CreditAnalytics creditanalytics1.5
22 May 2012 (v1.5) (Build 449)
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
Milestone information
- Project:
- CreditAnalytics
- Series:
- 1.5
- Version:
- creditanalytics1.5
- Released:
- Registrant:
- Lakshmi Krishnamurthy
- Release registered:
- Active:
- Yes. Drivers can target bugs and blueprints to this milestone.
Activities
- Assigned to you:
- No blueprints or bugs assigned to you.
- Assignees:
- No users assigned to blueprints and bugs.
- Blueprints:
- 5 Deployment
- Bugs:
- No bugs are targeted to this milestone.
Download files for this release
Release notes
Credit Analytics 1.5 Release
22 May 2012 (v1.5) (Build 449)
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
Changelog
This release does not have a changelog.
5 blueprints and 0 bugs targeted
| Blueprint | Priority | Assignee | Delivery | |
|---|---|---|---|---|
| Credit Analytics Regression Framework | Credit Analytics Regression Framework | 4 High | 10 Deployment | |
| Credit Curve Regression | Credit Curve Regression | 4 High | 10 Deployment | |
| Discount Curve Regression | Discount Curve Regression | 4 High | 10 Deployment | |
| FX Curve Regression | FX Curve Regression | 4 High | 10 Deployment | |
| Zero Curve Regression | Zero Curve Regression | 4 High | 10 Deployment | |
