**Lakshmi
Krishnamurthy**

**v2.3
22 January 2014**

**Introduction**

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

· 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 Trader 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 customized 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.

CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces defined in CreditProduct. It also implements a curve/parameter/product/analytics management environment, and has packaged samples and testers.

CreditAnalytics library achieves its design goal by implementing its functionality over several packages:

·
__Curve calibration and creation__: Functional
implementation and creation factories for rates curves, credit curves, and FX
curves of al types

·
__Market Parameter implementation and creation__:
Implementation and creation of quotes, component/basket market parameters, as
well as scenario parameters.

·
__Product implementation and creation__:
Implementation and creation factories for rates products (cash/EDF/IRS), credit
products (bonds/CDS), as well as basket products.

·
__Reference data/marks loaders__: Loaders for
bond/CDX, as well a sub-universe of closing marks

·
__Calculation Environment Manager__: Implementation
of the market parameter container, manager for live/closing curves, stub/client
functionality for serverization/distribution, input/output serialization.

·
__Samples__: Samples for curve, parameters, product,
and analytics creation and usage

·
__Unit functional testers__: Detailed unit scenario
test of various analytics, curve, parameter, and product functionality.

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

CurveBuilder provides the functionality for highly customized discount, forward, credit, and FX curve construction, customized with wide variety of basis splines, calibration instrument types and measures.

CurveBuilder library achieves its design goal by implementing its functionality over several packages:

·
__Latent State Representation Package__: The latent
state representation package implements the latent state, the quantification
metric/manifest measure, its labels, the merge stretch and its manager.

·
__Latent State Estimator Package__: The latent state
estimator package provides functionality to estimate the latent state,
local/global state construction controls, constraint representation, and
linear/non-linear calibrator routines.

·
__Latent Curve State Package__: The latent curve
state package provides implementations of latent state representations of
discount curve, forward curve, zero curve, credit curve, FX Basis curve, and FX
forward curve.

·
__Latent State Creator Package__: The latent curve
state package provides implementations of the constructor factories that create
discount curve, forward curve, zero curve, credit curve, FX Basis curve, and FX
forward curve.

·
__Analytics Definition Package__: The analytics
definition package provides definitions of the generic curve, discount curve,
forward curve, zero curve, credit curve, FX Basis curve, and FX forward curve,
turns list, and their construction inputs.

·
__Rates Analytics Package__: The rates analytics
package provides definitions of the discount curve, the forward curve, the zero
curve, the discount factor and the forward rate estimators, the turns list, and
their construction inputs.

RootFinder achieves its design goal by implementing its functionality over several packages:

·
__Framework__: Framework to accommodate
bracketing/open convergence initialization, execution
customization/configuration, iterative variate evolution, and search
termination detection

·
__Bracket Initialization Techniques__:
Implementation of the different techniques for the initial bracket extraction.

·
__Open Method Convergence Zone Initialization
Techniques__: Implementation of the different techniques for the convergence
zone starting variate extraction.

·
__Iterative Open Methods__: Implementation of the
iterative Open Methods - Newton-Raphson and Secant Methods

·
__Iterative Bracketing Primitive Methods__:
Implementation of the iterative bracketing primitives – Bisection, False
Position, Quadratic Interpolation, Inverse Quadratic Interpolation, and Ridder.

·
__Iterative Bracketing Compound Methods__:
Implementation of the iterative bracketing compound methodologies – Brent’s and
Zheng’s methods.

·
__Search Initialization Heuristics__: Implementation
of a number of search heuristics to make the search targeted and customized.

·
__Samples__: Samples for the various bracketing and
the open methods, their customization, and configuration.

·
__Documentation__: Literature review, framework
description, mathematical and formulation details of the different components,
root finder synthetic knowledge unit (SKU) composition, and module and API
usage guide.

·
__Regression Tests__: Statistical regression
analysis and dispersion metric evaluation for the initialization and the
iteration components of the different bracketing and open root finder
methodologies.

RegressionSuite aims to incorporate measurement of the startup lag, measurement of accurate execution times, generating execution statistics, customized input distributions, and processable regression specific details as part of the regular unit tests.

