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CreditAnalytics Release 1.0

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Downloads: 8
Change Set: 5e2d12ba62be
Released: Jan 23, 2012
Updated: Jan 24, 2012 by Lakshmik
Dev status: Stable Help Icon

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Release Notes

Release notes for CreditAnalytics

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 - v0.11 (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

7 November 2011 - v0.09 (Build 252)

  • FX Basis class provides the abstractable basis functionality
  • 3D contour plots to make a surface “shadow”
  • Full set of credit feeds are now set in the Credit Feed class.
  • Credit Product Valuation Parameters now moved to a separate class.
  • Component specific calibration functionality now moved over to the Calibratable Component Abstract Class
  • Analytics Server acts as the CreditAnalytics server to the API Analytics Client.
  • Validatable class abstracts out the validation functionality

20 September 2011 - v0.08 (Build 204)

  • Created a Day Count Basis class to now create the full set of day count measures, accrual fraction, date rolls/adjusts, and holiday checks.
  • Abstracted out the holiday base interface from which all the holidays are derived.
  • Full set of bond feeds are now set in the Bond Feed class.
  • Factor schedule class now holds the factor/notional dates and amounts
  • Implementation of the new bond builder class that holds stubs to create custom bonds of various types.
  • Introduction of the new API Analytics Client.
  • Implementation of CreditAnalytics’s DateTime class

28 August 2011 - v0.07 (Build 181)

  • Created a Component Output class that contains all the component scenario output measures.
  • The Component Calibrator calibrates the component’s discount/hazard rate from the component’s measure, market quote, and the calibration type.
  • XML configuration Reader now parses the XML configuration to load the configuration settings.
  • Detailed American/European schedules are now held in the Embedded Option Schedule class
  • Bond Builder factory class from the full set of bond parameters now occurs in the Bond Product Builder
  • Implementation of the Static BA Curves class that provides the container for creating the custom EOD IR and EOD credit curves of all types.
  • Internal implementation of the Julian Date class now contains the comprehensive static and instance Julian Date creation and functional methods.

17 August 2011 - v0.06 (Build 170)

  • Created an FX Curve that holds the FX nodes, points, their types, and the corresponding FX Spot.
  • New 3D chart plotter - histogram
  • Capturing the basket market parameters onto a separate class
  • Currency Pair now captures the FX curre

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