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/product/analytics management environment, and has packaged samples and testers.

 

CreditAnalytics library achieves its design goal by implementing its functionality over several packages:

        Curve calibration and creation: Functional implementation and creation factories for rates curves, credit curves, and FX curves of al types

        Market Parameter implementation and creation: Implementation and creation of quotes, component/basket market parameters, as well as scenario parameters.

        Product implementation and creation: Implementation and creation factories for rates products (cash/EDF/IRS), credit products (bonds/CDS), as well as basket products.

        Reference data/marks loaders: Loaders for bond/CDX, as well a sub-universe of closing marks

        Calculation Environment Manager: Implementation of the market parameter container, manager for live/closing curves, stub/client functionality for serverization/distribution, input/output serialization.

        Samples: Samples for curve, parameters, product, and analytics creation and usage

        Unit functional testers: Detailed unit scenario test of various analytics, curve, parameter, and product functionality.

 

Download Source and the binary from the Downloads area.

 

Credit Analytics Library consists of the following 12 packages:

 

1.      Reference Data Loaders: This package contains functionality that loads the bond and the CDS reference data, as well as closing marks for a few date ranges.

2.      Analytics Configurator: This package contains functionality to configure various aspects of Credit Analytics.

3.      Market, Quote, and Scenario Parameter Implementations: This contains the implementations of the Credit Product interfaces representing the quotes, the basket/component market parameters, and the scenario curve containers.

4.      Market, Quote, and Scenario Parameter Creators: This contains the builder factories for the quotes, market parameters, and the scenario curves.

5.      Rates Component Implementations: This contains the implementations of the Credit Product interfaces for Cash, Euro-dollar future, fixed/floating streams, interest rate swap instruments, and rates basket products.

6.      Credit Product Implementations: This contains the implementations of the Credit Product interfaces for Bonds, CDS, basket CDS, and bond baskets.

7.      FX Product Implementations: This contains the implementation of the Credit Product interface for FX products.

8.      Product Creators: This contains the creators for the various rates, credit, and FX component and basket products.

9.      Analytics Environment Manager: This provides functionality for loading products from their reference data and managing them, as well as creating/accessing live/closing curves.

10.  Analytics Bridge: This provides the stub and proxy functionality for invoking Credit Analytics functionality in a remote server and extracting the results.

11.  Analytics API: This provides a unified and comprehensive functional, static interface of all the main Credit Analytics functionality.

12.  Functional Testers: This contains a fairly extensive set of unit and composite testers for the curve, products, serialization, and analytics functionality provided by the Credit Analytics suite, with a special focus on bonds.