specified. (The
tool always uses precisely two parties for each instrument,
corresponding to the two ends of the arrows in the party diagram.)
The client can specify a role for each party. For example in an
instrument modeling a loan, the two parties could be designated
"lender" and "borrower". In the parameters, the client may refer to
the roles in formulas; they are automatically defined to take the
value of the name of the party filling that role. For example, if
there is a party called "MyBank" with a role of "lender", then a
formula may use the identifier "lender" with the same effect as
specifying the character string "MyBank". This allows instrument
builders to write parameters which automatically follow party
substitutions.
[0250] The general registry has a special worksheet called the
parties worksheet. It corresponds with the parties chapter in the
tool. It is completely maintained by the client. However, if an
instrument party finds a section in the parties worksheet that has
the same name as itself, then it generates role parameters echoing
the data inside that section. For example, if the parties worksheet
has a section called "MyBank" with a parameter called
"FirstFiscalMonth", then an instrument parameter could refer to its
value as "Lender.FirstFiscalMonth". (Assuming that the instrument
contains a party with name "MyBank" and role "Lender".)
[0251] Each instrument party can have one or more cash
classifications, and each cash classification can have one or more
income classifications. Each cash classification generates cash
flows for that party by specifying the name of a parameter defined
in the instrument, the section of the topmost parameter list in
which to find the parameter, whether there is a sign change (for
paying parties), and the name of the category member to be used to
generate badges. Each income classification functions similarly
with the extra information of which tax authority to badge it
for.
[0252] Each instrument has a default decision handler which
specifies how the flow-generating parameters are treated in
outcomes involving a decision. The client can override this
behavior for any actual decision that has been created. There are
only two possibilities: either the decision is ignored, i.e. has no
effect on cash flows, or the flows are truncated at the decision
date. If they are truncated, the client can specify a formula for
an extra amount to be assessed on the decision date. To generate
the flows for a particular outcome, the earliest truncating
decision is found which is in that outcome, and that controls the
flow for that outcome. If there is no truncating decision for that
parameter in that outcome, the flows are the same as the base
outcome flows.
[0253] The client may specify for each instrument that it only
generates flows for outcomes containing a certain required
decision. This is designed to model purchase options which are only
present if the corresponding decision is taken.
[0254] The client may instruct an instrument to generate its own
decision and outcome for the purposes of calculating parameters and
generating flows. This is designed to model termination values
where a set of cash values needs to be calculated to terminate the
deal at any of a fixed set of dates. The instrument contains a
date-valued parameter which becomes the decision date; the client
can vary this date to get a table of termination values, or have
the engine vary it automatically by specifying formula parameters
with the TerminateByDate prefix.
[0255] The object responsible for generating flows from instruments
is the instrument synchronizer. Whenever the client changes some
data, the synchronizer regenerates (as necessary) parameters
defining the flows and identifies them to the internal database
with badges. Within each classification within each party within
each instrument, the synchronizer identifies the instrument
parameter representing that flow according to the client inputs.
For each outcome, it generates an auxiliary parameter which may
change the sign of the flow and/or truncate it at the appropriate
decision date. It badges the auxiliary parameters using the
categories "party", "other party", "cash or income classification",
"outcome", "instrument name" and "tax authority" for income
classifications.
[0256] The client may designate that certain instruments are to be
cloned for each outcome. This is designed to model tax payment
instruments where the basic parameters have to take different
values for each outcome. In this case, the instrument synchronizer
clones the parameter lists and party sections for each non-base
outcome before generating the auxiliary parameters. It sets up
default collection parameters for each clone to ensure that
parameters extracting data from the internal database pick the
right outcome in each clone.
[0257] The general registry may also contain specialists. These are
named objects designed to act like building blocks. Each specialist
contains its own version of the general registry which can have
worksheets and instruments and other specialists. Since they are in
their own registry, there is no contact between them and the world
outside; no danger of references being erroneously resolved. They
are safer versions of the "template" concept. Special parameters
are designated as inputs to and outputs from the specialist, and
they do have interactions with the world outside the
specialist.
[0258] An action is a named object representing a calculation that
is too complicated for simple formulas to accomplish. There are
predefined actions for building the optimization model, and
executing the optimizer. The client can create new actions inside
worksheets to do things like targeting and repetitive (sensitivity)
calculations. Also the client can create action sequences, which
are sequential series of actions, to create a primitive macro
language.
[0259] Actions can be executed synchronously or asynchronously. In
the latter case, the client starts off the action, and sits in a
loop requesting action progress, until the progress report
indicates that the action is complete. This enables the client to
provide visual feedback to the user during actions which could take
some time. For example, the client could display messages sent back
from Cplex during optimization. Internally, actions are executed in
a sub-thread to free the main thread to respond to progress
requests.
[0260] The engine preferably has an interface with the Cplex
optimizer. This is a solver, provided by a third-party, of linear
(LP) and mixed integer (MIP) programming problems. It is
encapsulated as an out-of-process COM server which can be run
locally or remotely, with multiple users. The server can be started
by the client or by the engine with the client specifying on which
machine to initiate it. The set of instructions for the Cplex
optimizer is generated by an optimizer model. This is a named
object containing the data needed for the optimization. There can
be more than one optimizer model in each case, if desired. An
optimizer needs three kinds of information to operate. It must know
which parameters the optimizer can vary, what constraints have to
be satisfied, and what the objective function is. For each
parameter with some information pertinent to an optimization model,
there is a model parameter which houses this information. The
client can request a model parameter from an optimization model for
any given parameter in the system.
[0261] To specify that a parameter is variable in a given optimizer
model, it is made an input parameter and the corresponding model
parameter is given certain properties defining the variability,
count (for array parameters), continuity (continuous, binary,
integer), and any special ordering instructions for arrays
(increasing, decreasing, SOS1, SOS2). Alternatively, the parameter
can be made a formula parameter and the formula given an "optimize"
prefix; this only works for the main optimizer model.
[0262] To specify constraints, the client requests constraint
parameters from a model parameter. Constraints are parameters with
some extra properties. The value of a constraint parameter
represents the right-hand-side of a constraint, and could be a
formula involving variable parameters. The left-hand-side of the
constraint is the owning parameter, and the relation is specified
by the client: greater-than, equals or less-than. The client can
specify that adjacent constraints be combined in an OR-relation
rather than the default AND-relation. Constraints have their own
activation formulas; this enables the client to activate and
de-activate constraints automatically. Constraints can be turned
into assertions by setting their test-only switch. Assertions do
not affect the optimization, but they can be queried by the client
as to passing or failing just like constraints.
[0263] To specify the objective function to an optimizer model, the
client requests a model parameter for each component of the
objective function and sets its "objective function coefficient"
property to the appropriate number; a positive number implies
maximization, negative minimization. If there is more than one
parameter with a coefficient, the optimizer will optimize the sum
of the values multiplied by their respective coefficients.
[0264] The solving of an optimization model is done in phases.
During the first phase, the formulas involved in constraints (and
the objective function) are visited to determine the set of
parameters that contribute (directly or indirectly) to constraints
or the objective function. During the second phase, the definitions
of all these parameters are visited to determine which are
variable. The next few optimization phases are designed to
determine array sizes and array element variabilities for those
parameters with array values. This is done by generating an
auxiliary set of parameters whose formulas are cloned from the
original. The auxiliary parameters corresponding to parameters that
the client has specified as variable are given special place-holder
values which have a trivial pass-through arithmetic. When the other
auxiliary parameters are evaluated, the result is normally a
place-holder value, or an array of such. Wherever a place-holder
value is encountered, that represents a variable (column) to be
created in the optimization model.
[0265] Next, objects representing the basic variables (columns) of
the model are created, and the coefficients, or rows, of the matrix
are generated. Some rows correspond to the definitions of
parameters, others to the constraints as supplied by the client. To
generate the coefficients, a special type of value is used which is
basically a linear combination of variables. Once an arithmetic of
these values has been programmed, then they can be passed through
the normal expression evaluator, and the rows created from the
results. A second set of auxiliary parameters with cloned formulas
is used to do this. Only client constraints that cannot be
interpreted as bounds on the variables generate rows.
[0266] During coefficient generation, OR-groups of constraints, and
some non-linear functions are linearized by creating extra binary
variables to "take the decisions". Functions that cannot be
linearized generate non-linear errors.
[0267] After the model has been generated this far, a lot of
information is available to the client such as linearity of the
model, lists of constraints and optimizable parameters. The model
is finalized by removing any egregious scaling problems (for
example caused by the client defining some parameters in dollars
and some in percents), and replacing some symbolic large and small
constants (introduced with the extra binary variables) with real
numbers estimated from other constants in the matrix.
[0268] The arrays that Cplex expects as inputs are created and the
model transmitted to the Cplex server. The engine waits until that
server has completed, forwarding any progress messages back to the
client. The results are obtained from the Cplex server, and put
back into the file wherever the client has specified that
parameters are variable. Binding information and shadow prices are
obtained from Cplex and stored in the corresponding constraints. To
assist users in tracking down infeasibilities, only the values that
the user has specified as optimizable are put back into the model;
any dependent parameters and constraints are then recalculated from
their formulas, and lists of failing constraints are available the
client (user) to display.
[0269] If there are any optimization search parameters, then the
model building and solving steps are repeated using different
guesses for the search parameters until the best objective value is
found. Optimization search parameters are formula parameters with a
search prefix in which only the first three arguments have been
specified (low, high, accuracy). This kind of search prefix has no
effect outside of optimization. It is used by the client to solve
for variable parameters which cannot be specified as variable to
the optimization model without sending the model non-linear. The
algorithm for choosing the guesses is a custom quadratic-fit
algorithm for finding the maximum of a function.
[0270] For the purposes of generating the optimization model, any
non-optimization search parameters are frozen at their current
values. If one of these has a new value as a result of the
optimization in such a way as to invalidate the optimization, then
a message about this is generated and sent to the client, and a
special status condition set.
[0271] There are two optimization actions provided for the client
to execute. The "optimize" action will perform all of the above
steps. The "build model" action performs only the first few steps,
enough to get the client data on linearity, constraints, etc. This
last action is performed by the Advantage optimization chapter to
provide visual feedback while the data to display the chapter is
being prepared.
