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Credit Trader Suite of libraries aims to provide open source analytics and trading/valuation system solution suite for credit and fixed income products. To this end, it implements its functionality in a single library over 6 main components - CreditAnalytics, CreditProduct, CurveBuilder, FixedPointFinder, RegressionSuite, and SplineLibrary.

 

The main challenges that Credit Trader Suite attempts to address are:

        Implementation of day count conventions, holidays calendars, and rule-based period generators

        Abstract the functionality behind curves, parameters, and products onto defined interfaces

        Unified/standardized methods for curve calibrations, parameter and product implementers and constructors

        Environmental system to hold live ticks, closing marks, and reference data containers

        Enhanced analytics testing

        Related suite of numerical functionality

        Ease of usage, installation, and deployment

 

Credit Trader Suite is an attempt to overcome the shortcomings of commercial and Open Source libraries in the credit trading area. It aims to bring the aspects mentioned above together in one Open Source implementation that readily integrates onto existing systems.

 

The core and the supporting libraries the constitute the Credit Trader Suite are:

        CreditProduct Focused on the core analytics, and the curve, the parameter, and the product definitions.

        CreditAnalytics Concerned with the construction and the implementation of the interfaces defined in CreditProduct, analytics environment management, and functional distribution.

        CurveBuilder Provides the functionality for highly customized discount, forward, credit, and FX curve construction, customized with wide variety of basis splines, calibration instrument types and measures <pdf>

        SplineLibrary Provides the functionality for building, calibrating, and evaluating different kinds of splines <pdf>

        SensitivityGenerator details the techniques and methodologies behind the sensitivity generation software employed in Credit Analytics <pdf>

        FixedPointFinder Provides the implementation of all the standard bracketing and open root finding techniques, along with a customizable and configurable framework that separates the initialization/bracketing functionality from the eventual root search <pdf>

        RegressionSuite This aims to ease testing of analytics, measurement and generation of the execution time distribution, as well as release performance characterization.

 

Credit Trader Suite software and documentation is organized over the following files and location:

        User and Developer Guide <html> <pdf>

        Product and Functional Coverage <pdf>

        Release Notes <html> <pdf>

        Javadoc API Guide <html> <jar>

        Samples <html>

 

Specialized documentation on specific libraries and computational methodology is also available.

        Bond RV Measures Definition and Calculation

        Bond Measure Calibration Grid

        Curve Builder

        Spline Library

        Sensitivity Generator

        Fixed Point Finder Framework

 

The Download area always contains the full latest source and binaries.

 

Installation and configuration is very straightforward. The final section of the User Developer Guide contains notes on this.