DRIP Credit Analytics Release Notes



Lakshmi Krishnamurthy

v2.3 15 January 2014



15 January 2014 (v2.3)


·        Basis Spline Library Extensions:

o       Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)

o       Segment Local Curvature + Length Penalty Setup (aka pseudo  splines)

o       Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set

o       Penalty evaluated Regression Splines

o       Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.

·        B Spline Functionality:

o       Raw/Processed Basis Hat Functions Implementation

o       Synthetic Monic Basis B Spline generation with shape control

o       B Spline Sequence build-out using multic segment basis function aggregation

o       Custom closed form cubic KLK Hyperbolic Tension

o       Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage

·        Spline Based Discount Curve Build-Out:

o       Shape Preserving Discount Curve Build with and without turn list adjustment

o       Smoothing Discount Curve Build Pass with and without turn list adjustment

o       Transition Spline Based Discount Curve Construction

o       Estimation of the in-situ discount curve input quote Jacobian

o       Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE

·        Spline Based Forward Curve Build-Out:

o       Shape Preserving Forward Curve Build

o       Smoothing Forward Curve Build Pass

o       Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float

o       Labeled correlated discount factor/forward rate merge sub-stretch setup

o       Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian

·        Canned Product Metric Calculation:

o       Day-over-day discount curve build-out for 20 years for EM/G10

o       1D/1M/3M/6M Carry PnL

o       1D/1M/3M/6M Curve Roll Down PnL

o       1D Curve Shift PnL

o       Daily Forward Rate Matrix



11 August 2013 (v2.2)


·        CreditAnalytics Integration with Non-linear fixed-point searcher: Integration of the curve builder functionality with non-linear fixed-point searcher – with multiple search algorithms. Incorporation of linear searches as well.

·        Rich Set of Bloomberg Samples: Full replication of the standard BBG screens – YAS, SWPM, and CDSW – along with the measure details and cash flows. Also added targeted RV measures and multi-leg swap samples.

·        Product/Curve Jacobian Generation: Curve/Product Jacobian generation, both independent, and as part of the calibration, using adjoint algorithmic differentiation. Jacobians are available across the full set of curve construction/splining techniques.

·        Serverization of CreditAnalytics: Build-out of CreditAnalytics Stub and CreditAnalytics Proxy to act as the distributor of the CreditAnalytics functionality. Incorporation of bit-wise serialization and de-serialization across all product, computed output, curves, quotes, and parameters.

·        CreditAnalytics Integration with the Basis Spline Library: Integration of the design components, calibration formulation, implementation framework, and sufficiency evaluation/Jacobian generation in conjunction with the Basis Spline Library. Also exposing the full variety of discount curve construction techniques available using the basis spline library.



19 July 2012 (v1.6)


·        Separation between CreditProduct and CreditAnalytics: Separation of the functional and behavioral interface provided by CreditProduct, and the actual implementation provided by CreditAnalytics – currently merged onto a single jar.

·        Curve Re-factoring: Re-factoring and re-creation of the rates curve, the credit curve, the zero curve, and the FX basis/forward curves, along with their serialization, interface stub exposure, the creation factories, and the regression suite.

·        Parameter Re-factoring: Re-factoring and re-creation of the component and the multi-sided quotes, the component and the basket market parameters, the credit/rates/FX scenario curve containers, and the environmental market parameters container, along with their serialization, interface stub exposure, the creation factories, and the regression suite.

·        Product re-factoring: Re-factoring and re-creation of the bond, CDS, basket CDS, basket bond, Cash/EDF/IRS products, and the FX Spot/forward contracts, along with their serialization, interface stub exposure, the creation factories, and the regression suite.

·        BBG CDS Samples: Replication of the Bloomberg CDSW sample pricing in a specimen – incorporation of the credit/rates curve, as well the CDS product contract details, and emitting of the calculation results.



22 May 2012 (v1.5)


·        Regressor Framework: Implementation of the regressor set, tolerance check, curve scenario regressors, regression framework suite, and the eventual regression output.

·        Discount Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied rates and discount factors.

·        Credit Curve Regression: Regressing Base Curve Creation, scenario Curve creation, and calculation of spot/effective implied hazard rates, recoveries, and survival.

·        FX Curve Regression: Creation of the basis and forward curves, conversion from one to another, and implying of the basis nodes and the enhanced discount curve on the domestic/foreign discount curves.

·        Zero Curve Regression: Creation of the zero curve from the product cash flow nodes, implying of the zero rates and zero discount factors at the relevant nodes.