[0272] The engine can export its model to Microsoft's EXCEL
software, creating as far as possible a working spreadsheet model
of all the parameter formulas. The exported model is limited in
that it cannot handle date changes or changes in frequency or term
that require re-dimensioning of arrays. It does a good job of
formatting the resulting sheets to reflect the data hierarchy of
the model. The client has control over the sheets and what is
included in them.
[0273] The client can create other types of actions in worksheets.
A marksman is a targeting action which works similarly to the
search prefix. Being an action, however, it can be executed
asynchronously with the client displaying progress. Each time round
the loop, the variable parameter is guessed, and a specified list
of actions performed, which could include optimization and other
marksmen. This is repeated until a target variable reaches a
specified value, or is maximized or minimized. A matrix is a
repetitive action designed to vary a parameter over a range of
values, perform a list of actions which could include optimization
and marksmen at each iteration, and store a set of results. These
results are collated into a two-dimensional matrix of values
assigned to a result parameter. An action sequence is a set of
actions which is executed serially; this could be used to implement
a primitive macro language.
[0274] The engine preferably has a background thread which steals
idle cycles to perform tasks in advance of the client requesting
them. For example, evaluation of parameters, including searches,
and generation of the optimization model. This can markedly improve
interaction speed as the client may well find that whatever it
needs to create a display has already been prepared by the engine.
For example, the engine may submit background optimizations to
Cplex so that should the user decide to press the optimize button,
he would get an instantaneous result.
FORMULA LANGUAGE
[0275] As explained above, the instant invention includes a
powerful formula language which can be used in the worksheet, as
well as in other chapters of the invention, to provide scenario
information. This formula language includes a library of predefined
functions and keywords which can be used by the user when using the
tool. An exemplary set of these functions and keywords which
comprise the formula language, together with an associated syntax,
is provided below.
[0276] ABS Function
[0277] ABS (Number)
[0278] Returns the absolute value of an argument.
[0279] Number is any numeric value or expression that is a real
number.
[0280] Accrue Prefix
[0281] Accrue(Calendar):source_values
[0282] Tells the application to recognize values as amounts to be
allocated uniformly to each day in their time periods.
[0283] Source values come from one or more previously defined
numbers streams.
[0284] If Calendar is omitted, the application applies its own
calendar selection method.
[0285] To calculate accrual amounts, the application looks at three
factors:
[0286] 1. Overlap between source periods and accrual periods.
[0287] 2. Given or selected calendar method.
[0288] 3. Daily rate of source value (source value divided by days
in source period).
[0289] AccrueInterval Function
[0290] AccrueInterval (Offset, Calendar)
[0291] Accrues Advance or Arrears payments into a set of
user-defined intervals.
[0292] This function differs from its cousin PeriodInterval in that
it takes into account the Advance or Arrears nature of the payment
stream in which it occurs. It combines this information with the
StartDates or EndDates prefix of the payment stream date index to
determine which interval is relevant to the current payment.
[0293] Offset is an integer that defines the periods in which to
accrue values.
[0294] Offset 0 (or blank) accrues to each interval containing a
value.
[0295] Offset+1 accrues to the interval of the next period of
value, offset+2 includes the next two periods of value, and so
on.
[0296] Offset-1 accrues to the interval of the previous period of
value, offset-2 includes the previous two intervals, and so on.
[0297] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0298] If Calendar is omitted, the application applies its own
calendar selection method.
[0299] AccumulateByPeriod Function
[0300] AccumulateByPeriod (Stream, Period)
[0301] Accumulates values from an indexed array into the
overlapping periods under a different index.
[0302] Stream is the name of an indexed numbers stream.
[0303] Period is the name of the date index of periods to serve as
points of accumulation.
[0304] Activation Switches
[0305] An activation switch is a formula that evaluates to True or
False (e.g. x=y) in regard to a heading or a constraint.
[0306] An activation switch on a Smart Paper heading is symbolized
by a blue rectangle.
[0307] Headings in instruments and templates are activated through
payment classifications rather than activation switches, so there
are no activation symbols in those forms.
[0308] If a heading activation switch evaluates to False, the
entire section (heading, subordinates and constraints) is
deactivated, and the section is dimmed.
[0309] The activation switch for a constraint is not symbolized or
visible until you display the constraint in full edit mode. If the
switch evaluates to False, the constraint is inactive and gets
ignored during optimization.
[0310] Adding an Activation Switch
[0311] 1. Click the heading or the constrained parameter you want
to modify and press Ctrl+Enter to enter full edit mode.
[0312] Enter a heading activation formula in the formula edit
field, or . . . .
[0313] Click a constraint name to select it, then right-click for a
shortcut menu of options. Choose Add Activation Formula and enter
the formula in the field provided.
[0314] Rules for Activation Switches
[0315] An activation formula must not depend on anything
optimizable. If it does, it will always deactivate its section,
even if the formula appears to evaluate to True.
[0316] An activation formula with an error, or one which evaluates
to something other than True or False, will always deactivate its
section.
[0317] Functions and Activation Switches
[0318] An attempt to reference an inactive parameter returns an
error unless:
[0319] You use the WhenActive or FindValue functions to return an
argued value when an inactive parameter is found.
[0320] You use the Subtotal function, which automatically excludes
inactive parameters.
[0321] ActsLike Prefix
[0322] ActsLike(reference):additional_formula
[0323] Makes a parameter mimic the behavior defined by the formula
for another parameter.
[0324] Reference is name of parameter to mimic.
[0325] The formula that follows the colon (:) can be the reference
parameter name (to use its values) and/or other formula
definition.
[0326] Actual.sub.--360 Function
[0327] This is one of four calendar methods you can choose to
evaluate intervals between dates for the purposes of
calculation.
[0328] Actual.sub.--360 divides the actual number of days in a
given month into a year of 360 days.
[0329] Actual.sub.--365 Function
[0330] This is one of four calendar methods you can choose to
evaluate intervals between dates for the purposes of
calculation.
[0331] Actual.sub.--365 divides the actual number of days in a
given month into a year of 365 days.
[0332] AddYears Function
[0333] AddYears (Dates, Years, Calendar)
[0334] AddYears returns a date based on the calculated interval
between a given date and given number of years, using the
day-counting metrics of the current calendar.
[0335] The interval is internally calculated using the Interval
function, where its Date1 and Calendar arguments use the Date and
Calendar argued in the AddYears function.
[0336] The interval is the sum of a whole number of years and a
fractional part. Only the fractional part is affected by the
calendar argument.
[0337] Date is any date expression.
[0338] Years is a whole or decimal number to express the number of
years.
[0339] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0340] If Calendar is omitted, the application applies its own
calendar selection method.
[0341] Advance Prefix
[0342] Advance: Values
[0343] Defines a payment stream in which each payment applies to
the period following the date on which the payment occurs.
[0344] In Smart Paper, the symbol identifies Advance payments.
[0345] After Keyword
[0346] After Date
[0347] Defines the first value in a date stream or maps the first
value in a sorted numbers stream.
[0348] In a date stream, use After to begin the stream on the first
anniversary of the After date. The interval to the anniversary is
determined by a frequency keyword such as Annual.
[0349] In a numbers stream, use After to key the first value in the
stream to the index date that follows the given date.
[0350] Align Keywords
[0351] Alignment keywords anchor the anniversaries in continuing
dates to a month/day or the same day each month at a given
frequency. There are two ways to express alignment:
[0352] Align frequency mm/dd
[0353] In this expression, you anchor continuing dates (at the
given frequency) to the relative date mm/dd rather than the first
date defined in the formula.
[0354] Align Monthly On dd
[0355] In this expression, you anchor monthly continuing dates to a
day of the month other than the starting date.
[0356] Also Keyword
[0357] Also Date
[0358] Use the Also keyword at the end of a date stream formula to
insert a date that will not otherwise occur according to the
preceding formula.
[0359] Anchor Date
[0360] An anchor date is the point of departure in the calculation
of an anniversary or other fixed date.
[0361] The anchor date is expressed as a relative date modified by
the keyword expressions Align frequency or Align Monthly On.
[0362] AND Function
[0363] AND (condition1, condition2, . . . )
[0364] AND returns a logical value that asserts if a set of
conditions are true or false.
[0365] Returns True if all of the arguments are true.
[0366] Returns False if any one or more of the arguments is
false.
[0367] Condition1, condition2, and so on are the conditions you
want to test for being true or false.
[0368] Anniversary (Definition)
[0369] An anniversary is a date that occurs on the basis of a given
anchor date and frequency.
[0370] If the anchor date is March 1 and the frequency is Monthly,
the first anniversary of the anchor date is April 1, the second
anniversary is May 1, and so on. There is also an Anniversary
function that lets you calculate the occurrence of an anniversary
based on a set of arguments.
[0371] Anniversary Function
[0372] Anniversary (AnchorDates, Dates, Frequency)
[0373] Returns the last anniversary of an anchor date up to (and
including) a cutoff date. Anniversaries occur at the specified
frequency beginning on the anchor date.
[0374] AnchorDate is the date from which the anniversary countdown
begins.
[0375] Date is any date expression for the cutoff date.
[0376] Frequency is Monthly, Quarterly, Semiannual, or Annual.
[0377] Annual Keyword
[0378] Annual (or Annually) is a frequency keyword used to define
the interval between continuing dates in a date stream.
[0379] ArrayByIndex Function
[0380] ArrayByIndex(Array, Index)
[0381] Returns the values in a source array that correspond to a
given index position.
[0382] Array is the name of the indexed array that contains the
value to be returned.
[0383] Index is an integer (or array of integers) that refers to
the key location of an index array value against its index. The
reference for the value in the first position is 1, the second
position is 2, and so on.
[0384] Array Parameters (Definition)
[0385] An array is a type of parameter that contains a series of
one or more values. The values are arranged according to a formula.
There are three types of arrays:
[0386] Sorted array Stream of values in ascending order, with no
duplicates.
[0387] A typical sorted array is an index parameter, as seen in the
underlined set of dates used to coordinate a set of cash flows.
[0388] Since each position on an index parameter may be a key to a
value in another array, an index is also referred to as a key
parameter.
[0389] Indexed array Stream of values in the scope of an index
(sorted array).
[0390] A typical indexed array is a set of cash flows in a deal,
where each flow is keyed (attached) to a position on a date
index.
[0391] Plain array Stream of values indexed by the natural numbers
(1, 2, 3, . . . ).
