Projects / Credit Analytics

Credit Analytics

CreditAnalytics is a financial fixed-income credit analytics, credit risk, bond analytics, and bond risk library, developed with a special focus towards the needs of the credit trading and bond trading community (CDS, CDX, CDO, and bonds of all types and variants).

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RSS Last announcement

Credit Analytics 1.6 Release 22 Aug 2012

CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces...

RSS Recent releases

  •  24 Jan 2014 20:58

    Release Notes: This release adds basis spline library extensions, b spline functionality, spline-based discount curve build-out, spline-based forward curve build-out, and canned product metric calculation.

    •  15 Aug 2013 23:38

      Release Notes: This release adds CreditAnalytics integration with a non-linear fixed-point searcher, a rich set of Bloomberg samples, product/curve Jacobian generation, serverization of CreditAnalytics, and CreditAnalytics integration with the basis spline library.

      •  12 Mar 2013 23:22

        Release Notes: Fast, multi-layer, interpolating curve building. Fast calibration of CDS/bond measures. Calculation of Curve Self-Jacobian. Calculation of Product Measure Jacobian. Monte-Carlo based Product Algorithmic Differentiation.

        •  22 Aug 2012 23:59

          Release Notes: This release separates CreditProduct and CreditAnalytics, adds curve, parameter, and product re-factoring, and adds BBG CDS samples.

          •  29 May 2012 09:09

            Release Notes: This release added a regressor framework, discount curve regression, credit curve regression, fx curve regression, and zero curve regression.

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