Credit Analytics 2.1 Release

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Downloads: 34
Released: Mar 12, 2013
Updated: Mar 12, 2013 by Lakshmik
Dev status: Stable Help Icon

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Release Notes

12 March 2013 (v2.1)
· Fast, Multi-layer, interpolating curve building: Discount/Credit Curve build out using
highly efficient and robust curve calibration techniques. Also customize the build out
based off of different node interpolation techniques, curve variate parameters, and
boundary conditions.
· Fast calibration of CDS/bond measures: Make the calibration of the bond/CDS
calibration much more faster and robust. For bonds, the new calibration is applied for
yield, Z Spread, and implied credit spread. For CDS, the new calibration is applied to
flat spreads.
· Calculation of Curve Self-Jacobian: Calculation of the curve Jacobian of the
characterizing curve variate to itself. This curve variate could be discount factor, zero
rate, or forward rate. Process also involves evaluating the corresponding canonical
measure cross-Jacobian.
· Calculation of product measure Jacobian: Fast computation of the rates/credit product
measure Jacobian to the curve variate factors. In particular, we compute the a)
product quoted measure Jacobian, and the b) product PV Jacobian. Products
considered all the standard rates and credit products (cash/EDF/IRS/CDS/bonds and
their variants).
· Monte-Carlo based product algorithmic differentiation: Formulation and
implementation of a) path-wise self-Jacobian estimator, b) path-wise parameter
Jacobian estimator, and c) path-wise product payoff derivative estimator. Also
computes product path-wise pay-off derivative estimator, along with the
implementation for specific products.

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