CDX/iTRAXX Implementations

Full featured financial fixed-income, credit, and bond analytics/risk

Brought to you by: lakshmi7977

Milestone: 1.3

Status: open

Owner: nobody

Labels: None

Updated: 2012-03-26

Created: 2012-03-26

Private: No

In addition to the custom CDS portfolio, need to implement the standard CDX/iTRAXX baskets

Implement the indexes for the different Index, Series, Tenor, Version
Support for CDX NA IG, HY, HVOL, XO, HY.BB, HY.B, CDX.EM
Support for iTRAXX EUR IG, HY, HVOL, XO, NONFIN, FINSNR, FINSUB
Ability to retrieve the standardized index by name/series/version, and tenor, and also get the on-the-run named index for the given tenor, for the given date
Make all these functionality available as Credit Analytics API