Credit Analytics

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.

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

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

Release Notes: Supplemental bond measures now include Yield Spread, Zero Discount Margin, and PECS calibration. The Bond Analytics API update received documentation and calculation updates for Yield Spread, Zero Spread, and PECS. Curve Enhancement and samples were added. A CDX Reference Data series of objects can be created from static reference data. A suite of APIs were added for constructing basket default swap objects from the standard CDX reference data, as well as categorizing them.

Release Notes: Full implementation of the standard CDX contracts: all index varieties, series, tenors, and versions for CDX and iTRAXX. A 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.