RegressionSuite library achieves its design goal by implementing its functionality over several packages:

·
__Regression Engine__: Provides control for
distribution set, invocation strategy, and load.

·
__Unit Regression Executor__: Framework that
implements set up and tear-down, as well as generate run details

·
__Regression Statistics__: Execution time
distribution, start-up and other event delay measurements, and system load
monitoring

·
__Regression Output__: Fine grained regressor level
output, module aggregated output, sub-element execution time estimation.

·
__Regressor Set__: Module containing set of regressors,
group level turn on/off and execution control

·
__Regression Utilities__: Formatting and tolerance
checking.

SplineLibrary provides the functionality for building, calibrating, and evaluating different kinds of splines for use in latent state representation. It implements the functionality behind spline design, spline constructions, customization, calibration, and evaluation of a wide variety of spline types and basis functions.

SplineLibrary achieves its design goals by implementing its functionality over several packages the perform the following:

·
__Univariate Function Package__: The univariate
function package implements the individual univariate functions, their
convolutions, and reflections.

·
__Univariate Calculus Package__: The univariate
calculus package implements univariate difference based arbitrary order
derivative, implements differential control settings, implements several
integrand routines, and multivariate Wengert Jacobian.

·
__Spline Parameters Package__: The spline parameters
package implements the segment and stretch level construction, design, penalty,
and shape control parameters.

·
__Splinbe Basis Function Set Package__: The spline
basis function set package implements the basis set, parameters for the
different basis functions, parameters for basis set construction, and
parameters for B Spline sequence construction.

·
__Spline Segment Package__: The spline segment
package implements the segment’s inelastic state, the segment basis evaluator,
the segment flexure penalizer, computes the segment monotonicity behavior, and
implements the segment’s complete constitutive state.

·
__Spline Stretch Package__: The spline stretch
package provides single segment and multi segment interfaces, builders, and
implementations, along with custom boundary settings.

·
__Spline Grid/Span Package__: The spline grid/span
package provides the multi-stretch spanning functionality. It specifies the
span interface, and provides implementations of the overlapping and the
non-overlapping span instances. It also implements the transition splines with
custom transition zones.

·
__Spline PCHIP Package__: The spline PCHIP package
implements most variants of the local piece-wise cubic Hermite interpolating
polynomial smoothing functionality. It provides a number of tweaks for
smoothing customization, as well as providing enhanced implementations of
Akima, Preuss, and Hagan-West smoothing interpolators.

·
__Spline B Spline Package__: The spline B Spline
package implements the raw and the processed basis B Spline hat functions. It
provides the standard implementations for the monic and the multic B Spline
Segments. It also exports functionality to generate higher order B Spline
Sequences.

·
__Tension Spline Package__: The tension spline
package implements closed form family of cubic tension splines laid out in
the basic framework outlined in Koch and Lyche (1989), Koch and Lyche (1993),
and Kvasov (2000).

This section covers the design objectives across several facets – functional, software, system, usage, and deployment aspects.

**Financial Feature Design Attributes**

The chief design aims from a financial functionality angle are:

· Interface representations of curve, parameter, and products

· Separation of the creation and the implementation modules from the exposed functional interface behavior

· Re-usable functional and behavioral abstractions around financial products

· Provide “open” public implementations of the standard analytics functionality such as day count conventions, holidays, date representations, rule based period generation etc

· Abstraction of the quote, the market parameter and the pricing structures

· Abstraction and implementation of the standard curve calibration

The chief design aims from a software design angle are:

· Logical functionality identification/localization and functional group partitioning

· Clearly defined interface structure

· Implementation and creation factory bodies

· Reach and interaction through interfaces only

The key system design aims are:

· Functionality needs to be readily serverizable and distributable

· Provide built in serialization, marshalling, and persistence of all the main components

· Management containers around the products, the curves, and the parameter sets, and establishing the execution control environment

The key usage design goals are:

· The analytics modules should provide comprehensive credit product risk, valuation, and pricing functionality from a set of functional API

· Ease of use

· Flexible

· When direct object access is needed, use only through the object model interface (and amend the interface as appropriate)

The key testing design goals in this area are:

· Comprehensive unit testing of curve, parameters, and product implementation

· Extensive composite scenario testing

· Environment and server components testing

· Release time performance characterization and execution time and execution resource statistics calculation

The key design goals in this area are:

· Minimize dependency on external modules

· Ease of installation and deployment

· Customizability – for non-standard setups – through the supplied configuration file.