[0392] May also be referred to as an unsorted array, as its
elements occur in whatever order they are entered in the
formula.
[0393] ArraySum Function
[0394] ArraySum(Array)
[0395] ArraySum returns the total of all the values in an
array.
[0396] Array is the name of any array parameter.
[0397] Arrears Prefix
[0398] Arrears: Values
[0399] The Arrears prefix means that each payment applies to the
period that precedes the date on which the payment is incurred.
[0400] In Smart Paper, the symbol identifies Arrears payments.
[0401] Badge (Definition)
[0402] A badge is an internal ID that associates certain data to a
list member within a category ("category=list member"). For
example:
[0403] The category "Instrument" includes the list members "Rent",
"Asset", "Loan", and so on.
[0404] The category "IncomeClassification" includes the list
members "RentReceived", "SourcesOfFunds", and so on.
[0405] Before Keyword
[0406] Before Date
[0407] Defines the last date in a date stream or defines the date
on which the last value in a numbers stream occurs.
[0408] In a date stream, use Before to make the stream end on the
latest possible anniversary (in a continuing dates sequence) that
occurs prior to the given date.
[0409] In a numbers stream, use Before to assign the last value in
the numbers stream to the index date that most immediately precedes
the given date.
[0410] Bookend Date (Definition)
[0411] A bookend date is a date index element that does not
represent the beginning or end of a period. The period prefix used
in the date index determines the bookend date.
[0412] When the StartDates prefix applies, the bookend date is the
last date on the index.
[0413] When the EndDates prefix applies, the bookend date is the
first date on the index.
[0414] Calendar Functions
[0415] The tool relies on a user-specified calendar method to
evaluate intervals between dates for the purposes of calculations
such as:
[0416] interest on a loan
[0417] accrual of payments that cover periods across fiscal years
(for tax purposes)
[0418] present value and yield calculations
[0419] The active calendar method in a calculation affects payment
values because there are more or fewer days in a given interval
based on the calendar.
[0420] Multiple Calendars in the Same Case
[0421] Every case has a global default calendar set in Time
Organizer. You can change this default and you can also use
different calendars at local levels (i.e. for an instrument or a
sheet of Smart Paper).
[0422] In the event of multiple calendars, the application has a
process to determine which one is in effect for a given
calculation. See Calendar Selection Method.
[0423] Calendar Selection Method (Definition)
[0424] You can specify different calendar methods for different
requirements in the same case. If a case has more than one calendar
method, the application uses a decision tree to determine the
method that applies to a particular calculation.
[0425] Decision Tree for Calendar Selection
[0426] When a case contains multiple calendar methods, the
application applies the closest method it can find based on this
order:
[0427] 1) Does the formula contain a calendar?
[0428] Some prefixes (Accrue, for example) prompt you to select a
calendar method.
[0429] You can also add or insert a calendar as a function.
[0430] For example, the list of functions available through Formula
Assistant to add/insert a function includes each of the four
methods: Actual.sub.--360, Actual.sub.--365, and so on.
[0431] 2) Failing that, does the current sheet of Smart Paper
contain a parameter named Calendar?
[0432] 3) Failing that, the application applies the default
calendar method setting in Time Organizer.
[0433] Cash Prefix
[0434] Cash: Values
[0435] Cash is the default prefix for a payment stream when neither
the Advance prefix nor the Arrears prefix is given. Use the Cash
prefix (or omit a prefix) to specify that each payment applies to
the date on which it is incurred.
[0436] Categories and List Member Reference
[0437] A badge is an internal ID that that comprises a category and
one of the list members within that category. Certain functions use
the list member portion of a badge as an argument to collect or
extract data.
[0438] CEILING Function
[0439] CEILING(Number,Significance)
[0440] Returns a number rounded up to the nearest multiple you
specify.
[0441] For example, to round up the value 575.29 to the nearest
multiple of 0.5, you use the formula CEILING(575.29, 0.5). The
application returns 575.50.
[0442] Number is any numeric expression that you want to round
up.
[0443] Significance is the multiple to which you want to round
Number. The application rounds the number up away from zero.
[0444] Number and Significance cannot have different signs.
[0445] CHAR Function
[0446] CHAR(Code)
[0447] Returns a character value from the ANSI code you
specify.
[0448] Code is a number between 1 and 255 that specifies a
character on your computer.
[0449] CHOOSE Function
[0450] CHOOSE(Index,Value1,Value2, . . . )
[0451] Returns a value from a list of arguments based on an index
number.
[0452] Index specifies which value(s) to select from the list of
arguments. Index can be any scalar or array value, including
numbers or parameter references. For example, if the value of Index
is 2, the application returns the second argument. If Index has a
fractional value, the application truncates the fraction and uses
the resulting integer to select an argument.
[0453] Value1, Value2 and so on are the list of arguments from
which the application selects based on the value of Index. The
arguments can be any number or expression, including scalar or
arrays.
[0454] Classifications (Definition)
[0455] A classification is a financial label. It tells the
application how to retrieve values given a context such as
instrument, outcome, party/role, and so on.
[0456] Guidelines for Working with Classifications
[0457] 1) Keep other arguments in context when given a
classification argument.
[0458] For example, when the Rent instrument is instated for the
base outcome, the following two classifications are active:
[0459] RentPaid by the lessee, and
[0460] RentReceived by the lessor.
[0461] If you write a Collect function to look for RentPaid but add
filters such as Party=Lessor or Instrument=Asset, the RentPaid
classification is meaningless and the function cannot find the rent
paid values.
[0462] 2) Classifications are spelling-sensitive.
[0463] For example, the application recognizes SourcesOfFunds and
Sourcesoffunds, but not SourceOfFunds or SourcesOfFunding.
[0464] Identifying Classification List Members
[0465] There are three ways to see a list of payment (income/cash)
classification members.
[0466] In Smart Paper
[0467] a) In SmartPaper, add a parameter.
[0468] b) Change the parameter to a List Member parameter.
[0469] In Payment Organizer
[0470] a) Change Payment Organizer Data.
[0471] In Instrument Chapter
[0472] a) Modify Payment Classification Settings for Instrument
[0473] CODE Function
[0474] CODE(String)
[0475] Returns an ANSI code that specifies the first character in a
text string.
[0476] String is a series of text characters or a reference to a
parameter that contains text characters.
[0477] Enclose String in quote marks.
[0478] CollectData Function
[0479] CollectData (CategoryMemberList)
[0480] Collects data from parameters that match up to one or more
badges.
[0481] CategoryMemberList is an expression of one or more badges,
with one set of quote marks to encase the entire string. See
Categories and List Member References.
[0482] Use the word and to separate multiple badges.
[0483] To reference a party by its role rather than the party name,
use the syntax "+Rolename+" as seen in the Example2 parameter.
[0484] CollectIncome Function
[0485] CollectIncome (Party, Classification, Outcome, Instrument,
OtherParty, TaxAuthority)
[0486] Collects income from parameters that match a set of one or
more badges. Each argument position represents a category and takes
a user-specified list member name.
[0487] See Category and List Member Reference for help on names for
parties, classifications, and so on.
[0488] Party identifies the entity whose income flows you want to
collect. You can use either a party name or a role name for the
argument.
[0489] Party versus role: you must encase a party name in quote
marks, whereas a role name does not require quote marks.
[0490] Classification is the Income classification name (in quote
marks) for the flows to be collected.
[0491] Outcome is the name of the outcome (encased in quote marks)
under which income is to be collected. The function assumes
"BaseOutcome" if no outcome is specified.
[0492] Instrument is the name of the instrument (in quote marks)
for which income is to be collected. The function considers all
instruments if no instrument is specified.
[0493] OtherParty identifies the other party for flows from
two-party instruments.
[0494] You can use a party name in quote marks or a role name (no
quote marks)
[0495] Tax Authority identifies the tax collector for the income to
be collected.
[0496] You can use a party name in quote marks ("IRS") or the role
name TaxCollector without quote marks.
[0497] CollectPayments Function
[0498] CollectPayments (Party, Classification, Outcome, Instrument,
OtherParty)
[0499] Collects payments from parameters that match a set of one or
more badges. Each argument represents a category and takes a
user-specified list member name.
[0500] See Category and List Member Reference for help on names for
parties, classifications, and so on.
[0501] Party identifies the entity whose payments you want to
collect. You can use either a party name or a role name for the
argument.
[0502] Party versus role: you must encase a party name in quote
marks, whereas a role name does not require quote marks.
[0503] Classification is the Payment classification name (in quote
marks) for the flows to be collected.
[0504] Outcome is the name of the outcome (encased in quote marks)
under which payments are to be collected. The function assumes
"BaseOutcome" if no outcome is specified.
[0505] Instrument is the name of the instrument (in quote marks)
for which payments are to be collected. The function considers all
instruments if no instrument is specified.
[0506] OtherParty identifies the other party for flows from
two-party instruments.
[0507] You can use a party name in quote marks or a role name (no
quote marks)
[0508] CONCATENATE Function
[0509] CONCATENATE(String1, String2, . . . )
[0510] Links multiple text strings into one string.
[0511] String1, String2, and so on are a series of text characters
or a reference to a parameter that contains text characters.
Enclose each text string in quote marks.
[0512] ConstraintAssertion (Definition)
[0513] A constraint/assertion is a formula you can add to a
parameter along with the formula that generates the parameter
values.
[0514] The constraint/assertion formula defines the degree to which
values can be re-calculated during optimization.
[0515] You can only add a constraint/assertion to a parameter in
full edit mode (Ctrl+Enter).
[0516] The constraint/assertion can be binding or non-binding.
[0517] Binding. Optimization fails if constraint or assertion
cannot be honored.
[0518] Non-Binding. Inability to meet the constraint or assertion
is noted, but does not cause Optimization to fail.
[0519] Context Function
[0520] Context(Reference)
[0521] Returns the full pathname (i.e.
SheetName.Heading.SubHeading.Parame- ter) to the given
reference.
[0522] This is useful when you have multiple parameters with the
same name and need to distinguish between them.
[0523] For example, if you instate the MISFYieldByMonth template
twice in one case, you end up with two parameters named
Input.MinYield.
[0524] If you insert a Context parameter in the Inputs section of
each template, you can then use the FindValue or GetResults
function to locate the value under Heading1.Input.MinYield versus
Heading2.Input.MinYield.
