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 in a single library over 6 main components - CreditAnalytics, CreditProduct, CurveBuilder, FixedPointFinder, RegressionSuite, and SplineLibrary.
The main challenges that Credit Trader Suite attempts to address are:
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 the constitute the Credit Trader 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.
· 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 <pdf>
· 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 <pdf>
· RegressionSuite – This aims to ease testing of analytics, measurement and generation of the execution time distribution, as well as release performance characterization.
Credit Trader Suite software and documentation is organized over the following files and location:
· Product and Functional Coverage <pdf>
· Samples <html>
Specialized documentation on specific libraries and computational methodology is also available.
The Download area always contains the full latest source and binaries.
Installation and configuration is very straightforward. The final section of the User Developer Guide contains notes on this.