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Project Admins:

• Lakshmi Krishnamurthy

[Lakshmi Krishnamurthy]

DRIP CreditAnalytics

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Lakshmi Krishnamurthy
v2.3 23 January 2014

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DRIP CreditAnalytics and DRIP CreditProduct are part of DRIP CreditSuite – open suite analytics and trading/valuation system for credit products. Detailed documentation and downloads may be found here.

DRIP CreditProduct provides the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pricing, and product parameters). To facilitate this, it implements various day count conventions, holiday sets, period generators, and calculation outputs.

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

• Dates and holidays coverage: Covers a variety of day count conventions, 120+ holiday locations, as well as custom user-defined holidays
• Curve and analytics definitions: Defines the base functional interfaces for the variants of discount curves, credit curves, and FX curves
• Market Parameter definitions: Defines quotes, component/basket market parameters, and custom scenario parameters
• Valuation and Pricing Parameters: Defines valuation, settlement/work-out, and pricing parameters of different variants
• Product and product parameter definitions: Defines the product creation and behavior interfaces for Cash/EDF/IRS (all rates), bonds/CDS (credit), and basket bond/CDS, and their feature parameters.
• Output measures container: Defines generalized component and basket outputs, as well customized outputs for specific products

DRIP CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces defined in DRIP CreditProduct. It also implements a curve/parameter/product/analytics management environment, and has packaged samples and testers.

DRIP 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 all 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 DRIP CreditAnalytics binary along with the complete DRIP CreditSuite source from the link here.

To install DRIP CreditAnalytics, put CreditAnalytics.jar onto the class-path. Use Config.xml to configure custom holidays.

The Oracle ODBC driver is optional – it is used for the ref data connection.

Licence

DRIP CreditAnalytics is distributed under the Apache 2.0 licence - please see the attached Licence for details.

Contributors

Manjunath Boraiah
Michael Beer
Luis Cota
Abraham Gulko
Oleg Kommissorov
Lakshmi Krishnamurthy
Warren Master
Rice Naylor
Giacomo Sergio
Bjoern Weidlich

[Lakshmi Krishnamurthy]

Credit Analytics 2.3 Documents