All releases of Credit Analytics

  •  24 Jan 2014 16:36
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    Release Notes: This release adds basis spline library extensions, b spline functionality, spline-based discount curve build-out, spline-based forward curve build-out, and canned product metric calculation.

    •  15 Aug 2013 17:19
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      Release Notes: This release adds CreditAnalytics integration with a non-linear fixed-point searcher, a rich set of Bloomberg samples, product/curve Jacobian generation, serverization of CreditAnalytics, and CreditAnalytics integration with the basis spline library.

      •  12 Mar 2013 20:37
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        Release Notes: Fast, multi-layer, interpolating curve building. Fast calibration of CDS/bond measures. Calculation of Curve Self-Jacobian. Calculation of Product Measure Jacobian. Monte-Carlo based Product Algorithmic Differentiation.

        •  22 Aug 2012 17:56
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          Release Notes: This release separates CreditProduct and CreditAnalytics, adds curve, parameter, and product re-factoring, and adds BBG CDS samples.

          •  29 May 2012 02:35
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            Release Notes: This release added a regressor framework, discount curve regression, credit curve regression, fx curve regression, and zero curve regression.

            •  11 May 2012 07:15
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              Release Notes: Supplemental bond measures now include Yield Spread, Zero Discount Margin, and PECS calibration. The Bond Analytics API update received documentation and calculation updates for Yield Spread, Zero Spread, and PECS. Curve Enhancement and samples were added. A CDX Reference Data series of objects can be created from static reference data. A suite of APIs were added for constructing basket default swap objects from the standard CDX reference data, as well as categorizing them.

              •  26 Mar 2012 16:01
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                Release Notes: Full implementation of the standard CDX contracts: all index varieties, series, tenors, and versions for CDX and iTRAXX. A 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 as 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.

                •  27 Feb 2012 04:03
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                  Release Notes: This release added "Value" calibration: calibration of any market input parameter via solving for any of the “valued” measure – with specific optimizations added for the calibration process. CreditAnalytics can now adjust input curves to create an arbitrary set of market scenario curves to build custom scenario valuers. There is now a simple API for generating bond market measures for a given EOD. There are now multiple ways of implying Z Spread: as a yield basis (also now called bond basis), as a discount curve parallel shift, and as a zero rates curve parallel bump.

                  •  30 Jan 2012 17:57
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                    Release Notes: This is the first release.

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