FixedPointSearch
contains a sample illustration of usage of the Root Finder Library. It
demonstrates the fixed-point extraction using the following techniques:

·
Newton-Raphson
method

·
Bisection
Method

·
False Position

·
Quadratic
Interpolation

·
Inverse
Quadratic Interpolation

·
Ridder's method

· Brent's method

· Zheng's method

IntegrandQuadrature
shows samples for the following routines for integrating the objective
function:

·
Mid-Point Scheme

·
Trapezoidal
Scheme

·
Simpson/Simpson38
schemes

·
Boole Scheme

LinearAlgebra
implements Samples for Linear Algebra and Matrix Manipulations. It demonstrates
the following:

·
Compute the
inverse of a matrix, and multiply with the original to recover the unit matrix

·
Solves system
of linear equations using one the exposed techniques

BasisSplineSet implements Samples for the Construction and the usage
of various basis spline functions. It demonstrates the following:

·
Construction of segment control parameters - polynomial
(regular/Bernstein) segment control, exponential/hyperbolic tension segment
control, Kaklis-Pandelis tension segment control, and Hermite

·
Control the segment using the rational shape controller, and the
appropriate

· Estimate the node value and the node value Jacobian with the segment, as well as at the boundaries

· Calculate the segment monotonicity

PolynomialBasisSpline implements Samples for the Construction and the
usage of polynomial (both regular and Hermite) basis spline functions. It
demonstrates the following:

·
Control the polynomial segment using the rational shape controller,
the appropriate, and the basis function

·
Demonstrate the variational shape optimization behavior

·
Estimate the node value and the node value Jacobian with the segment,
as well as at the boundaries

·
Calculate the segment monotonicity and the curvature penalty

BasisTensionSplineSet implements Samples for the Construction and the
usage of various basis spline functions. It demonstrates the following:

·
Construction of Kocke-Lyche-Kvasov tension spline segment control
parameters - using hyperbolic, exponential, rational linear, and rational
quadratic primitives

·
Control the segment using the rational shape controller, and the
appropriate

· Estimate the node value and the node value Jacobian with the segment, as well as at the boundaries

· Calculate the segment monotonicity

BasisBSplineSet implements Samples for the Construction and the usage of various basis B Spline functions.

BasisMonicHatComparison implements the comparison of the basis hat
functions used in the construction of the monic basis B Splines. It
demonstrates the following:

·
Construction of the Linear Cubic Rational Raw Hat Functions

·
Construction of the Quadratic Cubic Rational Raw Hat Functions

·
Construction of the Corresponding Processed Tension Basis Hat
Functions

· Construction of the Wrapping Monic Functions

· Estimation and Comparison of the Ordered Derivatives

BasisMonicBSpline implements Samples for the Construction and the
usage of various monic basis B Splines. It demonstrates the following:

·
Construction of segment B Spline Hat Basis Functions

· Estimation of the derivatives and the basis envelope cumulative integrands

· Estimation of the normalizer and the basis envelope cumulative normalized integrand

BasisMulticBSpline implements Samples for the Construction and the
usage of various multic basis B Splines. It demonstrates the following:

·
Construction of segment higher order B Spline Hat Basis Functions

· Estimation of the derivatives and the basis envelope cumulative integrands

· Estimation of the normalizer and the basis envelope cumulative normalized integrand

BSplineSequence implements Samples for the Construction and the usage
of various monic basis B Spline Sequences. It demonstrates the following:

·
Construction and Usage of segment Monic B Spline
Sequence

·
Construction and Usage of segment Multic B Spline
Sequence

StretchEstimation demonstrates the Stretch builder and usage API. It
shows the following:

·
Construction of segment control parameters - polynomial
(regular/Bernstein) segment control, exponential/hyperbolic tension segment
control, Kaklis-Pandelis tension segment control

·
Perform the following sequence of tests for a given segment control
for a predictor/response range

o Assign the
array of Segment Builder Parameters - one per segment

o Construct the
Stretch Instance

o Estimate,
compute the segment-by-segment monotonicity and the Stretch Jacobian

o Construct a new
Stretch instance by inserting a pair of predictor/response knots

o Estimate,
compute the segment-by-segment monotonicity and the Stretch Jacobian

·
Demonstrate the construction, the calibration, and the usage of Local
Control Segment Spline

·
Demonstrate the construction, the calibration, and the usage of
Lagrange Polynomial Stretch

· Demonstrate the construction, the calibration, and the usage of C1 Stretch with the desired customization.

