Credit Analytics

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.

Release Notes: This release added "Value" calibration: calibration of any market input parameter via solving for any of the “valued” measure – with specific optimizations added for the calibration process. CreditAnalytics can now adjust input curves to create an arbitrary set of market scenario curves to build custom scenario valuers. There is now a simple API for generating bond market measures for a given EOD. There are now multiple ways of implying Z Spread: as a yield basis (also now called bond basis), as a discount curve parallel shift, and as a zero rates curve parallel bump.

Release Notes: This is the first release.