DRIP Credit Analytics Release Notes
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