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