Credit Analytics 1.5 Release

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2012-05-29

CreditAnalytics is a full featured fixed income credit analytics library, developed with a special focus towards the needs of the credit products community (CDS, CDX, CDO, and bonds of all types and variants).

What's new in Credit Analytics 1.5:

Regressor Framework: Implementation of the regressor set, tolerance check, curve scenario regressors, regression framework suite, and the eventual regression output.
 Discount Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied rates and discount factors.
 Credit Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied hazard rates, recoveries, and survival.
 FX Curve Regression: Creation of the basis and forward curves, conversion from one to another, and implying of the basis nodes and the enhanced discount curve on the domestic/foreign discount curves.
 Zero Curve Regression: Creation of the zero curve from the product cash flow nodes, implying of the zero rates and zero discount factors at the relevant nodes.