[0525] Reference is an instrument name, a Smart Paper sheet name,
or any heading or parameter name.
[0526] COUNT Function
[0527] COUNT(Array)
[0528] Counts the number of values in an array.
[0529] Array is a series of values separated by semicolons, or the
name of any array parameter such as a numbers stream or date
index.
[0530] Empty or blank elements in the array are included in the
count.
[0531] Cumulative Function
[0532] Cumulative(Array)
[0533] Returns an array in which each value is the accumulated
value of all preceding values in the argued array.
[0534] Array is the name of an array parameter, or it can be a
series of values defined by numbers stream keywords.
[0535] The opposite function is Difference (returns difference
between each successive element in an array or series of
values).
[0536] A related function is SumToDate (returns a single number for
the sum value of an array or series of values as of a given
date).
[0537] Daily_Present_Value function
[0538] Daily_Present_Value (Flows, PVRate, PVDate, Calendar)
[0539] Returns the daily present value of a set of cash flows.
[0540] Flows is the parameter name for a set of cash flows.
[0541] PVRate is a percentage for the nominal monthly discount
rate.
[0542] PVDate is any single date expression to which the cash flows
are discounted or accreted.
[0543] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0544] If Calendar is omitted, the application applies its own
calendar selection method.
[0545] DATE Function
[0546] DATE(Year,Month,Day)
[0547] Returns a date value from numeric values that represent a
year, month, and day.
[0548] To create a date you can use to produce a date stream
consisting of last days of months, use MonthEndOf.
[0549] Year is a number from 1900 to 9999.
[0550] Month is a number that represents the month of Year.
[0551] If Month is greater than 12, the value is added to January
of Year. See Example V1.
[0552] If Month is less than 1, the value is subtracted from
December of Year. See Example V2.
[0553] Day is a number that represents day of Month.
[0554] If Day is greater than the days in Month, the value is added
to day 1 of Month. See Example V3.
[0555] If Day is less than 1, the value is subtracted from day 1 of
Month. See Example V4.
[0556] DateAsEntered Function
[0557] DateAsEntered (Date)
[0558] Returns a date value in format "dd mon, yyyy" (including the
quotation marks).
[0559] Date can include a day number between 1 and 31 irrespective
of the month.
[0560] Date Expression (Definition)
[0561] A date expression is a date included in a formula. The date
can be given in any of the following formats (refer to
example):
[0562] 1) Calendar date, as in 1 Jan. 2000.
[0563] 2) Parameter reference, as in ClosingDate (where ClosingDate
is previously defined).
[0564] 3) Date location by keyword reference, as in First
datestream or Last datestream.
[0565] 4) Elapsed time before or after a date, as in date+3y.
[0566] 5) Inserted function that defines a date.
[0567] Date Index (Definition)
[0568] A date index is an array parameter that contains an
ascending series of dates. The dates are used to coordinate series
of values according to when they occur over time.
[0569] Each element on the index is a key (a point of coordination
for sorting values).
[0570] Parameters below the index are indexed arrays of values that
are keyed to the index positions.
[0571] Dates Function
[0572] Dates (First, Second . . . )
[0573] Returns a date stream consisting of dates used to key the
argued numbers stream(s) without regard to the StartDates or
EndDates prefix designation of the source.
[0574] If you want true end dates of periods as a result, you must
specify the EndDates prefix with the Dates function.
[0575] Otherwise, the returned dates automatically default to the
StartDates prefix and therefore represent the beginnings of
periods.
[0576] First (and so on) is the parameter name of a payment or
income stream, or a table of values.
[0577] DATEVALUE Function
[0578] DATEVALUE(Date)
[0579] Converts a text string representation of a date to a date
value.
[0580] Date is any name reference or text string that represents a
date.
[0581] DAY Function
[0582] DAY(Date)
[0583] Returns an integer value (between 1 and 31) for the day of
the month in a date value.
[0584] Date is any name reference or text string that represents a
date.
[0585] DAYS360 Function
[0586] DAYS360(Starting Date,Ending Date,Method)
[0587] Returns the number of days between two dates on 360-day
calendar (twelve 30-day months).
[0588] Starting Date and Ending Date are the two date values you
want to calculate the number of days between. If Ending Date occurs
before Starting Date, a negative number is returned.
[0589] Method is False to specify the U.S. method of calculation or
True to specify the European method.
[0590] Days365 Function
[0591] Days365 (StartDate, EndDate)
[0592] Returns the number of days between two dates based on a
365-day year.
[0593] StartDate is the first date to include in the count.
[0594] EndDate is a bookend date that is not included in the count
of days.
[0595] For example, to obtain a count of days in the period Jan 1
to Jan 31 that includes the 31.sup.st, the End Date is Feb 1.
[0596] Days365 returns a negative number if StartDate is later than
EndDate,
[0597] DaysInPeriod Function
[0598] DaysInPeriod (Period, Calendar)
[0599] Returns the number of days in period according to specified
calendar.
[0600] Period is two dates from a date index expressed mm/dd/yy to
mm/dd/yy (or using other valid date syntax; see example).
[0601] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0602] If Calendar is omitted, the application uses the decision
tree for multiple calendars to choose a method.
[0603] DaysInYear Function
[0604] DaysInYear (Calendar)
[0605] Returns the number of days in a calendar year.
[0606] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0607] If Calendar is omitted, the application uses the decision
tree for multiple calendars to choose a method.
[0608] Destination Parameter (Definition)
[0609] A destination parameter is one in which the formula refers
to another parameter in order to use the referenced parameter as a
source of data.
[0610] Difference Function
[0611] Difference (Array)
[0612] Returns the difference between each successive value in an
array or series of values.
[0613] Array is the name of an array parameter or a series of
values defined by numbers stream keywords.
[0614] Also see Cumulative (returns accumulated value of all
preceding values in an array or series of values).
[0615] ElapsedTime Function
[0616] ElapsedTime (Years, Months, Days)
[0617] Returns an elapsed time value in whole numbers for years,
months, and days.
[0618] Use this function when other parameters in the case depend
on an elapsed time value.
[0619] Each argument uses any whole number.
[0620] Insert commas as placeholders for omitted arguments.
[0621] EndDates Prefix
[0622] Indicates that each date on the index (except the first
date) represents the LAST day of a period.
[0623] Each period begins the day after the index date and ends on
the next index date.
[0624] The first date in the index is a bookend. It does not
represent the end of a period.
[0625] The .rarw. symbol indicates the EndDates prefix.
[0626] EndDatesOf Function
[0627] EndDatesOf (First, Second, . . . )
[0628] Returns the combined dates used to organize a set of number
streams, first converting them to end dates if necessary.
[0629] This lets you create an index comprising the date values of
various indexed parameters without having to remember anything
about the indexes themselves.
[0630] If an argued numbers stream is keyed to an EndDates: date
index, the function returns the dates as they appear on that
index.
[0631] If an argued numbers stream is keyed to a StartDates: date
index, the function first subtracts one day from each date to
return it as an end date.
[0632] To make the resulting dates represent true end dates, you
must supply the EndDates: prefix as well as the function. See
example.
[0633] First (and so on) are the parameter names of numbers streams
(tables, cash and income streams).
[0634] The similar EndDatesOfPeriods function slows down
optimization performance, but it is more flexible in the types of
arguments it accepts.
[0635] EndDatesOfPeriods Function
[0636] EndDatesOfPeriods (First, Second, . . . )
[0637] Derives period start dates from one or more numbers streams
and/or date indexes, then creates a date index of dates that
reflect the end dates of the underlying periods. Also incorporates
dates or date streams given as arguments.
[0638] To calculate dates for the result, the function subtracts
one day each from the start dates.
[0639] To make the resulting dates represent true end dates, you
must supply the EndDates prefix as well as the function.
[0640] First (and so on) can be any one or more of the
following:
[0641] Parameter name of a date index with the StartDates prefix
(StartDates is the default if no prefix is present).
[0642] Parameter name of a numbers stream (i.e. income or payment
flow, table) that is keyed to a StartDates date index.
[0643] Single date expression or date stream expression.
[0644] Ending Keyword
[0645] Ending Date
[0646] Defines the last date in a date stream.
[0647] European.sub.--30.sub.--360 Function
[0648] This is one of four calendar methods you can choose to
evaluate intervals between dates for the purposes of
calculation
[0649] Consists of twelve 30-day months (each month is one
12.sup.th of the year).
[0650] February is given two extra days.
[0651] If a period starts or ends on the 31.sup.st, the day counts
as the 30.sup.th of the same month.
[0652] For example, the interval of 1.sup.st to 31.sup.st is 29
days.
[0653] EVEN Function
[0654] EVEN(Number)
[0655] Returns a number rounded away from zero to the next even
integer.
[0656] Number is the value to round.
[0657] Except Keyword
[0658] ;Except value On date
[0659] or
[0660] ;Except On date
[0661] Allows for a break in a sequence of values being mapped to
an index.
[0662] The Except term always begins with a; (semicolon) separator
to halt the previous formula sequence.
[0663] It is optional to include an exception value with the Except
keyword. If you do not provide an exception value, there is no
value shown for the Except date (see NumberStream2 in example).
[0664] Except can only be used at the end of the numbers stream
formula.
[0665] EXP Function
[0666] EXP(Number)
[0667] Returns the natural logarithm base e (2.71828182845904)
raised to the power you specify.
[0668] Number is the power to which you want the application to
raise e.
[0669] FALSE Function
[0670] FALSE
[0671] Returns the logical value False.
[0672] FIND Function
[0673] FIND(FindText,WithinText,StartNum)
[0674] Finds and returns the starting position of a text string
within another text string.
[0675] FindText and WithinText are series of text characters (or
references to a parameter that contains text characters) encased in
quote marks.
[0676] FindText is the text string you want to find (no wildcard
characters).
[0677] WithinText is the text string that contains FindText.
[0678] StartNum is the character position where you want the
application to start the search. For example, to start with the
third character in WithinText, use a StartNum of 3. If you omit
StartNum, the application uses 1.
[0679] If FindText is not contained in WithinText, the application
returns an error.
[0680] If StartNum is zero or less, or if StartNum is greater than
the length of WithinText, the application returns an error.
[0681] FindValue Function
[0682] FindValue (Context, Parameter, InactiveNull)
[0683] Locates a value given its context within the case.
