CreditSuite is a suite of libraries that aims to provide an open source analytics and trading/valuation system solution suite for credit and fixed income products. To this end, it implements its functionality over three main libraries - CreditProduct, CreditAnalytics, and RegressionSuite.
|Tags||credit analytics bond analytics credit risk bond risk bond trading credit trading fixed income analytics fixed income risk fixed income trading|
CreditSuite suite of libraries aims to provide open source analytics and trading/valuation system solution suite for credit and fixed income produc...
Release Notes: Basis Spline library extensions. B Spline functionality. Spline-based discount curve build-out. Spline-based forward curve build-out. 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. Curve, Parameter, and Product were refactored. BBG CDS samples were provided.