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Credit Trader 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 3 core libraries – CreditProduct, CreditAnalytics, and RegressionSuite, and a supporting suite of numerical libraries (FixedPointFinder and SensitivityGenerator).

 

The main challenges that Credit Trader Suite 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

·        Related suite of numerical functionality

·        Ease of usage, installation, and deployment

 

Credit Trader Suite is an attempt to overcome the shortcomings of commercial and Open Source libraries in the credit trading area. It aims to bring the aspects mentioned above together in one Open Source implementation that readily integrates onto existing systems.

 

The core and the supporting libraries that 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

·        RegressionSuite – This aims to ease testing of analytics, measurement and generation of the execution time distribution, as well as release performance characterization.

·        FixedPointFinder - A suite that implements a framework, as well as a comprehensive set of one-dimensional root finders.

·        SensitivityGenerator - A suite that implements a) the sensitivity Jacobians of the product to the curve nodes, and b) Monte-Carlo path-dependent pay-off sensitivities.

 

Credit Suite documentation is arranged over the following locations and files:

·        User and Developer Guide <html> <pdf>

·        Product and Functional Coverage <pdf>

·        Package Scheme <pdf>

·        Release Notes <html> <pdf>

·        Javadoc API Guide <html> <jar>

·        Samples <html>

 

Additional documentation is available on some the specific calculations:

·        Bond RV Measures Definition and Calculation

·        Bond Measure Calibration Grid

·        One dimensional Root Finder Framework

·        Sensitivity Generator

 

Finally, please check out the download area for the complete latest CreditSuite source and binaries.

 

Please consult the individual libraries using their links for their installation, configuration, and deployment details.