Credit Analytics 2.3 Release

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Downloads: 79
Released: Jan 24, 2014
Updated: Jan 24, 2014 by Lakshmik
Dev status: Stable Help Icon

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Application Credit Analytics 2.3 jar
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Other Available Downloads

Application DRIP 2.3 jar (same as Credit Analytics 2.3 jar)
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Application (Optional) Oracle JDBC Driver
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Documentation Credit Analytics 2.3 User Developer Guide
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Documentation Credit Analytics 2.3 Release Notes
documentation, 119K, uploaded Jan 24, 2014 - 5 downloads
Documentation Credit Analytics 2.3 Coverage
documentation, 127K, uploaded Jan 24, 2014 - 4 downloads
Documentation Credit Analytics 2.3 Curve Builder
documentation, 470K, uploaded Jan 24, 2014 - 7 downloads
Documentation Credit Analytics 2.3 Spline Library
documentation, 610K, uploaded Jan 24, 2014 - 3 downloads
Documentation Credit Analytics 2.3 Sensitivity Generator
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Documentation Credit Analytics 2.3 Bond RV Measures Calculator
documentation, 143K, uploaded Jan 24, 2014 - 4 downloads
Documentation Credit Analytics 2.3 Bond Calibration Grid
documentation, 215K, uploaded Jan 24, 2014 - 4 downloads
Documentation Credit Analytics 2.3 Fixed Point Finder
documentation, 199K, uploaded Jan 24, 2014 - 4 downloads

Release Notes

· Basis Spline Library Extensions:
o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)
o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)
o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set
o Penalty evaluated Regression Splines
o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.
· B Spline Functionality:
o Raw/Processed Basis Hat Functions Implementation
o Synthetic Monic Basis B Spline generation with shape control
o B Spline Sequence build-out using multic segment basis function aggregation
o Custom closed form cubic KLK Hyperbolic Tension
o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage
· Spline Based Discount Curve Build-Out:
o Shape Preserving Discount Curve Build with and without turn list adjustment
o Smoothing Discount Curve Build Pass with and without turn list adjustment
o Transition Spline Based Discount Curve Construction
o Estimation of the in-situ discount curve input quote Jacobian
o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE
· Spline Based Forward Curve Build-Out:
o Shape Preserving Forward Curve Build
o Smoothing Forward Curve Build Pass
o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float
o Labeled correlated discount factor/forward rate merge sub-stretch setup
o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian
· Canned Product Metric Calculation:
o Day-over-day discount curve build-out for 20 years for EM/G10
o 1D/1M/3M/6M Carry PnL
o 1D/1M/3M/6M Curve Roll Down PnL
o 1D Curve Shift PnL
o Daily Forward Rate Matrix

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