News and announcements

Credit Analytics 1.3 Release

Written for CreditAnalytics by Lakshmi Krishnamurthy on 2012-03-26

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 1.3:

· Full implementation of the standard CDX contracts – all index varieties, series, tenors, and versions for CDX and iTRAXX
· Comprehensive set of live and EOD detailed valuation and risk calculation samples for the rates, bond, CDS, CDX, and CDO products
· Detailed CDS valuation and calibration measures – segmented as Fair and Market measures.
· Implementation of discount margin and OAS for bonds
· Specifications for the Bond Measure calculation and calibration from different kinds of inputs