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.

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 into 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 - v0.11 (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 currency information
  • The complete set of bond reference data is now put into its own class, away from the Bond Valuation/Product parameters
  • Implementation of the Rates Manager class that provides the container for creating the EOD IR curves of all types.
  • All the internal and external utility functions are packed into a new FI Utility class.

30 July 2011 - v0.05 (Build 152)

  • Added comprehensive date adjustment and roll functionality
  • Introduced a separate bootstrapper interface
  • Scenario market parameters needed to value baskets are now in a separate class
  • Created bond treasury parameters to hold all the treasury benchmarks corresponding to the bond
  • Implemented the basket default swap product
  • Implementation of the EOD Curves class that provides the container for creating the EOD IR and credit curves.
  • Logger class for level based and location specific logging.

13 July 2011 - v0.04 (Build 135)

  • Another chart plotter class – Multi Color Scatter
  • Market Parameters needed to value the component
  • Encapsulation of the loss period dates
  • Bond periods can be generated now from an elaborate set of generation parameters
  • Creation of a new basket product class from which all the basket products can be derived
  • Implementation of the Environment Manager class that provides the container for the EOD IR and credit curves.

26 June 2011 - v0.03 (Build 118)

  • Act/Act Parameters spun off to a separate class
  • Market Parameters needed to value the component
  • 4D scatter plot includes the ability to plot a 3D surface with the color depth plane
  • Notional, notional schedule, and redemption value at maturity get their own class
  • Creation of the Bond foundation class from which all other variants are derived
  • Implementation of the CDS Manager class that provides the container for the EOD credit curves.

9 June 2011 - v0.03 (Build 101)

  • Floating holiday parameters onto a new Floating Holiday class
  • Introduction of the new Period class from which period of all types are derived
  • The Basket Output class now contains all the base and scenario measures for full complete product valuation
  • Currency, IR/treasury/EDSF curve names for the bond now in Bond IR Valuation Parameters
  • Creation of the Credit Component class from which the Bond, CDS, and the basket default swap classes are derived
  • Implementation of the Bond Manager class that provides the container for the bond instances.

22 May 2011 - v0.02b (Build 83)

  • Day count string and adjustment rules are now in the Day Count class
  • Enhancement of the period class for the floating periods
  • All the EOD scenario Credit curves for the specified set of instruments and quotes in Credit Curve Scenario Container
  • CUSIP, ISIN, ID, name, and ticker are in Bond Floater Parameters
  • Creation of the FI main analytics API class
  • Implementation of the Credit Default Swap product

5 May 2011 - v0.02a (Build 66)

  • Full date holidays now are in Static Holidays
  • Delaunay surface plots now display wire frame charts
  • All the EOD scenario IR curves for the specified set of instruments and quotes in IR Curve Scenario Container
  • Bond’s Rate Index, reset rule, floater spread, and floating day count convention are packed into Bond Floater Parameters
  • Creation of the FX Forward class
  • Implementation of the Interest Rate Swap product

18 April 2011 - v0.02 (Build 49)

  • Merged all the coupon period parameters
  • Contour 3D surface now displays contour plots
  • Created an EOD specific Market Parameters Container to hold all the EOD specific market parameters
  • Bond Fixed Period Generation Parameters contain all the bond’s period generation parameters.
  • Spot rate and date together now form FX Spot
  • Implementation of the Euro-dollar product

1 April 2011 - v0.01b (Build 31)

  • Fixed Holiday class containing the holiday month/year information
  • Bond Output class contains all the bond price/treasury spread measures
  • Credit pricing parameters collected into Pricer Parameters
  • Trade/Redemption/Quote currencies can now be different from each other for the bond
  • Sided, multi-measure component quote
  • Implementation of the Cash/money market product

25 March 2011 - v0.01 (Build 25)

  • First cut of CreditAnalytics fixed income analytics
  • Created the location holidays
  • Implemented the First Coupon Period
  • Separated a new Bond Cash flow termination event class
  • Aggregated the Bond Coupon Parameters
  • Base Quote Class
  • Live Quote to capture ticking quotes

Last edited May 25, 2012 at 4:10 AM by Lakshmik, version 2


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