Credit Suite

CreditSuite

Lakshmi Krishnamurthy
v2.2, 17 August 2013

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 5 main libraries – CreditProduct, CreditAnalytics, SplineLibrary, SensitivityGenerator, FixedPointFinder, and RegressionSuite.

The main challenges that 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 implementers and constructors
· Environmental system to hold live ticks, closing marks, and reference data containers
· Enhanced analytics testing
· Ease of usage, installation, and deployment

While a number of other libraries - both Open Source implementations and proprietary systems - exist, they typically cater to the needs of the wider financial mathematics community, thus diluting their value towards treating credit products. Further, few of them inherently export a curve/product/product models that work well with products quotes, marks, and reference data sources, thereby forcing development teams to build their own integration layers from scratch. Finally, building the components of functional credit-trading system requires additional layers of development over analytics.

CreditSuite is an attempt to overcome these shortcomings. It aims to bring the aspects mentioned above together in one Open Source implementation that readily integrates onto existing systems.

The libraries the constitute the Credit Analytics Suite 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
· SplineLibrary - Provides the functionality for building, calibrating, and evaluating different kinds of splines.
· 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 CreditSuite binary along with the complete CreditSuite source from the link here.

To install 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 CreditSuite may be found here.

[Lakshmi Krishnamurthy]

Bond RV Measures Calculation 2.2

[Lakshmi Krishnamurthy]

Bond Calibration Grid 2.2

[Lakshmi Krishnamurthy]

Coverage 2.2

[Lakshmi Krishnamurthy]

Spline Library 2.2

[Lakshmi Krishnamurthy]

Sensitivity Generator 2.2

[Lakshmi Krishnamurthy]

Release Notes 2.2

[Lakshmi Krishnamurthy]

User Developer Guide 2.2

[Lakshmi Krishnamurthy]

Fixed Point Finder 2.2