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. Compute the product path-wis...

Id #30 | Release: Credit Analytics 2.1 Release | Updated: Mar 12, 2013 at 5:31 PM by Lakshmik | Created: Mar 12, 2013 at 5:31 PM by Lakshmik

Calculation of product measure Jacobian

Fast computation of the rates/credit product measure Jacobian to the curve variate factors. In particular, compute the a) product quoted measure Jacobian, and the b) product PV Jacobian. Products c...

Id #29 | Release: Credit Analytics 2.1 Release | Updated: Mar 12, 2013 at 5:30 PM by Lakshmik | Created: Mar 12, 2013 at 5:30 PM by Lakshmik

Calculation of Curve Self-Jacobian

Calculate 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 correspondi...

Id #28 | Release: Credit Analytics 2.1 Release | Updated: Mar 12, 2013 at 5:29 PM by Lakshmik | Created: Mar 12, 2013 at 5:29 PM by Lakshmik

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 ...

Id #27 | Release: Credit Analytics 2.1 Release | Updated: Mar 12, 2013 at 5:29 PM by Lakshmik | Created: Mar 12, 2013 at 5:29 PM by Lakshmik

Fast, Multi-layer, interpolating curve building

Discount/Credit Curve build out using highly efficient and robust curve calibration techniques. Customize the build out based off of different node interpolation techniques, curve variate parameter...

Id #26 | Release: Credit Analytics 2.1 Release | Updated: Mar 12, 2013 at 5:28 PM by Lakshmik | Created: Mar 12, 2013 at 5:28 PM by Lakshmik

FX Curve Regression

Implementation of functional regression for the following features of FX curve analytics: FX Forward and FX basis curve creation Re-construction of the FX foward curve node points from the FX Basi...

Id #25 | Release: CreditAnalytics Release 1.5 | Updated: May 25, 2012 at 3:01 AM by Lakshmik | Created: May 25, 2012 at 3:01 AM by Lakshmik

Zero Curve Regression

Implementation of functional regression for the following features of zero curve analytics: Zero Curve creation from the curve coupon periods, and the quoting parameters Implying of the zero curve...

Id #24 | Release: CreditAnalytics Release 1.5 | Updated: May 25, 2012 at 2:58 AM by Lakshmik | Created: May 25, 2012 at 2:58 AM by Lakshmik

Credit Curve Regression

Implementation of functional regression for the following features of credit curve analytics: Credit curve creation from a composite mix of credit instruments - CDS and bonds Credit curve creation...

Id #23 | Release: CreditAnalytics Release 1.5 | Updated: May 25, 2012 at 2:52 AM by Lakshmik | Created: May 25, 2012 at 2:51 AM by Lakshmik

Discount Curve Regression

Implementation of functional regression for the following features of discount curve analytics: Discount curve creation from a composite mix of rates instruments - CDs, Futures, and swaps Discount...

Id #22 | Release: CreditAnalytics Release 1.5 | Updated: May 25, 2012 at 2:49 AM by Lakshmik | Created: May 25, 2012 at 2:49 AM by Lakshmik

Credit Analytics Regression Framework

Need to create the full regression frame work for curve analytics, with the following components: Regression Scenario Container: Contains place holders for the full set of implementations of the c...

Id #21 | Release: CreditAnalytics Release 1.5 | Updated: May 25, 2012 at 2:34 AM by Lakshmik | Created: May 25, 2012 at 2:34 AM by Lakshmik