This class provides
a comprehensive representation of Julian date and date manipulation
functionality. It exports the following functionality:

·
Explicit date
construction, as well as date construction from several input string
formats/today

·
Date
Addition/Adjustment/Elapsed/Difference, add/subtract days/weeks/months/years
and tenor codes

·
Leap Year
Functionality (number of leap days in the given interval, is the given year a
leap year etc.)

·
Generate the
subsequent IMM date (EDF/CME IMM date, CDS/Credit ISDA IMM date etc)

·
Year/Month/Day
in numbers/characters

·
Days
Elapsed/Remaining, is EOM

·
Comparison with
the “Other”, equals/hash-code/comparator

·
Export the date
to a variety of date formats (Oracle, Julian, Bloomberg)

·
Serialization/De-serialization
to and from Byte Arrays

This class provides the representation of the instantiation-time date and time objects. It provides the following functionality:

·
Instantiation-time and Explicit Date/Time Construction

·
Retrieval of
Date/Time Fields

· Serialization/De-serialization to and from Byte Arrays

This class
contains parameters to represent Act/Act day count. It exports the following
functionality:

·
Frequency/Start/End
Date Fields

·
Serialization/De-serialization
to and from Byte Arrays

This class
contains flags that indicate where the holidays are loaded from, as well as the
holiday types and load rules. It exports the following date related functionality:

·
Add business
days according to the specified calendar

·
The Year
Fraction between any 2 days given the day count type and the holiday calendar

·
Adjust/roll to
the next working day according to the adjustment rule

·
Holiday
Functions - is the given day a holiday/business day, the number and the set of
holidays/business days between 2 days.

·
Calendars and
Day counts - Available set of day count conventions and calendars, and the
weekend days corresponding to a given calendar.

This class
contains the parameters needed for adjusting dates. It exports the following
functionality:

·
Accessor for
holiday calendar and adjustment type

·
Serialization/De-serialization
to and from Byte Arrays

This class holds
the applicable adjustments for a given date pair. It exposes the following
functionality:

·
Static Methods
for creating 30/360, 30/365, and EOMA Date Adjustments

·
Export Anterior
and Posterior EOM Adjustments

This interface is
the stub for all the day count convention functionality. It exposes the
base/alternate day count convention names, the year-fraction and the days
accrued.

This class
implements the 28/360 day count convention.

This class
implements the 30/360 day count convention.

This class
implements the 30/365 day count convention.

This class implements the 30/Act day count
convention.

This class
implements the 30E/360 day count convention.

This class
implements the Act/360 day count convention.

This class implements the Act/364 day count convention.

This class implements the Act/365 day count convention.

This class implements the Act/365L day count convention.

This class implements the Act/Act ISDA day count convention.

This class implements the Act/Act day count convention.

This class
implements the NL/360 day count convention.

This class
implements the NL/365 day count convention.

This class
implements the NL/Act day count convention.

LocationHoliday is
an interface that is implemented by all the Location Holiday classes. It
exposes the specific holiday location, as well as the set of location-specific
holidays.

Base is an
abstraction around holiday and description. Abstract function generates an
optional adjustment for weekends in a given year.

Weekend holds the left and the right weekend days. It provides functionality to retrieve them, check if the given day is a weekend, and serialize/de-serialize weekend days.

Static implements
a complete date as a specific holiday.

Fixed contains the
fixed holiday’s date and month. Holidays are generated on a per-year basis by
applying the year, and by adjusting the date generated.

Variable class
contains the rule characterizing the variable holiday’s month, day in week,
week in month, and the weekend days. Specific holidays in the given year are
generated using these rules.