[0684] Context can be any of the following:
[0685] the name of a Smart Paper sheet, heading, or instrument
encased in quote marks
[0686] the name of a parameter defined with the Context function
(no quote marks)
[0687] the name of a parameter that defines an array of sheet
names, heading names, or instrument names
[0688] Parameter is the name of the parameter that contains the
value you want to find.
[0689] InactiveNull lets you specify a value to return in lieu of
the error InactiveParameter if the context/parameter specification
points to an inactive parameter.
[0690] First Function
[0691] First (Array)
[0692] Refers to the first value in a given array.
[0693] Array can be a numbers stream or date stream.
[0694] First Keyword
[0695] First Datestream
[0696] Refer to the first date in a date stream in order to use the
date itself in another date stream.
[0697] FLOOR Function
[0698] FLOOR(Number,Significance)
[0699] Returns a number rounded down to the nearest multiple you
specify.
[0700] Number is any numeric expression that you want to round
down.
[0701] Significance is the multiple to which you want to round
Number. The application rounds the number down toward zero.
[0702] Number and Significance cannot have different signs.
[0703] For Keyword
[0704] For n
[0705] Use the For keyword to repeat a numbers stream value or
extend a date stream sequence.
[0706] In a date stream, use For to specify the number of
anniversaries to continue the date stream at its current
frequency.
[0707] For n ends the stream after n periods at the given frequency
unless the For stream is further defined following a separator
keyword such as; (semicolon) or Then.
[0708] In a numbers stream, use For to specify the number of
increments to repeat a value.
[0709] Forever Keyword
[0710] Forever
[0711] Use the Forever keyword in date stream in lieu of an ending
date phrase if you want to specify that the stream never ends.
[0712] GetResult Function
[0713] GetResult (Result, Party, Outcome, Context,
SubsidiaryParameter)
[0714] Locates a SetResult parameter flagged with a matching set of
arguments and returns the parameter value. Or, if optional
arguments are included, the function can return a subsidiary
parameter value.
[0715] Result, Party, and Outcome must exactly match the arguments
provided for a previously established SetResult parameter,
including quote marks.
[0716] Context is the name of a parameter that uses the Context
function to pinpoint its location.
[0717] If Context is argued without the SubsidiaryParameter
argument, the GetResult function returns the value of the Context
parameter.
[0718] SubsidiaryParameter (which can only be argued in conjunction
with Context) is the name of any parameter located under the same
subheading as the given Context parameter.
[0719] IF Function
[0720] IF(LogicalTest,ValueIfTrue,ValueIfFalse)
[0721] Returns one of two values depending on the results of a
logical test for a true or false condition.
[0722] LogicalTest is any expression that the application can
evaluate to be true or false.
[0723] ValueIfTrue is any value or expression you want the
application to return if LogicalTest is true. If you omit
ValueIfTrue and the LogicalTest evaluates to True, the application
returns the value True.
[0724] ValueIfFalse is any value or expression you want the
application to return if LogicalTest is false. If you omit
ValueIfFalse and the LogicalTest evaluates to False, the
application returns the value False.
[0725] The application can return text if it is encased in quote
marks.
[0726] Index (Definition)
[0727] An index is a type of parameter used to coordinate
values.
[0728] Elements on an index look like an underlined series of
column headings in a table.
[0729] In rows of values beneath the index, each value is keyed to
an element on the index.
[0730] You can create a date index to sort values over time, as
shown here.
[0731] INDEX Function
[0732] INDEX(Array,FirstIndex,SecondIndex, . . . )
[0733] Returns a value from any type of array based on the relative
position of the value within the array.
[0734] Array is the name of any array or date index parameter.
[0735] FirstIndex (and so on) is a whole number representing the
index key position for the value you seek.
[0736] INT
[0737] INT(Number)
[0738] Returns a number rounded down to the next integer of lesser
value.
[0739] Number is any real number you want to round down to the next
lowest integer.
[0740] Interpolate Prefix
[0741] Interpolate (Calendar):
[0742] Tells the application to interpret each of its values as a
lookup value that is linearly applied across its time period,
creating a stepped value for each day in the time period
[0743] You can then reference the Interpolate table (by parameter
name) in the formula to calculate values for a destination
parameter.
[0744] If Calendar is omitted, the application applies its own
calendar selection method.
[0745] If the destination date falls outside the date range of the
Interpolate parameter, the application uses the two Interpolate
dates that are closest to the destination date to figure the
stepped value.
[0746] In Smart Paper, the symbol identifies a parameter with
Interpolate table values.
[0747] Interval (Definition)
[0748] An interval is the length of a date index period calculated
as a portion of a year.
[0749] For example, the first interval on a StartDates index is 0.5
if the index is semiannual, 0.25 if the index is quarterly, and so
on.
[0750] On a StartDates index, the first interval begins on the
first date and ends on the day before the next index date. The last
date on the index is a zero-length interval (starts and ends on
same date).
[0751] On an EndDates index, the first date on the index is a
zero-length interval (starts and ends on same date). The second
interval begins the day after the first date and extends through
the next date on the index.
[0752] Interval Function
[0753] Interval (Date1, Date2, Calendar)
[0754] Calculates the numbers of years between two dates based on
the day-counting metrics of the given calendar.
[0755] The function is calculated as the sum of a whole number of
years and a fractional part. Only the fractional part is affected
by the calendar designation.
[0756] For example, the Interval between Feb. 15, 2000 and Mar. 15,
2001 using the calendar Actual.sub.--360 is 1+28/360, not
394/360.
[0757] For the most accurate results, format the row to permit
multiple decimal places.
[0758] Date1 and Date2 are any two single date expressions.
[0759] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0760] If Calendar is omitted, the application uses the decision
tree for multiple calendars to choose a method.
[0761] If you know Date1 and want to add an interval to obtain
Date2, see AddYears.
[0762] Key, Keyed (Definition)
[0763] A key is a point of coordination on an index that is used to
sort values.
[0764] Keys can be defined as dates, integers, or alphanumeric
strings encased in quote marks.
[0765] Each value in a array below the index is "keyed" to one
position (element) on the index.
[0766] Keys Function
[0767] Keys(Stream)
[0768] Returns the index used to coordinate the values in a numbers
stream.
[0769] A returned date index assumes the StartDates prefix (whereby
dates represent the beginnings of periods), even if the source
index uses the EndDates prefix.
[0770] You can also use the Dates function to return a date index
or a combination of date indexes.
[0771] Stream is the parameter name of a payment or income
stream.
[0772] Last Function
[0773] Last (Array)
[0774] Refers to the last value in a given array.
[0775] Array can be any numbers stream or date stream.
[0776] Last Keyword
[0777] Last Stream
[0778] Refer to the last date in a date stream in order to use the
date itself in another date stream.
[0779] LEFT Function
[0780] LEFT(String,NumChars)
[0781] Returns one or more of the leftmost characters of a text
string.
[0782] String is a series of text characters or a reference to a
parameter that contains text characters.
[0783] Enclose String in quote marks.
[0784] NumChars is the number of characters you want returned
starting with the first character. NumChars must be greater than or
equal to zero.
[0785] If NumChars is greater than the length of String, the
application returns all of String.
[0786] If you omit NumChars, the application returns the single
left-most character.
[0787] LEN Function
[0788] LEN(String)
[0789] Counts the number of characters in a text string, including
spaces.
[0790] String is a series of text characters or a reference to a
parameter that contains text characters.
[0791] Enclose the text string in quote marks.
[0792] LN Function
[0793] LN(Number)
[0794] Returns the natural logarithm of the number you specify.
[0795] Number must be a positive real number. The application
returns the natural logarithm of Number.
[0796] LOG Function
[0797] LOG(Number, Base)
[0798] Returns the logarithm of a number to a specified base.
[0799] Number must be a positive real number. The application
returns the logarithm of the number.
[0800] Base is the base of the logarithm. If you omit Base, the
application assumes it is 10.
[0801] LOG10 Function
[0802] LOG10(Number)
[0803] Returns the logarithm of a number to base 10.
[0804] Number must be a positive real number. The application
returns the logarithm of the number to base 10.
[0805] Lookup Function
[0806] Lookup(OutputList, InputList, LookupValue, Action,
NotFoundValue, Calendar)
[0807] Returns the occurrence of values shared between two
parameters keyed to different indexes.
[0808] OutputList is a parameter that contains the values to return
where there is a match between InputList and LookupValue.
[0809] Can be an indexed array (i.e. numbers stream) or a date
index.
[0810] If not specified, OutputList is assumed to be the natural
numbers (1;2;3 . . . ).
[0811] InputList is a parameter that contains or organizes the
LookupValue.
[0812] Can be an indexed array (i.e. numbers stream), an index, or
an unsorted (non-indexed) array.
[0813] If InputList is omitted and OutputList is an indexed array,
then InputList is assumed to be the index of OutputList. Otherwise,
it is assumed to be the natural numbers (1;2;3 . . . ).
[0814] If InputList is an unsorted array, then only exact value
matches are possible (Action must be 0).
[0815] LookupValue is a parameter that contains the values the
function should search for within the InputList.
[0816] Action specifies a code number for the type of result to
return when an exact match is not found.
[0817] NotFoundValue specifies the result to be returned if
LookupValue is not found in InputList according to the preceding
arguments.
[0818] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0819] If Calendar is omitted, the application applies its own
calendar selection method.
[0820] LOWER Function
[0821] LOWER(String)
[0822] Converts a text string to lower case.
[0823] String is a series of text characters or a reference to a
parameter that contains text characters. Enclose the text string in
quote marks.
[0824] Max Function
[0825] Max (argument1, argument2, . . . )
[0826] Returns a scalar value or array of values, depending on the
number of arguments given and if the Max parameter is indexed.
[0827] Argumentn (and so on) is any number or parameter name.
[0828] MaxByIndex Function
[0829] MaxByIndex (argument1, argument2, . . . )
[0830] Returns array in which each position holds the maximum value
found at the corresponding position within a set of arguments.
[0831] Argumentn (and so on) is any number or parameter name.
[0832] MaxOfAll Function
[0833] MaxOfAll (argument1, argument2, . . . )
[0834] Returns the single maximum value found in a set of
arguments.
[0835] Equivalent to MAX in Microsoft Excel.
[0836] Argument is any number or parameter name.
