CreditAnalytics is a financial fixed-income credit analytics, credit risk, bond analytics, and bond risk library, developed with a special focus towards the needs of the credit trading and bond trading community (CDS, CDX, CDO, and bonds of all types and variants).
|Tags||Analytics Finance trading credit risk bond bonds fixed income|
CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces...
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: Fast, multi-layer, interpolating curve building. Fast calibration of CDS/bond measures. Calculation of Curve Self-Jacobian. Calculation of Product Measure Jacobian. Monte-Carlo based Product Algorithmic Differentiation.
Release Notes: This release separates CreditProduct and CreditAnalytics, adds curve, parameter, and product re-factoring, and adds BBG CDS samples.
Release Notes: This release added a regressor framework, discount curve regression, credit curve regression, fx curve regression, and zero curve regression.
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.