Locale contains the set of regular holidays and the weekend holidays for a location. It also provides the functionality to add custom holidays and weekends.

Period serves as a
holder for the period dates: period start/end, period accrual start/end, pay,
and full period day count fraction.

CouponPeriod
extends the period class with the following coupon day-count specific
parameters: frequency, reset date, and accrual day-count convention. It also
exposes static methods to construct coupon period sets starting
backwards/forwards, as well as merge coupon periods.

CouponPeriodCurveFactors
is an enhancement of the period class using the following period measures:
start/end survival probabilities, start/end notionals, and period start/end
discount factor.

LossPeriodCurveFactors
is an implementation of the period class enhanced by the following period
measures:

·
Start/end
survival probabilities

·
Period
effective notional/recovery/discount factor

AnalyticsHelper
contains the collection of the analytics related utility functions used by the
modules. The following is the functionality that it exposes:

·
Yield to
Discount Factor, and vice versa.

·
Map Bloomberg
Codes to CreditAnalytics Codes.

·
Generate
rule-based curve bumped nodes.

·
Generate loss
periods using a variety of different schemes.

·
Aggregate/disaggregate
coupon period lists.

The Logger class
implements level-set logging, backed by either the screen or a file. Logging
always includes time-stamps, and happens according to the level requested.

CalibrationParams the calibration parameters
- the measure to be calibrated, the type/nature of the calibration to be
performed, and the work-out date to which the calibration is done.

Quote interface contains the stubs
corresponding to a product quote. It contains the quote value and quote instant
for the different quote sides (bid/ask/mid).

ComponentQuote abstract class holds the
different types of quotes for a given component. It contains a single market
field/quote pair, but multiple alternate named quotes (to accommodate quotes on
different measures for the component).

NodeTweakParams is the place-holder for the
scenario tweak parameters, for either a specific curve node, or the entire
curve (flat). Parameter bumps can be parallel or proportional.

CreditNodeTweakParams is the place-holder for
the credit curve scenario tweak parameters: the measure, the curve node, and
the nodal calibration type (entire curve/flat or a given tenor point).

RatesScenarioCurve abstract class exposes the
interface the constructs scenario discount curves. The following curve
construction scenarios are supported:

·
Base,
flat/tenor up/down by arbitrary bumps.

·
Tenor bumped
discount curve set - keyed using the tenor.

·
NTP-based
custom scenario curves.

CreditScenarioCurve abstract class exposes
the bump parameters and the curves for the following credit curve scenarios:

·
Base, Flat
Spread/Recovery bumps.

·
Spread/Recovery
Tenor bumped up/down credit curve sets keyed using the tenor.

·
NTP-based
custom scenario curves.

ComponentMarketParams abstract class provides
stub for the ComponentMarketParamsRef interface. It is a place-holder for the
market parameters needed to value the component object – the discount curve,
the forward curve, the treasury curve, the EDSF curve, the credit curve, the
component quote, the treasury quote map, and the fixings map.

BasketMarketParams class extends the BaketMarketParamsRef for a specific scenario. It provides access to maps holding named discount curves, named credit curves, named treasury quote, named component quote, and fixings object.

MarketParams is
the place-holder for the comprehensive suite of the market set of curves for
the given date. It exports the following functionality:

·
Add/remove/retrieve
scenario discount curve.

·
Add/remove/retrieve
scenario zero curve.

·
Add/remove/retrieve
scenario credit curve.

·
Add/remove/retrieve
scenario recovery curve.

·
Add/remove/retrieve
scenario FXForward curve.

·
Add/remove/retrieve
scenario FXBasis curve.

·
Add/remove/retrieve
scenario fixings.

·
Add/remove/retrieve
Treasury/component quotes.

·
Retrieve
scenario CMP/BMP.

·
Retrieve map of
flat rates/credit/recovery CMP/BMP.

·
Retrieve double
map of tenor rates/credit/recovery CMP/BMP.

·
Retrieve
rates/credit scenario generator.

