creditanalytics Issue Tracker Rss Feedhttp://creditanalytics.codeplex.com/workitem/list/basiccreditanalytics Issue Tracker Rss DescriptionCommented Issue: Different Z Spread Implementations [10]http://creditanalytics.codeplex.com/workitem/10Z Spread for a bond needs to be implementaed in 3 different ways:<br />- As a yield basis between the yielld from the theoretical riskless price (i.e, price purely by PV'ing from the discount curve and the credit curve) and the yield implied by the market price - this should be called bond basis.<br />- As a parallel shift needed on the discount curve to reprice the bond to market price - this is more accurately referred to as OAS or discount margin I think<br />- First by constructing an implied zero curve from the discount curve using the quoting day count/frequency/settle parameters, and then calcu;lating the shift needed on that curve to PV the bond to the market price.<br />Comments: Fixed in changeset e1d55545600aLakshmikThu, 13 Nov 2014 15:05:14 GMTCommented Issue: Different Z Spread Implementations [10] 20141113030514PEdited Issue: Different Z Spread Implementations [10]http://creditanalytics.codeplex.com/workitem/10Z Spread for a bond needs to be implementaed in 3 different ways:<br />- As a yield basis between the yielld from the theoretical riskless price (i.e, price purely by PV'ing from the discount curve and the credit curve) and the yield implied by the market price - this should be called bond basis.<br />- As a parallel shift needed on the discount curve to reprice the bond to market price - this is more accurately referred to as OAS or discount margin I think<br />- First by constructing an implied zero curve from the discount curve using the quoting day count/frequency/settle parameters, and then calcu;lating the shift needed on that curve to PV the bond to the market price.<br />LakshmikThu, 13 Nov 2014 15:05:14 GMTEdited Issue: Different Z Spread Implementations [10] 20141113030514PCreated Feature: Monte-Carlo based product algorithmic differentiation [30]http://creditanalytics.codeplex.com/workitem/30 - Formulation and implementation of a) path-wise self-Jacobian estimator, b) path-wise parameter Jacobian estimator, and c) path-wise product payoff derivative estimator.<br /> - Compute the product path-wise pay-off derivative estimator, along with the implementation for specific products.<br /><br />LakshmikTue, 12 Mar 2013 17:31:19 GMTCreated Feature: Monte-Carlo based product algorithmic differentiation [30] 20130312053119PCreated Feature: Calculation of product measure Jacobian [29]http://creditanalytics.codeplex.com/workitem/29 - Fast computation of the rates/credit product measure Jacobian to the curve variate factors.<br /> - In particular, compute the a) product quoted measure Jacobian, and the b) product PV Jacobian.<br /> - Products considered all the standard rates and credit products (cash/EDF/IRS/CDS/bonds and their variants).<br /><br />LakshmikTue, 12 Mar 2013 17:30:38 GMTCreated Feature: Calculation of product measure Jacobian [29] 20130312053038PCreated Feature: Calculation of Curve Self-Jacobian [28]http://creditanalytics.codeplex.com/workitem/28 - Calculate the curve Jacobian of the characterizing curve variate to itself.<br /> - This curve variate could be discount factor, zero rate, or forward rate.<br /> - Process also involves evaluating the corresponding canonical measure cross-Jacobian.<br /><br />LakshmikTue, 12 Mar 2013 17:29:56 GMTCreated Feature: Calculation of Curve Self-Jacobian [28] 20130312052956PCreated Feature: Fast calibration of CDS/bond measures [27]http://creditanalytics.codeplex.com/workitem/27 - Make the calibration of the bond/CDS calibration much more faster and robust.<br /> - For bonds, the new calibration is applied for yield, Z Spread, and implied credit spread.<br /> - For CDS, the new calibration is applied to flat spreads.<br /><br />LakshmikTue, 12 Mar 2013 17:29:07 GMTCreated Feature: Fast calibration of CDS/bond measures [27] 20130312052907PCreated Feature: Fast, Multi-layer, interpolating curve building [26]http://creditanalytics.codeplex.com/workitem/26- Discount/Credit Curve build out using highly efficient and robust curve calibration techniques.<br />- Customize the build out based off of different node interpolation techniques, curve variate parameters, and boundary conditions.