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:
· 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
While a number of other libraries - both Open Source implementations and proprietary systems such as Fincad, NumeriX, Algorithmics 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.
Credit Trader Suite 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:
· CreditAnalytics – Concerned with the construction and the implementation of the interfaces defined in CreditProduct, analytics environment management, and functional distribution.
· CreditProduct – Focused on the core analytics, and the curve, the parameter, and the product definitions.
· CurveBuilder – Provides the functionality for highly customzed discount, forward, credit, and FX curve construction, customized with wide variety of basis splines, calibration instrument types and measures.
· SplineLibrary – Provides the functionality for building, calibrating, and evaluating different kinds of splines for use in latent state representation.
· FixedPointFinder – Provides the implmentation of all the standard bracketing and open root finding techniques, along with a customizable and configurable framework that separates the initilization/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 Source and the binary from the Downloads area.