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.
|Tags||Finance Engineering bond credit trading fixed income risk Analytics credit analytics bond analytics credit risk bond risk bond trading credit trading fixed income analytics fixed income risk fixed income trading|
CreditProduct aims to define the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pr...
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: CreditProduct and CreditAnalytics were separated. This release features a refactoring of Curve, Parameter, Product, and BBG CDS samples.