News and announcements

Credit Analytics 2.3 Release

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2014-01-24

· Basis Spline Library Extensions:
o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)
o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)
o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set
o Penalty evaluated Regression Splines
o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.
· B Spline Functionality:
o Raw/Processed Basis Hat Functions Implementation
o Synthetic Monic Basis B Spline generation with shape control
o B Spline Sequence build-out using multic segment basis function aggregation
o Custom closed form cubic KLK Hyperbolic Tension
o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage
· Spline Based Discount Curve Build-Out:
o Shape Preserving Discount Curve Build with and without turn list adjustment
o Smoothing Discount Curve Build Pass with and without turn list adjustment
o Transition Spline Based Discount Curve Construction
o Estimation of the in-situ discount curve input quote Jacobian
o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE
· Spline Based Forward Curve Build-Out:
o Shape Preserving Forward Curve Build
o Smoothing Forward Curve Build Pass
o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float
o Labeled correlated discount factor/forward rate merge sub-stretch setup
o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian
· Canned Product Metric Calculation:
o Day-over-day discount curve build-out for 20 years for EM/G10
o 1D/1M/3M/6M Carry PnL
o 1D/1M/3M/6M Curve Roll Down PnL
o 1D Curve Shift PnL
o Daily Forward Rate Matrix

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Credit Analytics 2.2 Release

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2013-08-15

· CreditAnalytics Integration with Non-linear fixed-point searcher: Integration of the curve builder functionality with non-linear fixed-point searcher – with multiple search algorithms. Incorporation of linear searches as well.
· Rich Set of Bloomberg Samples: Full replication of the standard BBG screens – YAS, SWPM, and CDSW – along with the measure details and cash flows. Also added targeted RV measures and multi-leg swap samples.
· Product/Curve Jacobian Generation: Curve/Product Jacobian generation, both independent, and as part of the calibration, using adjoint algorithmic differentiation. Jacobians are available across the full set of curve construction/splining techniques.
· Serverization of CreditAnalytics: Build-out of CreditAnalytics Stub and CreditAnalytics Proxy to act as the distributor of the CreditAnalytics functionality. Incorporation of bit-wise serialization and de-serialization across all product, computed output, curves, quotes, and parameters.
· CreditAnalytics Integration with the Basis Spline Library: Integration of the design components, calibration formulation, implementation framework, and sufficiency evaluation/Jacobian generation in conjunction with the Basis Spline Library. Also exposing the full variety of discount curve construction techniques available using the basis spline library

Credit Analytics 2.1 Release

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2013-03-12

· Fast, Multi-layer, interpolating curve building: Discount/Credit Curve build out using
highly efficient and robust curve calibration techniques. Also customize the build out
based off of different node interpolation techniques, curve variate parameters, and
boundary conditions.
· Fast calibration of CDS/bond measures: Make the calibration of the bond/CDS
calibration much more faster and robust. For bonds, the new calibration is applied for
yield, Z Spread, and implied credit spread. For CDS, the new calibration is applied to
flat spreads.
· Calculation of Curve Self-Jacobian: Calculation of the curve Jacobian of the
characterizing curve variate to itself. This curve variate could be discount factor, zero
rate, or forward rate. Process also involves evaluating the corresponding canonical
measure cross-Jacobian.
· Calculation of product measure Jacobian: Fast computation of the rates/credit product
measure Jacobian to the curve variate factors. In particular, we compute the a)
product quoted measure Jacobian, and the b) product PV Jacobian. Products
considered all the standard rates and credit products (cash/EDF/IRS/CDS/bonds and
their variants).
· Monte-Carlo based product algorithmic differentiation: Formulation and
implementation of a) path-wise self-Jacobian estimator, b) path-wise parameter
Jacobian estimator, and c) path-wise product payoff derivative estimator. Also
computes product path-wise pay-off derivative estimator, along with the
implementation for specific products.

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Credit Analytics 1.6

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2012-08-16

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/product/analytics management environment, and has packaged samples and testers.

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.

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