CreditAnalytics is a full featured financial fixed-income credit analytics, credit risk, bond analytics and bond risk library, developed with a special focus towards the needs of the credit trading and bond trading community (CDS, CDX, CDO, and bonds of all types and variants).
Lakshmi Krishnamurthy v2.19 March 2013
CreditAnalytics and CreditProduct are part of CreditSuite – open suite analytics and trading/valuation system for credit products. Detailed documentation and downloads may be found here.
CreditProduct provides the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pricing, and product parameters). To facilitate this, it implements various day count conventions, holiday sets, period generators, and calculation outputs.
CreditProduct library achieves its design goal by implementing its functionality over several packages:
•Dates and holidays coverage: Covers a variety of day count conventions, 120+ holiday locations, as well as custom user-defined holidays
•Curve and analytics definitions: Defines the base functional interfaces for the variants of discount curves, credit curves, and FX curves
•Market Parameter definitions: Defines quotes, component/basket market parameters, and custom scenario parameters
•Valuation and Pricing Parameters: Defines valuation, settlement/
•Product and product parameter definitions: Defines the product creation and behavior interfaces for Cash/EDF/IRS (all rates), bonds/CDS (credit), and basket bond/CDS, and their feature parameters.
•Output measures container: Defines generalized component and basket outputs, as well customized outputs for specific products
CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces defined in CreditProduct. It also implements a curve/parameter
CreditAnalytics library achieves its design goal by implementing its functionality over several packages:
•Curve calibration and creation: Functional implementation and creation factories for rates curves, credit curves, and FX curves of al types
•Market Parameter implementation and creation: Implementation and creation of quotes, component/basket market parameters, as well as scenario parameters.
•Product implementation and creation: Implementation and creation factories for rates products (cash/EDF/IRS), credit products (bonds/CDS), as well as basket products.
•Reference data/marks loaders: Loaders for bond/CDX, as well a sub-universe of closing marks
•Calculation Environment Manager: Implementation of the market parameter container, manager for live/closing curves, stub/client functionality for serverization/
•Samples: Samples for curve, parameters, product, and analytics creation and usage
•Unit functional testers: Detailed unit scenario test of various analytics, curve, parameter, and product functionality.
Download CreditAnalytics binary along with the complete CreditSuite source from the link here.
To install CreditAnalytics, put the CreditAnalytics
Oracle ODBC driver is optional – it is used for the ref data connection.
Licence
CreditAnalytics is distributed under the Apache 2.0 licence - please see the attached Licence for details.
Project information
- Maintainer:
- Lakshmi Krishnamurthy
- Driver:
- Not yet selected
- Licence:
- Apache Licence
View full history Series and milestones
2.3 series is the current focus of development.
All blueprints Latest blueprints
-
FX Curve Regression
Registered -
Zero Curve Regression
Registered -
Credit Curve Regression
Registered -
Discount Curve Regression
Registered -
Credit Analytics Regression Framework
Registered