CreditProduct aims to define the functional and behavioral interfaces behind curves, products, and different parameter types (market, valuation, pricing, and product parameters). To facilitate this, it implements various day count conventions, holiday sets, period generators, and calculation outputs.
CreditProduct library achieves its design goal by implementing its functionality over several packages:
· Dates and holidays coverage: Covers a variety of day count conventions, 120+ holiday locations, as well as custom user-defined holidays
· Curve and analytics definitions: Defines the base functional interfaces for the variants of discount curves, credit curves, and FX curves
· Market Parameter definitions: Defines quotes, component/basket market parameters, and custom scenario parameters
· Valuation and Pricing Parameters: Defines valuation, settlement/work-out, and pricing parameters of different variants
· Product and product parameter definitions: Defines the product creation and behavior interfaces for Cash/EDF/IRS (all rates), bonds/CDS (credit), and basket bond/CDS, and their feature parameters.
· Output measures container: Defines generalized component and basket outputs, as well customized outputs for specific products
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