TensionStretchEstimation demonstrates the Stretch builder and usage
API. It shows the following:

·
Construction of segment control parameters - polynomial
(regular/Bernstein) segment control, exponential/hyperbolic tension segment
control, Kaklis-Pandelis tension segment control

·
Tension Basis Spline Test using the specified predictor/response set
and the array of segment custom builder control parameters

·
Complete the full tension stretch estimation sample test

StretchAdjuster demonstrates the Stretch Manipulation and Adjustment
API. It shows the following:

·
Construct a simple Base Stretch

·
Clip a left Portion of the Stretch to construct a left-clipped
Stretch

·
Clip a right Portion of the Stretch to construct a tight-clipped
Stretch

· Compare the values across all the stretches to establish a) the continuity in the base smoothness is, preserved, and b) Continuity across the predictor ordinate for the implied response value is also preserved

RegressionSplineEstimator shows the sample construction and usage of Regression Splines. It demonstrates the construction of the segment's predictor ordinate/response value combination, and eventual calibration.

PenalizedCurvatureFit demonstrates the setting up and the usage of
the curvature and closeness of fit penalizing spline. It illustrates in detail
the following steps:

·
Set up the X Predictor Ordinate and the Y Response Value Set

·
Construct a set of Predictor Ordinates, their Responses, and
corresponding Weights to serve as weighted closeness of fit

·
Construct a rational shape controller with the desired shape
controller tension parameters and Global Scaling

·
Construct the segment inelastic parameter that is C2, with 2nd order
roughness penalty derivative, and without constraint

·
Construct the base, the base + 1 degree segment builder control

·
Construct the base, the elevated, and the best fit basis spline
stretches

·
Compute the segment-by-segment monotonicity for all the three
stretches

·
Compute the Stretch Jacobian for all the three stretches

·
Compute the Base Stretch Curvature Penalty Estimate

· Compute the Elevated Stretch Curvature Penalty Estimate

· Compute the Best Fit Stretch Curvature Penalty Estimate

PenalizedCurvatureLengthFit demonstrates the setting up and the usage
of the curvature, the length, and the closeness of fit penalizing spline. This
sample shows the following:

·
Set up the X Predictor Ordinate and the Y Response Value Set

·
Construct a set of Predictor Ordinates, their Responses, and
corresponding Weights to serve as weighted closeness of fit

·
Construct a rational shape controller with the desired shape
controller tension parameters and Global Scaling

·
Construct the Segment Inelastic Parameter that is C2, with First
Order Segment Length Penalty Derivative, Second Order Segment Curvature Penalty
Derivative, their Amplitudes, and without Constraint

·
Construct the base, the base + 1 degree segment builder control

·
Construct the base, the elevated, and the best fit basis spline
stretches

·
Compute the segment-by-segment monotonicity for all the three
stretches

·
Compute the Stretch Jacobian for all the three stretches

·
Compute the Base Stretch Curvature, Length, and the Best Fit DPE

· Compute the Elevated Stretch Curvature, Length, and the Best Fit DPE

· Compute the Best Fit Stretch Curvature, Length, and the Best Fit DPE

CustomCurveBuilder contains samples that demo how to build a discount
curve from purely the cash flows. It provides for elaborate curve builder
control, both at the segment level and at the Stretch level. In particular, it
shows the following:

·
Construct a discount curve from the discount factors available purely
from the cash and the euro-dollar instruments

·
Construct a discount curve from the cash flows available from the
swap instruments

In addition, the sample demonstrates the following ways of
controlling curve construction:

·
Control over the type of segment basis spline

·
Control over the polynomial basis spline order , and tension parameters

o Provision of
custom shape controllers (in this case rational shape controller)

·
Calculation of segment monotonicity and convexity

BondAnalyticsAPI
contains a demo of the bond analytics API Sample. It generates the value and
the RV measures for essentially the same bond (with identical cash flows) constructed
in 3 different ways:

·
As a fixed rate
bond

·
As a floater

· As a bond constructed from a set of custom coupon and principal flows

It shows these measures reconcile where they should.