1 May 2012 (v1.4)


·        Supplemental Bond Measures: Implementation of the Yield Spread, the Zero Discount Margin, and the PECS calibration

·        Bond Analytics API Update: Documentation/Calculation Update for Yield Spread, Zero Spread, and PECS

·        Curve Enhancement and Samples: Enhanced Credit Curve calibration and full suite samples for discount and credit curve creation

·        Construction of CDX from Reference Data: Creation of CDX Reference Data series of objects from static reference data

·        CDX basket default Swap Analytics API: Suite of API for construction basket default swap objects off of the standard CDX reference data, as well as categorizing them.



23 March 2012 (v1.3)


·        Full implementation of the standard CDX contracts – all index varieties, series, tenors, and versions for CDX and iTRAXX

·        Comprehensive set of live and EOD detailed valuation and risk calculation samples for the rates, bond, CDS, CDX, and CDO products

·        Detailed CDS valuation and calibration measures – segmented into Fair and Market measures.

·        Implementation of discount margin and OAS for bonds

·        Specifications for the Bond Measure calculation and calibration from different kinds of inputs



22 February 2012 (v1.2)


·        Comprehensive coverage for the bond’s fair, market, and work-out measures from the set of relevant market parameters

·        “Value” calibration: Calibration of any market input parameter via solving for any of the “valued” measure – with specific optimizations added for the calibration process.

·        Node Tweaking: CreditAnalytics can now adjust input curves to create an arbitrary set of market scenario curves to build custom scenario valuers.

·        Simple APIs now to generate bond market measures for a given EOD.

·        Z Spread: Introduced multiple ways of implying – as a yield basis (also now called bond basis), as a discount curve parallel shift, and as a zero rates curve parallel bump.



23 January 2012 (v1.1)


·        Introduced support for Bond Basket and Bond ETFs.

·        Full support for amortization schedules (including principal pay down schedules).

·        FI API enhancement: Yield based analytics calls and simplification of the API calls

·        Additional bond fields (next exercise information, previous/current/next coupons/dates)

·        Remove dependency on odbc.jar



4 January 2012 (v1.0)


·        Added a base serializer class, and incorporated object level serialization for objects transmittable between AnalyticsClient and AnalyticsServer

·        Introduced a full-featured serialization test suite.



11 December 2011 - v0.11


·        Credit Curve enhanced to calculate time-weighted survival/bumped/recovery factors and hazard rates

·        Jzy3D surfaces moved onto a separate package

·        Complete set of named scenario credit curves moved into their own container.

·        Valuation parameters and work out information moved into their own separate classes

·        Separate test Suites for the bond and the credit functionality now available in Bond Test Suite and Functional Test Suite



24 November 2011 - v0.10


·        Discount Curve re-factored and enhanced to calculate time-weighted discount factors and rates

·        Weekend holidays array gets their own class

·        Complete set of named scenario IR curves moved into their own container.

·        Treasury benchmark set contains the primary treasury and an array of secondary treasuries.

·        Abstractable base component functionality now pushed into the component Class

·        Created the FI Sample to provide full interface sample for CreditAnalytics

·        Utilities internal to FI packaged into FI General



7 November 2011 - v0.09


·        FX Basis class provides the abstractable basis functionality

·        3D contour plots to make a surface “shadow”

·        Full set of credit feeds are now set in the Credit Feed class.

·        Credit Product Valuation Parameters now moved to a separate class.

·        Component specific calibration functionality now moved over to the Calibratable Component Abstract Class

·        Analytics Server acts as the CreditAnalytics server to the API Analytics Client.

·        Validatable class abstracts out the validation functionality



20 September 2011 - v0.08


·        Created a Day Count Basis class to now create the full set of day count measures, accrual fraction, date rolls/adjusts, and holiday checks.

·        Abstracted out the holiday base interface from which all the holidays are derived.

·        Full set of bond feeds are now set in the Bond Feed class.

·        Factor schedule class now holds the factor/notional dates and amounts

·        Implementation of the new bond builder class that holds stubs to create custom bonds of various types.

·        Introduction of the new API Analytics Client.

·        Implementation of CreditAnalytics’s DateTime class



28 August 2011 - v0.07


·        Created a Component Output class that contains all the component scenario output measures.

·        The Component Calibrator calibrates the component’s discount/hazard rate from the component’s measure, market quote, and the calibration type.

·        XML configuration Reader now parses the XML configuration to load the configuration settings.

