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CreditAnalytics Release 1.3

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Downloads: 12
Released: Mar 25, 2012
Updated: May 6, 2012 by Lakshmik
Dev status: Stable Help Icon


Application Credit Analytics 1.3 jar
application, 1275K, uploaded Mar 26, 2012 - 8 downloads
Application (Optional) ODBC jar
application, 1533K, uploaded Mar 26, 2012 - 4 downloads

Release Notes

1 May 2012 (v1.4) (Build 428)

  • Supplemental Bond Measures: Implementation of the Yield Spread, the Zero Discount Margin, and the PECS calibration
  • Bond Analytics API Update: Documentation/Calculation Update for Yield Spread, Zero Spread, and PECS
  • Curve Enhancement and Samples: Enhanced Credit Curve calibration and full suite samples for discount and credit curve creation
  • Construction of CDX from Reference Data: Creation of CDX Reference Data series of objects from static reference data
  • CDX basket default Swap Analytics API: Suite of API for construction basket default swap objects off of the standard CDX reference data, as well as categorizing them.

23 March 2012 (v1.3) (Build 390)

  • Full implementation of the standard CDX contracts – all index varieties, series, tenors, and versions for CDX and iTRAXX
  • Comprehensive set of live and EOD detailed valuation and risk calculation samples for the rates, bond, CDS, CDX, and CDO products
  • Detailed CDS valuation and calibration measures – segmented as Fair and Market measures.
  • Implementation of discount margin and OAS for bonds
  • Specifications for the Bond Measure calculation and calibration from different kinds of inputs

22 February 2012 (v1.2) (Build 360)

  • Comprehensive coverage for the bond’s fair, market, and work-out measures from the set of relevant market parameters
  • “Value” calibration: Calibration of any market input parameter via solving for any of the “valued” measure – with specific optimizations added for the calibration process.
  • Node Tweaking: CreditAnalytics can now adjust input curves to create an arbitrary set of market scenario curves to build custom scenario valuers.
  • Simple APIs now to generate bond market measures for a given EOD.
  • Z Spread: Introduced multiple ways of implying – as a yield basis (also now called bond basis), as a discount curve parallel shift, and as a zero rates curve parallel bump.

23 January 2012 (v1.1) (Build 329)

  • Introduced support for Bond Basket and Bond ETFs.
  • Full support for amortization schedules (including principal pay down schedules).
  • FI API enhancement: Yield based analytics calls and simplification of the API calls
  • Additional bond fields (next exercise information, previous/current/next coupons/dates)
  • Remove dependency on odbc.jar

4 January 2012 (v1.0) (Build 310)

  • Added a base serializer class, and incorporated object level serialization for objects transmittable between AnalyticsClient and AnalyticsServer
  • Introduced a full-featured serialization test suite.

11 December 2011 - v0.1 (Build 286)

  • Credit Curve enhanced to calculate time-weighted survival/bumped/recovery factors and hazard rates
  • Jzy3D surfaces moved onto a separate package
  • Complete set of named scenario credit curves moved into their own container.
  • Valuation parameters and work out information moved into their own separate classes
  • Separate test Suites for the bond and the credit functionality now available in Bond Test Suite and Functional Test Suite

24 November 2011 - v0.10 (Build 269)

  • Discount Curve re-factored and enhanced to calculate time-weighted discount factors and rates
  • Weekend holidays array gets their own class
  • Complete set of named scenario IR curves moved into their own container.
  • Treasury benchmark set contains the primary treasury and an array of secondary treasuries.
  • Abstractable base component functionality now pushed into the component Class
  • Created the FI Sample to provide full interface sample for CreditAnalytics
  • Utilities internal to FI packaged into FI General

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