<br /><br />LakshmikTue, 12 Mar 2013 17:28:00 GMTCreated Feature: Fast, Multi-layer, interpolating curve building [26] 20130312052800PCreated Feature: FX Curve Regression [25]http://creditanalytics.codeplex.com/workitem/25Implementation of functional regression for the following features of FX curve analytics:<br /> - FX Forward and FX basis curve creation<br /> - Re-construction of the FX foward curve node points from the FX Basis curve, the corresponding domestic/foreign discount curves, and FX Spot contracts<br /> - Vice versa for FX basis curve<br /> - Implying the domestic/foreign bais rate/full dicsount curve from the FX forward curve<br /> - Implying the domestic/foreign bais rate/full dicsount curve from the FX basis curve<br />LakshmikFri, 25 May 2012 03:01:50 GMTCreated Feature: FX Curve Regression [25] 20120525030150ACreated Feature: Zero Curve Regression [24]http://creditanalytics.codeplex.com/workitem/24Implementation of functional regression for the following features of zero curve analytics:<br /> - Zero Curve creation from the curve coupon periods, and the quoting parameters<br /> - Implying of the zero curve discount factors and the rates<br />LakshmikFri, 25 May 2012 02:58:18 GMTCreated Feature: Zero Curve Regression [24] 20120525025818AEdited Feature: Credit Curve Regression [23]http://creditanalytics.codeplex.com/workitem/23Implementation of functional regression for the following features of credit curve analytics:<br /> - Credit curve creation from a composite mix of credit instruments - CDS and bonds<br /> - Credit curve creation from nodes of hazard rates and/or survival factors<br /> - Parallel shifted, node-shifted, and recovery shifted credit curve creation from the base credit curve<br /> - Scenario tweak adjusted credit curve creation from the base credit curve<br /> - Spot and Effective implied hazard rates and survival factors (period spanners)<br /> - Quote retrieval latency<br />LakshmikFri, 25 May 2012 02:52:23 GMTEdited Feature: Credit Curve Regression [23] 20120525025223ACreated Feature: Credit Curve Regression [23]http://creditanalytics.codeplex.com/workitem/23Implementation of functional regression for the following features of credit curve analytics:<br /> - Credit curve creation from a composite mix of rates instruments - CDS and bonds<br /> - Credit curve creation from nodes of hazard rates and/or survival factors<br /> - Parallel shifted, node-shifted, and recovery shifted credit curve creation from the base credit curve<br /> - Scenario tweak adjusted credit curve creation from the base credit curve<br /> - Spot and Effective implied hazard rates and survival factors (period spanners)<br /> - Quote retrieval latency<br />LakshmikFri, 25 May 2012 02:51:26 GMTCreated Feature: Credit Curve Regression [23] 20120525025126ACreated Feature: Discount Curve Regression [22]http://creditanalytics.codeplex.com/workitem/22Implementation of functional regression for the following features of discount curve analytics:<br /> - Discount curve creation from a composite mix of rates instruments - CDs, Futures, and swaps<br /> - Discount curve creation from nodes of rates and/or discount factors<br /> - Parallel shifted, node-shifted, and basis shifted discount curve creation from the base discount curve<br /> - Scenario tweak adjusted discount curve creation from the base discount curve<br /> - Spot and Effective implied rates and discount factors (period spanners)<br /> - Quote retrieval latency<br />LakshmikFri, 25 May 2012 02:49:19 GMTCreated Feature: Discount Curve Regression [22] 20120525024919AEdited Feature: Credit Analytics Regression Framework [21]http://creditanalytics.codeplex.com/workitem/21Need to create the full regression frame work for curve analytics, with the following components:<br /> - Regression Scenario Container: Contains place holders for the full set of implementations of the curve analytics regression, along with base-lined tolerance checks<br />- Curve Regressors: Implementation of specific, elaborate functional regressions for each of the curve analytic objects.<br /> - Regression output suite: Storing the results of the regression - the time stamps, elapsed time, regression success/failure, and other regression details.<br />LakshmikFri, 25 May 2012 02:34:46 GMTEdited Feature: Credit Analytics Regression Framework [21] 20120525023446ACreated Feature: Credit ANalytics Regression Framework [21]http://creditanalytics.codeplex.com/workitem/21Need to create the full regression frame work for curve analytics, with the following components:<br /> - Regression Scenario Container: Contains place holders for the full set of implementations of the curve analytics regression, along with base-lined tolerance checks<br />- Curve Regressors: Implementation of specific, elaborate functional regressions for each of the curve analytic objects.