timeline

The 2.2 series of Credit Analytics represents the current stable series, and is recommended for all new deployments

12 March 2013 (v2.1)
· 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.

19 July 2012 (v1.6)

· Separation between CreditProduct and CreditAnalytics: Separation of the functional and behavioral interface provided by CreditProduct, and the actual implementation provided by CreditAnalytics – currently merged onto a single jar.
· Curve Re-factoring: Re-factoring and re-creation of the rates curve, the credit curve, the zero curve, and the FX basis/forward curves, along with their serialization, interface stub exposure, the creation factories, and the regression suite.
· Parameter Re-factoring: Re-factoring and re-creation of the component and the multi-sided quotes, the component and the basket market parameters, the credit/rates/FX scenario curve containers, and the environmental market parameters container, along with their serialization, interface stub exposure, the creation factories, and the regression suite.
· Product re-factoring: Re-factoring and re-creation of the bond, CDS, basket CDS, basket bond, Cash/EDF/IRS products, and the FX Spot/forward contracts, along with their serialization, interface stub exposure, the creation factories, and the regression suite.
· BBG CDS Samples: Replication of the Bloomberg CDSW sample pricing in a specimen – incorporation of the credit/rates curve, as well the CDS product contract details, and emitting of the calculation results.

Credit Analytics 1.5
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

Credit Analytics 1.4 is the latest stable release of Credit Analytics. Please read the release notes and the associated documentation to find out what's new in this release.

Credit Analytics Release 1.2

CreditAnalytics 1.1 represents the latest stable series, and is recommended for all new deployments.

The "trunk" series represents the primary line of development rather than a stable release branch. This is sometimes also called MAIN or HEAD.

The 1.3 release of Credit Analytics represents the latest stable release. Please check out the release notes and the associated documentation to find out what's new.