DRIP Credit Analytics Release Notes

Lakshmi Krishnamurthy

v2.3 15 January 2014

·
__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

·
__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.

·
__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.

·
__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.

·
__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.

· 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

· 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.

· 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

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

· Introduced a full-featured serialization test suite.

· 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

· 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

· 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

· 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

· 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.

· 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.

· 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.

· 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.

· 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.

· 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.

· 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

· 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

· 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

· 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

· 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