[0837] MID Function
[0838] MID(String,StartNum,NumChars)
[0839] Extracts one or more characters from within a string.
[0840] String is a series of text characters or a reference to a
parameter that contains text characters. String contains the
characters you want to extract.
[0841] Enclose String in quote marks.
[0842] StartNum is the position of the first character you want to
extract.
[0843] If StartNum is greater than the length of String or less
than 1, the application returns an error.
[0844] NumChars is the number of characters you want to extract,
starting with the character in the StartNum position.
[0845] If StartNum plus NumChars is greater than the length of
String, the application returns the characters up to the end of
String.
[0846] Min Function
[0847] Min (argument1, argument2, . . . )
[0848] Returns a scalar value or array of values, depending on the
number of arguments given and if the Min parameter is indexed.
[0849] Argumentn (and so on) is any number or parameter name.
[0850] MinByIndex Function
[0851] MinByIndex (argument1, argument2, . . . )
[0852] Returns array in which each position is the minimum value
found at the corresponding position within a set of arguments.
[0853] Argumentn (and so on) is any number or parameter name.
[0854] MinOfAll Function
[0855] MinOfAll (argument1, argument2, . . . )
[0856] Returns the single minimum value found in a set of
arguments.
[0857] Equivalent to MIN in Microsoft Excel.
[0858] Argumentn (and so on) is any number or parameter name.
[0859] MOD Function
[0860] MOD(Number,Divisor)
[0861] Returns the remainder of a number after a division.
[0862] Number is any numeric value for which you want to find a
remainder.
[0863] Divisor is any numeric value by which you want to divide the
number. If the divisor is zero, the application returns an
error.
[0864] Month Function
[0865] Month(Date)
[0866] Returns an integer between 1 and 12 that represents the
month in a date value.
[0867] Date is any single date expression.
[0868] MonthEndOf Function
[0869] MonthEndOf(Date)
[0870] Returns the last calendar day of the month for a given date
scalar or stream.
[0871] This function is typically used to produce a date stream
consisting of the last days of months, the equivalent of writing
the date constant 31 MON YEAR.
[0872] Date streams based on the MonthEndOf date display the last
calendar day of each month, but each date behaves as the 31.sup.st
when used in formulas.
[0873] Date is any single date expression.
[0874] Monthly Keyword
[0875] Monthly is a frequency keyword used to define the interval
between continuing dates in a date stream.
[0876] Monthly_MISF_Yield Function
[0877] Monthly_MISF_Yield (Flows, SinkingFundRate)
[0878] Returns the nominal monthly MISF yield of a given array of
cash flows.
[0879] This function uses a built-in search (invisible to you) to
determine the rate of return to apply to a set of cash flows in
order to end up with a net investment balance of 0 on the last
yield date.
[0880] Use this function in place of the MISFYieldByMonth template
when you do not need to assert or constrain the result.
[0881] Flows is the parameter name for a set of cash flows keyed to
a monthly date index.
[0882] If you argue a payment stream that is keyed to a different
frequency, the result will be incorrect.
[0883] SinkingFundRate is a percentage. The default is 0%.
[0884] Next Function
[0885] Next(Array,LastValue)
[0886] Returns an array in which, relative to the current position,
each value refers to the next sequential value in a source
array.
[0887] Array is the name of the current parameter or the name of a
source array from which you want to retrieve the next values.
[0888] This function and the Previous function can be used to
create self-referential formulas.
[0889] LastValue is a value used to calculate the final value of
the array.
[0890] NoIndex Prefix
[0891] NoIndex: Remainder of Formula
[0892] Lets you specify that a parameter is not keyed to an index,
even if the parameter appears to be within the scope of an
index.
[0893] Typically, you use the NoIndex prefix to identify a scalar
value that happens to be placed in the scope of a date index.
[0894] NOT Function
[0895] NOT(Condition)
[0896] Reverses the logical truth or falseness of the argument.
[0897] Condition is an expression that the application can evaluate
to be true or false. If Condition is true, the application returns
False. Otherwise, the application returns True.
[0898] Null Function
[0899] Null
[0900] Returns a null (blank) value as opposed to the number
zero.
[0901] ODD Function
[0902] ODD(Number)
[0903] Returns a number rounded up to the next odd integer away
from zero.
[0904] Number is the numeric value you want to round up. If Number
is an odd integer, the application does not round it up.
[0905] On Keyword
[0906] On Date
[0907] Assigns a given value to the given date, or (with the Except
keyword) lets you exclude a value on the given date.
[0908] The value can precede the keyword or follow the date.
[0909] If the given date does not a match a date in the index, the
value is ignored.
[0910] Optimize Prefix
[0911] Optimize (Count/Date, Variability, Scale, Restriction):
[0912] Tells the application to calculate values to meet the
objective function of a case. An example of an Objective Function
is the total cash of a transaction.
[0913] If you have entered a constraint on the parameter, the
application calculates an optimized value that meets the
requirements defined by the constraint.
[0914] After you perform an optimization in the Optimization
chapter, the application replaces the entire formula in each
parameter that has the Optimize prefix with the calculated
value(s).
[0915] If you want to retain a portion of a parameter formula,
split the formula between two parameters.
[0916] In one parameter, use the Optimize prefix and enter the
portion of the formula that can be replaced with values.
[0917] In the other parameter, do not use the Optimize prefix.
Enter the portion of the formula you want to retain, and refer to
the parameter that contains the Optimize prefix.
[0918] You can combine the Optimize prefix with other prefixes in a
formula. For example:
Advance Optimize(arg1, arg2, arg3, arg4):
[0919] Count/Date is the number of, or last date of, the elements
in the parameter to be set. If you omit a value for this argument,
the application returns a value for each position in the parameter
index.
[0920] For Count/Date, you can also enter the number of periods
(such as 30 years), or the end date (such as Dec. 31, 2010), or the
number of elements in the parameter you want to set.
[0921] Variability is one of the following functions:
[0922] Variable. Allows any value to be returned.
[0923] IntegerVariable. Allows integer values only to be
returned.
[0924] BinaryVariable. Allows one or zero only to be returned.
[0925] Constant. Does not allow the current value(s) to change. Use
this option to freeze a value from a previous optimization.
[0926] You can also enter a formula for any of the Variability
options. Enter the formula in place of the Variability option, or
refer to a parameter that has the formula.
[0927] Scale. If Variability is set to Integer or BinaryVariable,
enter the scale you want to use.
[0928] Restriction can be one of the following functions:
[0929] None. There are not any restrictions on the values
returned.
[0930] Increasing. The values returned must be in ascending order
(x1<=x2<=x3 . . . ).
[0931] Decreasing. The values returned must be in descending order
(x1>=x2>=x3 . . . ).
[0932] OnlyOne. Only one of the values returned can be
non-zero.
[0933] OnlyTwo. Only two of the values returned can be non-zero,
and they must be adjacent.
[0934] You can also enter a formula for any of the Restriction
options. Enter the formula in place of the Restriction option, or
refer to a parameter that has the formula.
[0935] OR Function
[0936] OR(condition1,condition2, . . . )
[0937] Returns the logical value True if any of the arguments are
true. If all of the arguments are false, returns False.
[0938] Condition1, condition2, and so on are the conditions you
want to test for being true or false.
[0939] Parameter (Definition)
[0940] A parameter is data that represents a calculation and can be
used in other calculations.
[0941] The components of a parameter include its name, its formula,
and the value(s) computed as a result of the formula.
[0942] The formula for one parameter can refer to other
parameters.
[0943] You create and view parameters on sheets of Smart Paper.
[0944] PeriodEdge Function
[0945] PeriodEdge (Date, Periods, First/Last,
Containing/Following)
[0946] Returns the first or last day in a period. You can specify
whether you want the day to be in the period, or before or after
the period.
[0947] Date is any single date expression.
[0948] Periods is the parameter name of the date index that
contains the period of interest.
[0949] First/Last requires the logical value True or False.
[0950] Enter True to get the last date.
[0951] Enter False to get the first date.
[0952] Containing/Following requires the logical value True or
False.
[0953] Enter True to get a date within the defined period.
[0954] Enter False to get a date within the period that follows the
defined period.
[0955] PeriodEnd Function
[0956] PeriodEnd(Period)
[0957] Returns the end date of a period defined by a set of bookend
dates.
[0958] Period is expressed mm/dd/yy to mm/dd/yy (you cannot use a
parameter reference for either date).
[0959] PeriodIntersection Function
[0960] PeriodIntersection (PeriodStream1, PeriodStream2)
[0961] Returns a period stream based on the intersecting dates of
two other period streams.
[0962] PeriodStream1 is the parameter name of a date stream.
[0963] PeriodStream2 is the parameter name of a date stream.
[0964] PeriodInterval Function
[0965] PeriodInterval (Offset, Calendar)
[0966] Maps a numbers stream into a set of user-defined
intervals.
[0967] If you need to use the period interval for a parameter with
an Advance or Arrears prefix, use AccrueInterval.
[0968] Offset is an integer that defines the periods in which to
return interval values.
[0969] A blank or 0 offset assumes an interval of each period
containing a value.
[0970] A+1 offset assumes the interval of the next period of value,
+2 includes the next two periods of value, and so on.
[0971] A-1 offset assumes the interval of the previous period of
value, -2 includes the previous two intervals, and so on.
[0972] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0973] If Calendar is omitted, the application applies its own
calendar selection method.
[0974] PeriodLength Function
[0975] PeriodLength (Period, Calendar)
[0976] Returns the portion in years of a period according to
specified calendar.
[0977] Period is a pair of dates expressed as mm/dd/yy to mm/dd/yy
(do not use a parameter reference).
[0978] Calendar is a calendar method such as Actual.sub.--360,
European.sub.--30.sub.--360, and so on.
[0979] If Calendar is omitted, the application applies its own
calendar selection method.
[0980] Periods Function
[0981] Periods (IncomeStream)
[0982] Returns a stream of periods to which values in the given
numbers stream are keyed.
[0983] IncomeStream is the parameter name of a payment or income
stream.
[0984] PeriodStart Function
[0985] PeriodStart (Period)
[0986] Returns the start date of a period defined by a set of
bookend dates.
[0987] Period is expressed mm/dd/yy to mm/dd/yy (you cannot use a
parameter reference for either date).
[0988] PeriodStream Function
[0989] PeriodStream (StartDate, DateStream, EndDate)
[0990] Creates a period stream from a pair of bookend dates and an
existing date stream.