<br /> - Regression output suite: Storing the results of the regression - the time stamps, elapsed time, regression success/failure, and other regression details.<br />LakshmikFri, 25 May 2012 02:34:29 GMTCreated Feature: Credit ANalytics Regression Framework [21] 20120525023429AEdited Feature: Advanced Curve Construction [20]http://creditanalytics.codeplex.com/workitem/20- Credit Curve should now have a "SpecificDefaultDate" parameter - with the corresponding Date of Default parameter<br />- Explicit samples displaying the construction of the discount curve from the corresponding set of discount curve instruments<br />- Explicit samples displaying the construction of the credit curve from the corresponding set of credit curve instruments<br /><br />LakshmikSun, 06 May 2012 18:52:45 GMTEdited Feature: Advanced Curve Construction [20] 20120506065245PCreated Feature: Advanced Curve Construction [20]http://creditanalytics.codeplex.com/workitem/20- Credit Curve should now have a "SpecificDefaultDate" parameter - with the corresponding Date of Default parameter<br />- Explicit samples displaying the construction of the discount curve from the corresponding set of discount curve instruments<br />- Explicit samples displaying the construction of the credit curve from the corresponding set of discount curve instruments<br /><br />LakshmikSun, 06 May 2012 17:22:06 GMTCreated Feature: Advanced Curve Construction [20] 20120506052206PCreated Feature: CDX Reference Data Builder Functionality [19]http://creditanalytics.codeplex.com/workitem/19- Extract the Full set of reference data fields (bith valuation and non-valuation related) from the reference data input set<br />- Create the CDX Basket Product for the set of product valuation fields<br />- Generated set of CDX Reference Data for each CDX, index, and version<br />- Post validated CDX basket default swap created from CDX reference data builder<br />- CDX First coupon date and CDX series version number map for the pre-built CDX<br /><br />LakshmikSun, 06 May 2012 17:11:03 GMTCreated Feature: CDX Reference Data Builder Functionality [19] 20120506051103PCreated Feature: Bond Analytics Documentation Update [18]http://creditanalytics.codeplex.com/workitem/18- Update Bond Analytics methodology and description for calculation of, and calibration from Yield Spread measures<br />- Update Bond Analytics methodology and description for calculation of, and calibration from Zero Discount Margin measures<br />- Write the Bond Analytics Methodology documentation for the calibration of the Par Equivalent CDS Spread for the price (and other inputs).<br />- Implement, and document, the Bond Analytics Measure calculation methodology from the bond's PECS input.<br />LakshmikSun, 06 May 2012 15:17:40 GMTCreated Feature: Bond Analytics Documentation Update [18] 20120506031740PCreated Feature: Par Equivalent CDS Spread (PECS) Calibration [17]http://creditanalytics.codeplex.com/workitem/17- Need to calculate the <<From>> and <<To>> counter-parts for the Par Equivalent CDS Spread (PECS) for bonds from a verierty of input bond measures, and a set of output measures.<br />- Expose the PECS to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.<br />- Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.<br />- Introduce a set of bond measure calibration from these inputs.<br />- Update the set of bond RV scenario measures matrix to include discount margin and yield spread.<br /><br />LakshmikSun, 06 May 2012 15:08:06 GMTCreated Feature: Par Equivalent CDS Spread (PECS) Calibration [17] 20120506030806PEdited Feature: Bond Yield Spread and Zero Discount Margin [16]http://creditanalytics.codeplex.com/workitem/16- Need to calculate the <<From>> and <<To>> counter-parts for yield spread and zero discount margin for bonds from a verierty of input bond measures, and a set of output measures.<br />- Expose the yield spread and zero discount margin to full set of closing, live, and analytics external bond API - FI - and the corresponding samples.<br />- Calculation these measures to the an arbitrary bond work-out date, as well as to the optimal exercise dates.<br />- Introduce a set of bond measure calibration from these inputs.<br />- Update the set of bond RV scenario measures matrix to include discount margin and yield spread.<br />LakshmikSun, 06 May 2012 15:05:08 GMTEdited Feature: Bond Yield Spread and Zero Discount Margin [16] 20120506030508P