BondBasketAPI
contains a demo of the bond basket API Sample. It shows the following:

·
Build the IR
Curve from the Rates' instruments

·
Build the
Component Credit Curve from the CDS instruments

·
Create the
basket market parameters and add the named discount curve and the credit curves
to it

·
Create the bond
basket from the component bonds and their weights

·
Construct the
Valuation and the Pricing Parameters

·
Generate the
bond basket measures from the valuation, the pricer, and the market parameters

BondLiveAndEODAPI
contains the comprehensive sample class demonstrating the usage of the EOD and
Live Curve Bond API functions.

BondRVMeasuresAPI
is a Simple Bond RV Measures API Sample demonstrating the invocation and usage
of Bond RV Measures functionality. It shows the following:

·
Create the
discount/treasury curve from rates/treasury instruments

·
Compute the
work-out date given the price

· Compute and display the base RV measures to the work-out date

· Compute and display the bumped RV measures to the work-out date

BondStaticAPI
contains a demo of the bond static API Sample. The Sample demonstrates the
retrieval of the bond's static fields.

CreditAnalyticsAPI
contains a demo of the CDS Analytics API Sample. It illustrates the following:

·
Credit Curve
Creation: From flat Hazard Rate, and from an array of dates and their
corresponding survival probabilities

· Create Credit Curve from CDS instruments, and recover the input measure quotes

· Create an SNAC CDS, price it, and display the coupon/loss cash flow

CDSLiveAndEODAPI
is a fairly comprehensive sample demonstrating the usage of the EOD and Live
CDS Curve API functions. It demonstrates the following:

·
Retrieves all
the CDS curves available for the given EOD

·
Retrieves the
calibrated credit curve from the CDS instruments for the given CDS curve name,
IR curve name, and EOD. Also shows the 10Y survival probability and hazard rate

·
Displays the
CDS quotes used to construct the closing credit curve

·
Loads all
available credit curves for the given curve ID built from CDS instruments
between 2 dates and displays the corresponding 5Y quote

·
Calculate and
display the EOD CDS measures for a spot starting CDS based off of a specific
credit curve

StandardCDXAPI
contains a demo of the CDS basket API Sample. It shows the following:

·
Construct the
CDX.NA.IG 5Y Series 17 index by name and series

·
Construct the
on-the-run CDX.NA.IG 5Y Series index

·
List all the
built-in CDX - their names and descriptions

·
Construct the
on-the run CDX.EM 5Y corresponding to T - 1Y

· Construct the on-the run ITRAXX.ENERGY 5Y corresponding to T - 7Y

· Retrieve the full set of date/index series set for ITRAXX.ENERGY

CDSBasketAPI
contains a demo of the CDS basket API Sample. It shows the following:

·
Build the IR
Curve from the Rates' instruments

·
Build the
Component Credit Curve from the CDS instruments

·
Create the
basket market parameters and add the named discount curve and the credit curves
to it

·
Create the CDS
basket from the component CDS and their weights

· Construct the Valuation and the Pricing Parameters

· Generate the CDS basket measures from the valuation, the pricer, and the market parameters

This sample
illustrates using the Hagan and West (2006) Estimator. It provides the
following functionality:

·
Set up the
Predictor ordinates and the response values

·
Construct the
rational linear shape control with the specified tension

·
Create the
Segment Inelastic design using the Ck and Curvature Penalty Derivatives

·
Build the Array
of Segment Custom Builder Control Parameters of the KLK Hyperbolic Tension
Basis Type, the tension, the segment inelastic design control, and the shape
controller

·
Setup the
monotone convex stretch using the above settings, and with no linear inference,
no spurious extrema, or no monotone filtering applied

·
Setup the
monotone convex stretch using the above settings, and with linear inference, no
spurious extrema, or no monotone filtering applied

· Compute and display the monotone convex output with the linear forward state

· Compute and display the monotone convex output with the harmonic forward state

ShapeDFZeroLocalSmooth
demonstrates the usage of different local smoothing techniques involved in the
discount curve creation. It shows the following:

·
Construct the
Array of Cash/Swap Instruments and their Quotes from the given set of
parameters

·
Construct the
Cash/Swap Instrument Set Stretch Builder

·
Set up the
Linear Curve Calibrator using the following parameters:

o Cubic Exponential Mixture Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Akima Local Curve Control parameters as follows:

o Akima Monotone
Smoothener with spurious extrema elimination and monotone filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Harmonic Local Curve Control parameters as follows:

o Harmonic Monotone
Smoothener with spurious extrema elimination and monotone filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Hyman 1983 Local Curve Control parameters as follows:

o Hyman 1983 Monotone Smoothener with spurious extrema
elimination and monotone filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Hyman 1989 Local Curve Control parameters as follows:

o Akima Monotone Smoothener with spurious extrema elimination
and monotone filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Huynh-Le Floch Delimited Local Curve Control parameters as follows:

o Huynh-Le Floch
Delimited Monotone Smoothener with spurious extrema elimination and monotone
filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Set up the
Kruger Local Curve Control parameters as follows:

o Kruger Monotone
Smoothener with spurious extrema elimination and monotone filtering applied

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

·
Construct the
Shape Preserving Discount Curve by applying the linear curve calibrator to the
array of Cash and Swap Stretches

·
Construct the
Akima Locally Smoothened Discount Curve by applying the linear curve calibrator
and the Local Curve Control parameters to the array of Cash and Swap Stretches
and the shape-preserving discount curve

·
Construct the
Harmonic Locally Smoothened Discount Curve by applying the linear curve
calibrator and the Local Curve Control parameters to the array of Cash and Swap
Stretches and the shape preserving discount curve

·
Construct the
Hyman 1983 Locally Smoothened Discount Curve by applying the linear curve
calibrator and the Local Curve Control parameters to the array of Cash and Swap
Stretches and the shape preserving discount curve

·
Construct the
Hyman 1989 Locally Smoothened Discount Curve by applying the linear curve
calibrator and the Local Curve Control parameters to the array of Cash and Swap
Stretches and the shape preserving discount curve

·
Construct the
Huynh-Le Floch Delimiter Locally Smoothened Discount Curve by applying the
linear curve calibrator and the Local Curve Control parameters to the array of
Cash and Swap Stretches and the shape preserving discount curve

·
Construct the
Kruger Locally Smoothened Discount Curve by applying the linear curve
calibrator and the Local Curve Control parameters to the array of Cash and Swap
Stretches and the shape preserving discount curve

· Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve construction methodologies

· Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve construction methodologies for a sequence of bespoke swap instruments

ShapePreservingDFZeroSmooth
demonstrates the usage of different shape preserving and smoothing techniques
involved in the discount curve creation. It shows the following:

o Construct the Array of Cash/Swap Instruments
and their Quotes from the given set of parameters

o Construct the Cash/Swap Instrument Set
Stretch Builder

o Set up the Linear Curve Calibrator using the
following parameters:

o Cubic Exponential Mixture Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

o Set up the Global Curve Control parameters as
follows:

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

o Set up the Local Curve Control parameters as
follows:

o Bessel Monotone Smoothener with no spurious extrema
elimination and no monotone filter

o Zero Rate Quantification Metric

o Cubic Polynomial Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

o Construct the Shape Preserving Discount Curve
by applying the linear curve calibrator to the array of Cash and Swap Stretches

o Construct the Globally Smoothened Discount
Curve by applying the linear curve calibrator and the Global Curve Control
parameters to the array of Cash and Swap Stretches and the shape preserving
discount curve

o Construct the Locally Smoothened Discount
Curve by applying the linear curve calibrator and the Local Curve Control
parameters to the array of Cash and Swap Stretches and the shape preserving
discount curve

o Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve construction methodologies

o Cross-Comparison of the Swap Calibration Instrument "Rate" metric across the different curve construction methodologies for a sequence of bespoke swap instruments