[0991] StartDate is the first date of the first period in the
stream to be created.
[0992] DateStream is the parameter name of the date stream that
contains the periods to be used in the period stream following the
given StartDate.
[0993] EndDate is the end date of the last period in the period
stream to be created.
[0994] POWER Function
[0995] POWER(Number,Power)
[0996] Returns a number raised to the power you specify.
[0997] Number is any real number you want to raise to a power.
[0998] Power is the exponent to which you want to raise the
number.
[0999] Prefix (Definition)
[1000] A prefix is a keyword you use at the beginning of a formula.
The prefix applies to all the values in the formula and determines
how the values apply to time periods.
[1001] Previous Function
[1002] Previous (Array, FirstValue)
[1003] Returns an array in which, relative to the current position,
each value refers to the preceding value in a source array.
[1004] Array is the name of the current parameter or the name of a
source array from which you want to retrieve the previous
values.
[1005] The design of this function permits it to be
self-referential without returning a circular reference error. See
example.
[1006] FirstValue defines a value to assume for the first position
in the resulting array.
[1007] The inverse of this function is the Next function.
[1008] Quarterly Keyword
[1009] Quarterly is a frequency keyword to define the interval
between continuing dates in a date stream.
[1010] RegularAscendingArray Function
[1011] RegularAscendingArray (Start, Step, Number)
[1012] Creates an ascending array of in which each value increases
by a specified increment.
[1013] Start is the first value of the array.
[1014] Step is the amount you want to add to the starting value and
each resulting value to create the next value in the array.
[1015] Number is an optional number of values you want in the
resulting array.
[1016] RegularDateStream Function
[1017] RegularDateStream (StartDate, Frequency, Number, SecondDate,
LastDate, Term)
[1018] Creates a date stream or date index.
[1019] You can obtain the same results with natural stream language
or the date stream composer.
[1020] All arguments are optional, but not all combinations of
arguments are compatible.
[1021] For example, if you provide StartDate, Frequency, and
Number, the SecondDate and Term arguments will either repeat or
contradict what is already defined.
[1022] Use any single date expression to express StartDate,
SecondDate, and LastDate.
[1023] StartDate is the first date in the stream.
[1024] Frequency is Monthly, Quarterly, Annual or Semiannual.
[1025] Number is the number of dates to be included in the
stream.
[1026] SecondDate is the second date in the stream.
[1027] LastDate is the last date in the stream. Omit LastDate to
create an unterminated stream.
[1028] Term is the elapsed time between StartDate and LastDate. It
can be given as an elapsed time expression or in the form of the
ElapsedTime function.
[1029] REPLACE Function
[1030] REPLACE(OldString,StartNum,NumChars,NewString)
[1031] Replaces a portion of a text string with another string.
[1032] OldString is the text string you want to replace. It can be
given as a series of text characters or as a reference to a
parameter that contains text characters.
[1033] Enclose OldString in quote marks.
[1034] StartNum is the position of the first character in OldString
that you want to replace.
[1035] NumChars is the number of characters you want to replace
starting with the character in the StartNum position.
[1036] NewString is the string you want to insert as a replacement
for OldString.
[1037] REPT Function
[1038] REPT(String,NumberTimes)
[1039] Repeats a text string the number of times you specify.
[1040] String is a series of text characters or a reference to a
parameter that contains text characters. String is the text string
you want to repeat.
[1041] Enclose String in quote marks.
[1042] NumberTimes is the number of times you want to repeat
String. If NumberTimes is zero, the application returns an empty
text string.
[1043] RIGHT Function
[1044] RIGHT(String,NumChars)
[1045] Returns one or more rightmost characters of a text
string.
[1046] String is a series of text characters or a reference to a
parameter that contains text characters
[1047] Enclose String in quote marks.
[1048] NumChars is the number of characters you want to extract
starting with the last character. NumChars must be greater than or
equal to zero.
[1049] If NumChars is greater than the length of String, the
application returns all of String.
[1050] If you omit NumChars, the application uses 1.
[1051] Role (Definition)
[1052] A role is the name for the set of properties that defines
Party interaction with an Instrument.
[1053] Roles are defined by the flow of connective endpoints of
instruments.
[1054] For example, when a Rent instrument is drawn between two
parties, the connector begins with the Lessee and terminates with
the Lessor to reflect the direction of payments.
[1055] ROUND Function
[1056] ROUND(number,num_digits)
[1057] Returns a number rounded to the number of digits you
specify.
[1058] Number is any number you want the application to round up or
down.
[1059] Num_digits is the number of digits you want in the resulting
number.
[1060] If Num_digits is greater than zero, then the application
rounds Number to the number of decimal places you specify.
[1061] If Num_digits is zero, then the application rounds Number to
the nearest integer.
[1062] If Num_digits is less than zero, then the application rounds
Number to the left of the decimal point.
[1063] ROUNDDOWN Function
[1064] ROUNDDOWN(number,num_digits)
[1065] Returns a number rounded down to the number of digits you
specify.
[1066] Number is any number you want the application to round
down.
[1067] Num_digits is the number of digits you want in the resulting
number.
[1068] If Num_digits is greater than zero, then the application
rounds Number down to the number of decimal places you specify.
[1069] If Num_digits is zero, then the application rounds the
Number down to the nearest integer.
[1070] If Num_digits is less than zero, then the application rounds
Number down to the left of the decimal point.
[1071] ROUNDUP Function
[1072] ROUNDUP(number,num_digits)
[1073] Returns a number rounded up (away from zero) to the number
of digits you specify.
[1074] Number is any number you want the application to round
up.
[1075] Num_digits is the number of digits you want in the resulting
number.
[1076] If Num_digits is greater than zero, then the application
rounds Number up to the number of decimal places you specify.
[1077] If Num_digits is 0, then the application rounds Number up to
the nearest integer.
[1078] If Num_digits is less than 0, then the application rounds
Number up to the left of the decimal point.
[1079] Scalar Parameter (Definition)
[1080] A scalar parameter defines a single quantity that does not
change over time or other direction. A scalar parameter is not
attached to a key position (such as a date) on an index, even if
the scalar parameter happens to be located in the scope of an
index.
[1081] To create a scalar parameter under an index, use the NoIndex
prefix.
[1082] Search Prefix
[1083] The Search prefix tells the application to perform search
and repetitive calculations to determine the value of a scalar
parameter.
[1084] There are three ways to use the Search prefix:
[1085] 1) Optimization search (also known as a multistep or 3-step
search)
[1086] 2) Targeted search (also known as a 5-step search)
[1087] 3) Maximization search
[1088] Optimization Search
[1089] Search (LowerBound, UpperBound, SearchAccuracy):
[1090] In an optimization search, you set up the Search parameter
formula, then you perform an optimization with an objective
function.
[1091] Also known as a multistep search or a three-argument
search.
[1092] Successive optimizations are performed until the best
objective function is found. For example, "Find the best EBO date
to meet the Present Value objective where PV objective is itself an
optimized value."
[1093] LowerBound is the minimum value in the range of values you
want to optimize within. For example, if you are looking for a
percentage no smaller than 2%, enter 2%.
[1094] UpperBound is the maximum value in the range of values you
want to optimize within. For example, if you are looking for a
percentage no higher than 25%, enter 25%.
[1095] SearchAccuracy is the degree of accuracy your search
requires.
[1096] For example, enter 0.1 to search for values within 10% of
the target.
[1097] Targeted Search
[1098] Search (LowerBound, UpperBound, SearchAccuracy,
TargetExpression, TargetValue, TargetAccuracy, InitialGuess):
[1099] Searches for a value for which the target expression equals
the target value. For example:
[1100] "Find me an interest rate that will give me 200$ TV over
this term of investment."
[1101] Interest rate=search prefix
[1102] 200$ TV=target value
[1103] term of investment=target expression
[1104] In this example, the search stops whenever a value is found
for which the difference is less than the target accuracy.
[1105] LowerBound is the minimum value in the range of values you
want to optimize within. For example, if you are looking for a
percentage no smaller than 2%, enter 2%.
[1106] UpperBound is the maximum value in the range of values you
want to optimize within. For example, if you are looking for a
percentage no higher than 25%, enter 25%.
[1107] SearchAccuracy is the degree of accuracy your search
requires.
[1108] For example, enter 0.1 to search for values within 10% of
the target.
[1109] TargetExpression is the name of the parameter that will
contain the target value.
[1110] TargetValue is the name of the parameter that defines
objective of the search.
[1111] TargetAccuracy is the extent to which the search should
continue, i.e. you can enter a value like ? to truncate the search
(speed it up).
[1112] If not supplied, the search continues until the variable is
known to be within the SearchAccuracy value.
[1113] InitialGuess is another way to accelerate the search by
indicating a starting point--i.e. if you are expecting a value
between 10% and 15%, set InitialGuess to 10%.
[1114] If InitialGuess is omitted, the search starts at the current
value.
[1115] Semiannual Keyword
[1116] Semiannual (or Semiannually) is a frequency keyword used to
define the interval between continuing dates in a date stream.
[1117] Semicolon (;) Keyword
[1118] The semicolon symbol (;) stops the current sequence of dates
or values in a stream. The stream then continues or ends according
what follows the semicolon in the formula.
[1119] In a date stream, use a semicolon to interrupt the stream of
anniversaries at one frequency and continue them at a different
frequency.
[1120] In a numbers stream, use multiple semicolons to omit values
under key positions in an index.
[1121] If value; is the first portion of the formula, value is
assumed to coincide with the first key position on the index.
[1122] SetResult Prefix
[1123] SetResult (Result, Party, Outcome):
[1124] The SetResult prefix lets you define a three-argument
identity of sorts to bookmark a value. You can then retrieve the
value, when needed, with the Get Result function.
[1125] The values you provide for Result, Party, and Outcome can be
arbitrary, provided you follow rules for using quote marks as given
below.
[1126] For example, the arguments("Amo","Amas","Amat") work just as
well as ("MyResult",Lessor,"BaseOutcome").
[1127] Result is any alphanumeric text encased in quote marks.
[1128] Party is any alphanumeric text encased in quote marks, or it
can be the name of a role (without quote marks) within the case.
For example, you can use Lessor when a Rent instrument is
present.
[1129] Outcome is any alphanumeric text encased in quote marks.
