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Project Admins:

• Lakshmi Krishnamurthy

[Lakshmi Krishnamurthy]

DRIP CreditSuite

Lakshmi Krishnamurthy
v2.3 23 January 2014

CreditSuite 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 over 6 main libraries – CreditProduct, CreditAnalytics, CurveBuilder, SplineLibrary, FixedPointFinder, and RegressionSuite.

The main challenges that DRIP CreditSuite 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 implementations and constructors
Environmental system to hold live ticks, closing marks, and reference data containers
Enhanced analytics testing
Ease of usage, installation, and deployment
DRIP CreditSuite aims to bring the aspects mentioned above together in one Open Source implementation that readily integrates onto existing systems.

The libraries the constitute DRIP CreditSuite 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.
SplineLibrary Provides the functionality for building, calibrating, and evaluating different kinds of splines for use in latent state representation.
SensitivityGenerator Details the techniques and methodologies behind the sensitivity generation software employed in Credit Analytics.
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.
RegressionSuite This aims to ease testing of analytics, measurement and generation of the execution time distribution, as well as release performance characterization.
Download DRIP CreditSuite binary along with the complete DRIP CreditSuite source from the link here.

To install DRIP CreditSuite, drop it into the class-path. Use Config.xml to configure custom holidays.

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

Detailed documentation and downloads for DRIP CreditSuite may be found here.