This project is read-only.

CreditAnalytics Release 1.5

Rating: No reviews yet
Downloads: 19
Released: May 22, 2012
Updated: May 25, 2012 by Lakshmik
Dev status: Stable Help Icon

Recommended Download

Application Credit Analytics 1.5 Release
application, 1743K, uploaded May 25, 2012 - 19 downloads

Release Notes

22 May 2012 (v1.5) (Build 449)

  • Regressor Framework: Implementation of the regressor set, tolerance check, curve scenario regressors, regression framework suite, and the eventual regression output.
  • Discount Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied rates and discount factors.
  • Credit Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied hazard rates, recoveries, and survival.
  • FX Curve Regression: Creation of the basis and forward curves, conversion from one to another, and implying of the basis nodes and the enhanced discount curve on the domestic/foreign discount curves.
  • Zero Curve Regression: Creation of the zero curve from the product cash flow nodes, implying of the zero rates and zero discount factors at the relevant nodes.

Reviews for this release

No reviews yet for this release.