PricerParams
contains the pricer parameters - the discrete unit size, calibration mode
on/off, survival to pay/end date, and the discretization scheme.

MeasureInterpreter
is the abstract shell stub class from which all product measure quoting
parameters are derived. It contains fields needed to interpret a measure quote.

QuotedSpreadInterpreter
holds the fields needed to interpret a Quoted Spread Quote. It contains the
contract type and the coupon.

YieldInterpreter
holds the fields needed to interpret a Yield Quote. It contains the quote day
count, quote frequency, quote EOM Adjustment, quote Act/Act parameters, and
quote Calendar.

CashSettleParams
is the place-holder for the cash settlement parameters for a given product. It
contains the cash settle lag, the calendar, and the date adjustment mode.

QuotingParams
holds the parameters needed to interpret the input quotes. It contains the
quote day count, quote frequency, quote EOM Adjustment, quote Act/Act
parameters, and quote Calendar. It also indicates if the native quote is spread
based.

ValuationParams is
the place-holder for the valuation parameters for a given product. It contains
the valuation and the cash pay/settle dates, as well as the calendar. It also
exposes a number of methods to construct standard valuation parameters.

WorkoutInfo is the
place-holder for the work-out parameters. It contains the date, the factor, the
type, and the yield of the work-out.

ComponentMarketParamRef
interface provides stubs for component name, IR curve, forward curve, credit
curve, TSY curve, and EDSF curve needed to value the component.

Component abstract
class extends ComponentMarketParamRef and provides the following methods:

·
Get the
component's initial notional, notional, and coupon.

·
Get the
Effective date, Maturity date, First Coupon Date.

·
List the coupon
periods.

·
Set the market
curves - discount, TSY, forward, Credit, and EDSF curves.

·
Retrieve the
component's settlement parameters.

·
Value the
component using standard/custom market parameters.

·
Retrieve the
component's named measures and named measure values.

CalibratableComponent
abstract class provides implementation of Component's calibration interface. It
exposes stubs for getting/setting the component’s calibration code, generate
calibrated measure values from the market inputs, and compute micro-Jacobians
(QuoteDF and PVDF micro-Jacks).

BasketMarketParamRef
interface provides stubs for component's IR and credit curves that constitute
the basket.

BasketProduct
abstract class extends BasketMarketParamRef. It provides methods for getting
the basket’s components, notional, coupon, effective date, maturity date,
coupon amount, and list of coupon periods.

RatesComponent is
the abstract class that extends CalibratableComponent on top of which all rates
components are implemented.

CreditComponent is
the base abstract class on top of which all credit components are implemented.
Its methods expose Credit Valuation Parameters, and coupon/loss cash flows.

CreditDefaultSwap
is the base abstract class implements the pricing, the valuation, and the RV
analytics functionality for the CDS product.

BondProduct
interface implements the product static data behind bonds of all kinds. Bond
static data is captured in a set of 11 container classes – BondTSYParams,
BondCouponParams, BondNotionalParams, BondFloaterParams, BondCurrencyParams,
BondIdentifierParams, ComponentValuationParams, ComponentRatesValuationParams,
ComponentCreditValuationParams, ComponentTerminationEvent,
BondFixedPeriodParams, and one EmbeddedOptionSchedule object instance each for
the call and the put objects. Each of these parameter sets can be set
separately.

Bond abstract
class implements the pricing, the valuation, and the RV analytics functionality
for the bond product.

FXSpot is the
abstract class exposes the functionality behind the FXSpot Contract. Derived
implementations return the spot date and the currency pair.

FXForward is the
abstract class exposes the functionality behind the FXForward Contract. Derived
implementations expose the primary/secondary codes, the effective/maturity
dates, the currency pair, imply the discount curve basis and the FX Forward
from a set of market parameters. The value function carries out a full
valuation.

Validatable
interface defines the validate function, which validates the current object
state.

CDXIdentifier
implements the creation and the static details of the all the NA, EU, SovX,
EMEA, and ASIA standardized CDS indexes. It contains the index, the tenor, the
series, and the version of a given CDX.