[1130] SIGN Function
[1131] SIGN(Number)
[1132] Returns the sign of a number. If the number is positive, the
application returns 1; if the number is 0, the application returns
0; if the number is negative, the application returns -1.
[1133] Number is any real number.
[1134] Source Parameter (Definition)
[1135] A source parameter is one that contains data you want to use
in another parameter.
[1136] For example, in writing a formula to show accrued rent, you
would refer to the parameter that contains actual rent levels as
the source of data.
[1137] The formula that shows the accrued rent is the destination
parameter.
[1138] SORT Function
[1139] SQRT(Number)
[1140] Returns the positive square root of a number.
[1141] Number is any numeric value.
[1142] If the number is negative, the application returns an
error.
[1143] StartDates Prefix
[1144] Indicates that each date on the index (except the last date)
represents the FIRST day of a period.
[1145] Each period begins as of the index date and ends on the day
before the next index date.
[1146] The last date in the index is a bookend. It does not
represent the start of a new period.
[1147] StartDates is the default when the date stream formula does
not specify a period prefix.
[1148] The .fwdarw. symbol indicates the StartDates prefix.
[1149] StartDatesOf Function
[1150] StartDatesOf (First, Second, . . . )
[1151] Returns the combined dates used to organize a set of number
streams, first converting them to start dates if necessary.
[1152] This lets you create an index comprising the date values of
various indexed parameters without having to remember anything
about the indexes themselves.
[1153] If an argued numbers stream is keyed to an StartDates: date
index, the function returns the dates as they appear on that
index.
[1154] If an argued numbers stream is keyed to an EndDates date
index, the function first adds one day to each date to return it as
a start date.
[1155] First (and so on) are the parameter names of numbers streams
(tables, cash and income streams).
[1156] The similar StartDatesOfPeriods function slows down
optimization performance, but it is more flexible in the types of
arguments it accepts.
[1157] StartDatesOfPeriods Function
[1158] StartDatesOfPeriods (First, Second . . . )
[1159] Derives period end dates for one or more numbers streams
and/or date indexes, then creates a date index of dates that
reflect the start dates of the underlying periods. Also
incorporates dates or date streams given as arguments.
[1160] To calculate dates for the result, the function adds one day
each to the collected end dates.
[1161] First (and so on) can be any one or more of the
following:
[1162] parameter name of an EndDates date index.
[1163] parameter name of a numbers stream (i.e. income or payment
flow, table) that is keyed to a EndDates date index.
[1164] single date expression or date stream expression
[1165] Starting Keyword
[1166] Starting Date
[1167] Defines the first date in a date stream or assigns the first
value in a numbers stream to the given date.
[1168] SubArray Function
[1169] SubArray (Array, Start,Count)
[1170] Returns a portion of an existing array as of a specified key
position.
[1171] Array is the name of any array parameter: a numbers stream,
a date index, and so on.
[1172] Start specifies the key position in the source array that
contains the first element you want to retrieve.
[1173] Count specifies the number of elements you want to retrieve
from the source array.
[1174] SUBSTITUTE Function
[1175] SUBSTITUTE (String, OldString, NewString, InstanceNum)
[1176] Substitutes any number of instances of a text string with
another text string.
[1177] String is the text string in which you want to substitute
characters.
[1178] OldString is the text string you want to replace.
[1179] NewString is the text string you want to insert in place of
OldString.
[1180] InstanceNum specifies the instance of OldString you want to
replace. If you omit InstanceNum, the application changes every
occurrence of OldString to NewString.
[1181] Subtotal Function
[1182] Subtotal (Heading, Index, Parameter)
[1183] Returns the total of all values in one or more indexed
parameters of the same name under a given heading.
[1184] Heading is closest heading above the parameter.
[1185] Index is the name of the date index (or other index) to
which the parameter is linked.
[1186] Parameter is the parameter name.
[1187] SUM Function
[1188] SUM(argument1,argument2, . . . )
[1189] Returns the sum of all values in all of the arguments.
[1190] Argument1, argument2, can be numbers, logical values (such
as True), or arrays that you want the application to add.
[1191] SumToDate Function
[1192] SumToDate (Value, Date)
[1193] Returns a single number that is the sum of an array up to,
but not including, the specified date.
[1194] This function is useful in defining a truncation point for
an accrued payment or income stream.
[1195] Value is the name of a numbers stream.
[1196] If Value is a non-accrued numbers stream, the function
returns the sum of values on dates that precede the given date. See
Result.sub.--1 in example.
[1197] If Value is an accrued numbers stream, the function returns
the total accrual from the beginning of time up to (not including)
the given date. See Result.sub.--2 in example.
[1198] Date is any single date expression.
[1199] Date is optional in the SumToDate function when it is nested
inside the Truncate function (SumToDate defaults to the Truncate
date).
[1200] Table Prefix
[1201] Table: Values
[1202] The Table prefix tells the application to interpret each
value in the parameter as a simple lookup value along a date
index.
[1203] When you reference the Table parameter in the formula to
calculate values for a destination parameter, the application
applies the table value in effect as of the Table parameter period
that contains the destination parameter date.
[1204] If a date for the destination parameter falls outside the
date range of the Table parameter, the application applies the
Table value that occurs closest to the destination date.
[1205] In Smart Paper, the symbol identifies a parameter with Table
values.
[1206] TableValue Function
[1207] TableValue (Table, Value)
[1208] Extracts a value or values from a table.
[1209] Table is the name of any parameter with a Table or
Interpolate prefix.
[1210] Value is any expression of a single value or array of values
that is compatible with the index to which Table is keyed (usually
dates).
[1211] Then Keyword
[1212] Stops the current sequence of continuing dates in a date
stream. The stream re-continues or ends according what follows in
the formula.
[1213] Use Then to create a date stream with different frequencies
for different portions of the stream.
[1214] Thereafter Keyword
[1215] Assigns the given value to each remaining period on the
current index according to the payment prefix, unless:
[1216] the Except keyword is added, or
[1217] the formula also contains the Advance prefix, so that there
is no value applicable to the last date of the index.
[1218] TimeSlice Function
[1219] TimeSlice (Timeline, StartDate, EndDate)
[1220] Returns a date stream using given dates and dates from
another date stream.
[1221] Timeline is the name of a date stream parameter or a Time
Organizer timeline.
[1222] The referenced Timeline must contain at least one date that
falls between the argued StartDate and EndDate.
[1223] StartDate is any valid date expression.
[1224] EndDate is any valid date expression later than
StartDate.
[1225] Today Function
[1226] Today
[1227] Returns the current date.
[1228] TRIM Function
[1229] TRIM(String)
[1230] Changes multiple blank spaces between words to a single
space.
[1231] String is a series of text characters or a reference to a
parameter that contains text characters. String is the text in
which you want the application to delete spaces.
[1232] Enclose String in quote marks.
[1233] TRUE Function
[1234] TRUE
[1235] Returns the logical value True.
[1236] TRUNC Function
[1237] TRUNC(Number)
[1238] Converts a number to an integer by removing the fractional
part of the number. The application rounds the number down to the
next integer toward zero.
[1239] Number is any numeric value.
[1240] Truncate Function
[1241] Truncate (Value, TruncationDate, TruncationValue)
[1242] Returns a numbers stream stops as of the index date that
precedes the given truncation date.
[1243] Value is the name of a numbers stream.
[1244] TruncationDate is any single date expression.
[1245] TruncationValue is an extra amount to add in on the actual
TruncationDate.
[1246] Union Function
[1247] Union(Argument1,Argument2, . . . )
[1248] Combines all values found within the given arguments and
returns an ascending array with duplicates removed.
[1249] Typically used to combine multiple date indexes into a
single date index.
[1250] Argument1, argument2, and so on are names of parameters or
indexes. The arguments can be any scalar or array value, including
constants or parameter references.
[1251] Until Keyword
[1252] Until Date
[1253] Assigns the last value in a sorted numbers stream to the key
position that contains the given date.
[1254] Unsorted Array (Definition)
[1255] An unsorted array is a type of array parameter that
comprises a series of independent values. That is, the values are
not keyed to an index (even if the unsorted array appears below an
index).
[1256] You use the List: prefix to create an unsorted array.
[1257] You can give an unsorted array the appearance of an index,
but it will not behave as an index.
[1258] For example, you cannot key values to unsorted array
elements, and the application cannot calculate or measure the
"value" of unsorted array elements.
[1259] UPPER Function
[1260] UPPER(String)
[1261] Converts a text string to upper case.
[1262] String is a series of text characters or a reference to a
parameter that contains text characters.
[1263] Enclose String in quote marks.
[1264] US.sub.--30.sub.--360 Function
[1265] This is one of four calendar methods you can choose to
evaluate intervals between dates for the purposes of
calculation
[1266] Consists of twelve 30-day months (each month is one
12.sup.th of the year).
[1267] February is given two extra days.
[1268] The status of the 31.sup.st depends on how dates relate to
periods.
[1269] WhenActive Function
[1270] WhenActive(Parameter,Default)
[1271] If the first argument is active, the function returns the
value of the first argument. If first argument is inactive, the
function returns the second argument.
[1272] Parameter is any parameter name.
[1273] Default is a number or parameter name for the value(s) you
want the function to return if the status of the first argument is
inactive.
[1274] YEAR Function
[1275] YEAR(Date)
[1276] Determines the year for a given date.
[1277] Date is any single date expression.
[1278] As is readily apparent from the description of the invention
above, the instant financial modeling and analysis tool provides a
user friendly, effective and efficient tool for modeling financial
or other mathematical scenarios of almost any kind. The graphical
user interface combined with the powerful engine provide a greatly
improved modeling tool as compared to the prior art.
[1279] It is noted that the invention is not limited to modeling
financial scenarios or deals, but, instead, can be used to model
any scenario involving mathematical values over time.
[1280] The implementations described above illustrate the
characteristics, features and advantages of the present invention.
These implementations, of course, are not exhaustive, and other
implementations within the scope and spirit of the present
invention will be apparent to those skilled in the art. In other
words, while the invention has been described in connection with
what is presently considered to be the most practical and preferred
embodiments, it is to be understood that the invention is not to be
limited to the disclosed embodiments, but on the contrary, is
intended to cover various modifications and equivalent arrangements
which fall within the true spirit and scope of the appended
claims.
* * * * *