Projects / CreditProduct

CreditProduct

CreditProduct aims to define the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pricing, and product parameters). To facilitate this, it implements various day count conventions, holiday sets, period generators, and calculation outputs.

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Credit Product 1.6 Release 22 Aug 2012 17:35

CreditProduct aims to define the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pricing, and product parameters). To facilitate this, it implements various day count conventions, holiday sets, period generators, and calculation outputs. CreditProduct library achieves its design goal by implementing its functionality over several packages: •Dates and holidays coverage: Covers a variety of day count conventions, 120+ holiday locations, as well as custom user-defined holidays •Curve and analytics definitions: Defines the base functional interfaces for the variants of discount curves, credit curves, and FX curves •Market Parameter definitions: Defines quotes, component/basket market parameters, and custom scenario parameters •Valuation and Pricing Parameters: Defines valuation, settlement/work-out, and pricing parameters of different variants •Product and product parameter definitions: Defines the product creation and behavior interfaces for Cash/EDF/IRS (all rates), bonds/CDS (credit), and basket bond/CDS, and their feature parameters. •Output measures container: Defines generalized component and basket outputs, as well customized outputs for specific products

Recent releases

  •  23 Jan 2014 17:13

    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.

    •  17 Aug 2013 15:28

      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.

      •  22 Aug 2012 17:31

        Release Notes: CreditProduct and CreditAnalytics were separated. This release features a refactoring of Curve, Parameter, Product, and BBG CDS samples.

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