CDXRefDataParams
contains the complete set of reference data that corresponds to the contract of
a standard CDX. It consists of the following category and fields:

·
Descriptive
=> Index Label, Index Name, Curve Name, Index Class, Index Group Name, Index
Short Group.

·
Name, Index
Short Name, Short Name.

·
Issuer ID =>
Curve ID, Red ID, Series, Version, Curvy Curve ID, Location, Bloomberg Ticker.

·
Quote Details
=> Quote As CDS.

·
Date =>
Issue Date, Maturity Date.

·
Coupon
Parameters => Coupon Rate, Currency, Day Count, Full First Stub, Frequency.

·
Component
Details => Original Count, Defaulted Count.

·
Payoff Details
=> Knock out on Default, Pay Accrued Amount, Recovery on Default.

·
Other =>
Index Life Span, Index Factor

IdentifierSet
contains the component's identifier parameters - ISIN, CUSIP, ID, and ticker.

StandardCDXParams
implements the parameters used to create the standard CDX - the coupon, the
number of components, and the currency.

CouponSetting
contains the coupon type, schedule, and the coupon amount for the component. If
available, the floor and/or the ceiling may also be applied to the coupon, in a
pre-determined order of precedence.

CreditSetting
contains the credit related valuation parameters - use default pay lag, use
curve or the component recovery, component recovery, credit curve name, and
whether there is accrual on default.

CurrencySet
contains the component's trade, the coupon, and the redemption currencies.

EmbeddedOptionSchedule
is a place-holder for the embedded option schedule for the component. It
contains the schedule of exercise dates and factors, the exercise notice
period, and the option is to call or put. Further, if the option is of the type
fix-to-float on exercise, contains the post-exercise floater index and floating
spread. If the exercise is not discrete (American option), the exercise
dates/factors are discretized according to a pre-specified discretization grid.

FactorSchedule
contains the array of dates and factors.

NotionalSetting
contains the product's notional schedule and the amount. It also incorporates
hints on how the notional factors are to be interpreted - off of the original
or the current notional. Further flags tell whether the notional factor is to
be applied at the start/end/average of the coupon period.

PeriodGenerator
generates the component coupon periods from flexible inputs. Periods can be
generated forwards or backwards, with long/short stubs. For customization, date
adjustment parameters can be applied to each cash flow date of the period -
effective, maturity, period start start/end, accrual start/end, pay and reset
can each be generated according to the date adjustment rule applied to nominal
period start/end.

PeriodSet is the
place holder for the component’s period generation parameters. It contains the
component's date adjustment parameters for period start/end, period accrual
start/end, effective, maturity, pay and reset, first coupon date, and interest
accrual start date.

FloaterSetting
contains the component's floating rate parameters. It holds the rate index,
floater day count, and one of either the coupon spread or the full current
coupon.

RatesSetting
contains the rate related valuation parameters - the discount curves to be used
for discounting the coupon, the redemption, the principal, and the settle cash
flows.

TerminationSetting
class contains the current "liveness" state of the component, and, if
inactive, how it entered that state.

QuoteConvention
contains the Component Market Convention Parameters - the quote convention, the
calculation type, the first settle date, and the redemption amount.

TreasuryBenchmark
contains component treasury benchmark parameters - the treasury benchmark set,
and the names of the treasury and the EDSF IR curves.

TsyBmkSet contains
the treasury benchmark set - the primary treasury benchmark, and an array of
secondary treasury benchmarks.

CurrencyPair class
contains the numerator currency, the denominator currency, the quote currency,
and the PIP Factor.

ComponentMeasures
is the place-holder for analytical single component output measures, optionally
across scenarios. It contains measure maps for the following scenarios:

·
Unadjusted Base
IR/credit curves

·
Flat
delta/gamma bump measure maps for IR/credit bump curves

·
Tenor bump
double maps for IR/credit curves

·
Flat/recovery
bumped measure maps for recovery bumped credit curves

·
Measure Maps
generated for Custom Scenarios

ExerciseInfo is a
place-holder for the full set of exercise information. It contains the exercise
date, the exercise factor, and the exercise type.