CustomDiscountCurveBuilder
discount curve calibration and input instrument calibration quote recovery. It
shows the following:

o Construct the Array of Cash/Swap Instruments
and their Quotes from the given set of parameters

o Construct the Cash/Swap Instrument Set
Stretch Builder

o Set up the Linear Curve Calibrator using the
following parameters:

o Cubic Exponential Mixture Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

o Construct the Shape Preserving Discount Curve by applying the linear curve calibrator to the array of Cash and Swap Stretches

o Cross-Comparison of the Cash/Swap Calibration Instrument "Rate" metric across the different curve construction methodologies

CustomDiscountCurveReconciler
demonstrates the multi-stretch transition custom discount curve construction,
turns application, discount factor extraction, and calibration quote recovery.
It shows the following steps:

o Setup the linear curve calibrator

o Setup the cash instruments and their quotes
for calibration

o Setup the cash instruments stretch latent
state representation - this uses the discount factor quantification metric and
the "rate" manifest measure

o Setup the swap instruments and their quotes
for calibration

o Setup the swap instruments stretch latent
state representation - this uses the discount factor quantification metric and
the "rate" manifest measure

o Calibrate over the instrument set to generate
a new overlapping latent state span instance

o Retrieve the "cash" stretch from
the span

o Retrieve the "swap" stretch from
the span

o Create a discount curve instance by
converting the overlapping stretch to an exclusive non-overlapping stretch

o Compare the discount factors and their
monotonicity emitted from the discount curve, the non-overlapping span, and the
"swap" stretch across the range of tenor predictor ordinates

o Cross-Recovery of the Cash Calibration
Instrument "Rate" metric across the different curve construction
methodologies

o Cross-Recovery of the Swap Calibration
Instrument "Rate" metric across the different curve construction
methodologies

o Create a turn list instance and add new turn
instances

o Update the discount curve with the turn list

o Compare the discount factor implied the discount curve with and without applying the turns adjustment

DiscountCurveQuoteSensitivity
demonstrates the calculation of the discount curve sensitivity to the
calibration instrument quotes. It does the following:

o Construct the Array of Cash/Swap Instruments
and their Quotes from the given set of parameters

o Construct the Cash/Swap Instrument Set
Stretch Builder.

o Set up the Linear Curve Calibrator using the
following parameters:

o Cubic Exponential Mixture Basis Spline Set

o , Segment Curvature Penalty = 2

o Quadratic Rational Shape Controller

o Natural Boundary Setting

o Construct the Shape Preserving Discount Curve
by applying the linear curve calibrator to the array of Cash and Swap Stretches

o Cross-Comparison of the Cash/Swap Calibration
Instrument "Rate" metric across the different curve construction
methodologies

o Display of the Cash Instrument Discount Factor Quote Jacobian Sensitivities

o Display of the Swap Instrument Discount Factor Quote Jacobian Sensitivities

TemplatedDiscountCurveBuilder
sample demonstrates the usage of the different pre-built Discount Curve
Builders. It shows the following:

·
Construct the
Array of Cash Instruments and their Quotes from the given set of parameters

·
Construct the
Array of Swap Instruments and their Quotes from the given set of parameters

·
Construct the
Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver

·
Construct the
Cubic Tension KLK Hyperbolic Discount Factor Shape Preserver with Zero Rate
Smoothening applied

·
Construct the
Cubic Polynomial Discount Factor Shape Preserver

·
Construct the
Cubic Polynomial Discount Factor Shape Preserver with Zero Rate Smoothening
applied

·
Construct the
Discount Curve using the Bear Sterns' DENSE Methodology

·
Construct the
Discount Curve using the Bear Sterns' DUALDENSE Methodology

·
Cross-Comparison
of the Cash Calibration Instrument "Rate" metric across the different
curve construction methodologies

·
Cross-Comparison
of the Swap Calibration Instrument "Rate" metric across the different
curve construction methodologies

·
Cross-Comparison
of the generated Discount Factor across the different curve construction
Methodologies for different node points

CustomForwardCurveBuilder
contains the sample demonstrating the full functionality behind creating highly
customized spline based forward curves.

