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Credit Product 2.2 Release

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Downloads: 117
Released: Aug 17, 2013
Updated: Aug 17, 2013 by Lakshmik
Dev status: Stable Help Icon

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Release Notes

  • 11 August 2013 (v2.2)*

CreditAnalytics Integration with Non-linear fixed-point searcher: Integration of the curve builder functionality with non-linear fixed-point searcher – with multiple search algorithms. Incorporation of linear searches as well.
· Rich Set of Bloomberg Samples: Full replication of the standard BBG screens – YAS, SWPM, and CDSW – along with the measure details and cash flows. Also added targeted RV measures and multi-leg swap samples.
· Product/Curve Jacobian Generation: Curve/Product Jacobian generation, both independent, and as part of the calibration, using adjoint algorithmic differentiation. Jacobians are available across the full set of curve construction/splining techniques.
· Serverization of CreditAnalytics: Build-out of CreditAnalytics Stub and CreditAnalytics Proxy to act as the distributor of the CreditAnalytics functionality. Incorporation of bit-wise serialization and de-serialization across all product, computed output, curves, quotes, and parameters.
· CreditAnalytics Integration with the Basis Spline Library: Integration of the design components, calibration formulation, implementation framework, and sufficiency evaluation/Jacobian generation in conjunction with the Basis Spline Library. Also exposing the full variety of discount curve construction techniques available using the basis spline library.

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