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

CreditProduct aims to define the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pr...

RSS Recent releases

  •  23 Jan 2014 21:01

    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 22:45

      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.

      •  23 Aug 2012 12:45

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

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