The first sample
illustrates the creation and usage of the xM-6M Tenor Basis Swap:

·
Construct the
6M-xM float-float basis swap

·
Calculate the
corresponding starting forward rate off of the discount curve

·
Construct the
shape preserving forward curve off of Cubic Polynomial Basis Spline

·
Construct the
shape preserving forward curve off of Quartic Polynomial Basis Spline

·
Construct the
shape preserving forward curve off of Hyperbolic Tension Based Basis Spline

·
Set the
discount curve based component market parameters

·
Set the
discount curve + cubic polynomial forward curve based component market
parameters

·
Set the
discount curve + quartic polynomial forward curve based component market
parameters

·
Set the discount
curve + hyperbolic tension forward curve based component market parameters

·
Compute the
following forward curve metrics for each of cubic polynomial forward, quartic
polynomial forward, and KLK Hyperbolic tension forward curves:

o Reference Basis Par Spread

o Derived Basis Par Spread

·
Compare these
with a) the forward rate off of the discount curve, b) The LIBOR rate, and c)
The Input Basis Swap Quote

The second sample
illustrates how to build and test the forward curves across various tenor
basis. It shows the following steps:

·
Construct the
Discount Curve using its instruments and quotes

·
Build and run
the sampling for the 1M-6M Tenor Basis Swap from its instruments and quotes

·
Build and run
the sampling for the 3M-6M Tenor Basis Swap from its instruments and quotes

· Build and run the sampling for the 6M-6M Tenor Basis Swap from its instruments and quotes

· Build and run the sampling for the 12M-6M Tenor Basis Swap from its instruments and quotes

RatesAnalyticsAPI
contains a demo of the Rates Analytics API Usage. It shows the following:

·
Build a
discount curve using: cash instruments only, EDF instruments only, IRS
instruments only, or all of them strung together

· Re-calculate the component input measure quotes from the calibrated discount curve object

· Compute the PVDF Wengert Jacobian across all the instruments used in the curve construction

TreasuryCurveAPI
contains a demo of construction and usage of the treasury discount curve from
government bond inputs. It shows the following:

·
Create
on-the-run TSY bond set

· Calibrate a discount curve off of the on-the-run yields and calculate the implied zeroes and DF's

· Price an off-the-run TSY

RatesLiveAndEODAPI
contains the sample API demonstrating the usage of the Rates Live and EOD
functions. It does the following:

·
Pulls all the
closing rates curve names (of any type, incl. TSY) that exist for a given date

·
Load the full
IR curve created from all the single currency rate quotes (except TSY) for the
given currency and date

·
Calculate the
discount factor to an arbitrary date using the constructed curve

·
Retrieve the
components and their quotes that went into constructing the curve, and display
them

·
Load all the
rates curves available between the dates for the currency specified, and step
through

·
Load all the
Cash quotes available between the dates for the currency specified, and step
through

·
Load all the
EDF quotes available between the dates for the currency specified, and step
through

·
Load all the
IRS quotes available between the dates for the currency specified, and step
through

· Load all the TSY quotes available between the dates for the currency specified, and step through

MultiLegSwapAPI
illustrates the creation, invocation, and usage of the MultiLegSwap. It shows
how to:

·
Create the
Discount Curve from the rates instruments

·
Set up the
valuation and the market parameters

· Create the Rates Basket from the fixed/float streams

· Value the Rates Basket

DayCountAndCalendarAPI
demonstrates Day-count and Calendar API FUnctionality. It does the following:

·
Get all the
holiday locations in CreditAnalytics, and all the holidays in the year
according the calendar set

·
Get all the
week day/weekend holidays in the year according the calendar set

·
Calculate year
fraction between 2 dates according to __semi__-annual, Act/360, and USD
calendar

· Adjust the date FORWARD according to the USD calendar

· Roll to the PREVIOUS date according to the USD calendar

FXAPI contains a
demo of the FX API Sample. It shows the following:

·
Create a
currency pair, FX SPot, and FX Forward

·
Calculate the
FX forward PIP/outright

·
Calculate the
DC Basis on the domestic and the foreign curves

·
Create an FX
curve from the spot, and the array of nodes, FX forward, as well as the PIP
indicator

·
Calculate the
array of the domestic/foreign basis

· Calculate the array of bootstrapped domestic/foreign basis

· Re-imply the array of FX Forward from domestic/foreign Basis Curve

CDSW replicates Bloomberg’s CDSW functionality.

SWPM replicates Bloomberg’s SWPM functionality.

YAS replicates Bloomberg’s YAS functionality.