·        Detailed American/European schedules are now held in the Embedded Option Schedule class

·        Bond Builder factory class from the full set of bond parameters now occurs in the Bond Product Builder

·        Implementation of the Static BA Curves class that provides the container for creating the custom EOD IR and EOD credit curves of all types.

·        Internal implementation of the Julian Date class now contains the comprehensive static and instance Julian Date creation and functional methods.



17 August 2011 - v0.06


·        Created an FX Curve that holds the FX nodes, points, their types, and the corresponding FX Spot.

·        New 3D chart plotter - histogram

·        Capturing the basket market parameters onto a separate class

·        Currency Pair now captures the FX currency information

·        The complete set of bond reference data is now put into its own class, away from the Bond Valuation/Product parameters

·        Implementation of the Rates Manager class that provides the container for creating the EOD IR curves of all types.

·        All the internal and external utility functions are packed into a new FI Utility class.



30 July 2011 - v0.05


·        Added comprehensive date adjustment and roll functionality

·        Introduced a separate bootstrapper interface

·        Scenario market parameters needed to value baskets are now in a separate class

·        Created bond treasury parameters to hold all the treasury benchmarks corresponding to the bond

·        Implemented the basket default swap product

·        Implementation of the EOD Curves class that provides the container for creating the EOD IR and credit curves.

·        Logger class for level based and location specific logging.



13 July 2011 - v0.04


·        Another chart plotter class – Multi Color Scatter

·        Market Parameters needed to value the component

·        Encapsulation of the loss period dates

·        Bond periods can be generated now from an elaborate set of generation parameters

·        Creation of a new basket product class from which all the basket products can be derived

·        Implementation of the Environment Manager class that provides the container for the EOD IR and credit curves.



26 June 2011 - v0.03


·        Act/Act Parameters spun off to a separate class

·        Market Parameters needed to value the component

·        4D scatter plot includes the ability to plot a 3D surface with the color depth plane

·        Notional, notional schedule, and redemption value at maturity get their own class

·        Creation of the Bond foundation class from which all other variants are derived

·        Implementation of the CDS Manager class that provides the container for the EOD credit curves.



9 June 2011 - v0.03


·        Floating holiday parameters onto a new Floating Holiday class

·        Introduction of the new Period class from which period of all types are derived

·        The Basket Output class now contains all the base and scenario measures for full complete product valuation

·        Currency, IR/treasury/EDSF curve names for the bond now in Bond IR Valuation Parameters

·        Creation of the Credit Component class from which the Bond, CDS, and the basket default swap classes are derived

·        Implementation of the Bond Manager class that provides the container for the bond instances.



22 May 2011 - v0.02b


·        Day count string and adjustment rules are now in the Day Count class

·        Enhancement of the period class for the floating periods

·        All the EOD scenario Credit curves for the specified set of instruments and quotes in Credit Curve Scenario Container

·        CUSIP, ISIN, ID, name, and ticker are in Bond Floater Parameters

·        Creation of the FI main analytics API class

·        Implementation of the Credit Default Swap product



5 May 2011 - v0.02a


·        Full date holidays now are in Static Holidays

·        Delaunay surface plots now display wire frame charts

·        All the EOD scenario IR curves for the specified set of instruments and quotes in IR Curve Scenario Container

·        Bond’s Rate Index, reset rule, floater spread, and floating day count convention are packed into Bond Floater Parameters

·        Creation of the FX Forward class

·        Implementation of the Interest Rate Swap product



18 April 2011 - v0.02


·        Merged all the coupon period parameters

·        Contour 3D surface now displays contour plots

·        Created an EOD specific Market Parameters Container to hold all the EOD specific market parameters

·        Bond Fixed Period Generation Parameters contain all the bond’s period generation parameters.

·        Spot rate and date together now form FX Spot

·        Implementation of the Euro-dollar product



1 April 2011 - v0.01b


·        Fixed Holiday class containing the holiday month/year information

·        Bond Output class contains all the bond price/treasury spread measures

·        Credit pricing parameters collected into Pricer Parameters

·        Trade/Redemption/Quote currencies can now be different from each other for the bond

·        Sided, multi-measure component quote

·        Implementation of the Cash/money market product



25 March 2011 - v0.01


·        First cut of CreditAnalytics fixed income analytics

·        Created the location holidays

·        Implemented the First Coupon Period

·        Separated a new Bond Cash flow termination event class

·        Aggregated the Bond Coupon Parameters

·        Base Quote Class

·        Live Quote to capture ticking quotes