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).
|Tags||Analytics Finance trading credit risk bond bonds fixed income|
CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces...
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.
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.
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.