CreditAnalytics Announcementstag:launchpad.net,2012-01-09:/creditanalytics/+announcementshttps://launchpad.net/@@/product-logohttps://launchpad.net/@@/product2014-01-24T16:32:18.122344+00:00Credit Analytics 2.3 Release2014-01-24T16:32:18.122344+00:002014-01-24T16:32:18.030685+00:00tag:launchpad.net,2014-01-24:/+announcement/12397Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>· Basis Spline Library Extensions:<br/>
o Segment/<wbr/>Stretch/<wbr/>Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)<br/>
o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)<br/>
o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set<br/>
o Penalty evaluated Regression Splines<br/>
o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.<br/>
· B Spline Functionality:<br/>
o Raw/Processed Basis Hat Functions Implementation<br/>
o Synthetic Monic Basis B Spline generation with shape control<br/>
o B Spline Sequence build-out using multic segment basis function aggregation<br/>
o Custom closed form cubic KLK Hyperbolic Tension<br/>
o Incorporation of the B Spline basis onto the segment/<wbr/>stretch/<wbr/>span schematic setup and usage<br/>
· Spline Based Discount Curve Build-Out:<br/>
o Shape Preserving Discount Curve Build with and without turn list adjustment<br/>
o Smoothing Discount Curve Build Pass with and without turn list adjustment<br/>
o Transition Spline Based Discount Curve Construction<br/>
o Estimation of the in-situ discount curve input quote Jacobian<br/>
o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE<br/>
· Spline Based Forward Curve Build-Out:<br/>
o Shape Preserving Forward Curve Build<br/>
o Smoothing Forward Curve Build Pass<br/>
o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float<br/>
o Labeled correlated discount factor/forward rate merge sub-stretch setup<br/>
o Manifest Measure/<wbr/>Quantification metric tweaked latent state construction and the corresponding Jacobian<br/>
· Canned Product Metric Calculation:<br/>
o Day-over-day discount curve build-out for 20 years for EM/G10<br/>
o 1D/1M/3M/6M Carry PnL<br/>
o 1D/1M/3M/6M Curve Roll Down PnL<br/>
o 1D Curve Shift PnL<br/>
o Daily Forward Rate Matrix</p>Credit Analytics 2.2 Release2013-08-15T16:32:05.380392+00:002013-08-15T16:32:05.284845+00:00tag:launchpad.net,2013-08-15:/+announcement/11832Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>· 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.<br/>
· 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.<br/>
· 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/<wbr/>splining techniques.<br/>
· 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.<br/>
· 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</p>Credit Analytics 2.1 Release2013-03-12T20:24:24.371425+00:002013-03-12T20:24:24.308220+00:00tag:launchpad.net,2013-03-12:/+announcement/11254Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>· Fast, Multi-layer, interpolating curve building: Discount/Credit Curve build out using<br/>
highly efficient and robust curve calibration techniques. Also customize the build out<br/>
based off of different node interpolation techniques, curve variate parameters, and<br/>
boundary conditions.<br/>
· Fast calibration of CDS/bond measures: Make the calibration of the bond/CDS<br/>
calibration much more faster and robust. For bonds, the new calibration is applied for<br/>
yield, Z Spread, and implied credit spread. For CDS, the new calibration is applied to<br/>
flat spreads.<br/>
· Calculation of Curve Self-Jacobian: Calculation of the curve Jacobian of the<br/>
characterizing curve variate to itself. This curve variate could be discount factor, zero<br/>
rate, or forward rate. Process also involves evaluating the corresponding canonical<br/>
measure cross-Jacobian.<br/>
· Calculation of product measure Jacobian: Fast computation of the rates/credit product<br/>
measure Jacobian to the curve variate factors. In particular, we compute the a)<br/>
product quoted measure Jacobian, and the b) product PV Jacobian. Products<br/>
considered all the standard rates and credit products (cash/EDF/<wbr/>IRS/CDS/<wbr/>bonds and<br/>
their variants).<br/>
· Monte-Carlo based product algorithmic differentiation: Formulation and<br/>
implementation of a) path-wise self-Jacobian estimator, b) path-wise parameter<br/>
Jacobian estimator, and c) path-wise product payoff derivative estimator. Also<br/>
computes product path-wise pay-off derivative estimator, along with the<br/>
implementation for specific products.</p>Credit Analytics 1.62012-08-16T03:02:19.670054+00:002012-08-16T03:02:19.602330+00:00tag:launchpad.net,2012-08-16:/+announcement/10433Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces defined in CreditProduct. It also implements a curve/parameter<wbr/>/product/<wbr/>analytics management environment, and has packaged samples and testers.</p>Credit Analytics 1.5 Release2012-05-29T02:25:33.306853+00:002012-05-29T02:25:33.241443+00:00tag:launchpad.net,2012-05-29:/+announcement/10119Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>CreditAnalytics is a full featured fixed income credit analytics library, developed with a special focus towards the needs of the credit products community (CDS, CDX, CDO, and bonds of all types and variants).</p>
<p>What's new in Credit Analytics 1.5:</p>
<p>Regressor Framework: Implementation of the regressor set, tolerance check, curve scenario regressors, regression framework suite, and the eventual regression output.<br/>
Discount Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied rates and discount factors.<br/>
Credit Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied hazard rates, recoveries, and survival.<br/>
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.<br/>
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.</p>Credit Analytics 1.3 Release2012-03-26T14:51:20.858030+00:002012-03-26T14:51:20.795370+00:00tag:launchpad.net,2012-03-26:/+announcement/9801Lakshmi Krishnamurthyhttps://launchpad.net/~lakshmi7977<p>CreditAnalytics is a full featured fixed income credit analytics library, developed with a special focus towards the needs of the credit products community (CDS, CDX, CDO, and bonds of all types and variants).</p>
<p>What's new in Credit Analytics 1.3:</p>
<p>· Full implementation of the standard CDX contracts – all index varieties, series, tenors, and versions for CDX and iTRAXX<br/>
· Comprehensive set of live and EOD detailed valuation and risk calculation samples for the rates, bond, CDS, CDX, and CDO products<br/>
· Detailed CDS valuation and calibration measures – segmented as Fair and Market measures.<br/>
· Implementation of discount margin and OAS for bonds<br/>
· Specifications for the Bond Measure calculation and calibration from different kinds of inputs</p>