This class
encapsulates the parsimonius but complete set of the cash-flow oriented coupon
measures generated out of a full bond analytics run to a given work-out. These
are:

·
DV01

·
PV Measures
(Coupon PV, Index Coupon PV, PV)

BondWorkoutMeasures
encapsulates the parsimonius yet complete set of measures generated out of a
full bond analytics run to a given work-out. It contains the following:

·
Credit
Risky/Credit Riskless Clean/Dirty Coupon Measures

·
Credit
Risky/Credit Riskless Par/Principal PV

·
Loss Measures
such as expected Recovery, Loss on instantaneous default, and default exposure
with/without recovery

·
Unit Coupon
measures such as Accrued 01, first coupon/index rate

BondRVMeasures
encapsulates the comprehensive set of RV measures calculated for the bond to
the appropriate exercise:

·
Workout
Information.

·
Price, Yield,
and Yield01.

·
Spread
Measures: Asset Swap/Credit/G/I/OAS/PECS/TSY/Z.

·
Basis Measures:
Bond Basis, Credit Basis, Yield Basis.

·
Duration
Measures: Macaulay/Modified Duration, Convexity

BasketMeasures is
the place holder for the analytical basket measures, optionally across
scenarios. It contains the following scenario measure maps:

·
Unadjusted Base
Measures

·
Flat
delta/gamma bump measure maps for IR/credit/RR bump curves

·
Component/tenor
bump double maps for IR/credit/RR curves

·
Flat/component
recovery bumped measure maps for recovery bumped credit curves

·
Custom scenario
measure map

Serializer
interface defines the core object serializer methods – serialization into and de-serialization
out of byte arrays, as well as the object version.

BondRefData
contains functionality to load a variety of Bond Product reference data and
closing marks. It exposes the following functionality:

·
Load the bond
valuation-based reference data, amortization schedule and EOS

·
Build the bond instance
entities from the valuation-based reference data

·
Load the bond
non-valuation-based reference data

BondRefData
assumes the appropriate connections are available to load the data.

CDXRefData
contains the functionality to load the standard CDX reference data and
definitions, and create compile time static classes for these definitions.

CreditStaticAndMarks
contains functionality to load a variety of Credit and Rates Product reference
data and closing marks. It exposes the following functionality:

·
Load the bond
reference data, static data, amortization schedule and EOS.

·
Build the bond
instance entities from the reference data.

·
Load the bond,
CDS, and Rates product Closing Marks.

·
Load and build
the Holiday Calendars.

CreditStaticAndMarks
assumes the appropriate connections are available to load the data.

ConfigLoader
implements the configuration functionality. It exposes the following:

·
Parses the XML
configuration file and extract the tag pairs information.

·
Retrieve the
logger.

·
Load the
holiday calendars and retrieve the location holidays.

·
Connect to
analytics server and the database server.

Depending on the
configuration setting, ConfigLoader loads the above from either a file or the
specified database.

MultiSidedQuote
implements the Quote interface, which contains the stubs corresponding to a
product quote. It contains the quote value and the quote time-snap for the
different quote sides (bid/ask/mid).

ComponentTickQuote
holds the tick related component parameters - it contains the product ID, the
quote composite, the source, the counter party, and whether the quote can be
treated as a mark.

ComponentMultiMeasureQuote
holds the different types of quotes for a given component. It contains a single
market field/quote pair, but multiple alternate named quotes (to accommodate
quotes on different measures for the component).

RatesCurveScenarioContainer
implements the RatesScenarioCurve abstract class that exposes the interface the
constructs scenario discount curves. The following curve construction scenarios
are supported:

·
Base,
flat/tenor up/down by arbitrary bumps

·
Tenor bumped
discount curve set - keyed using the tenor

·
NTP-based
custom scenario curves

CreditCurveScenarioContainer
is the place-holder for the bump parameters and the curves for the different
credit curve scenarios. Contains the spread and the recovery bumps, and the
credit curve scenario generator object that wraps the calibration instruments.
It also contains the base credit curve, spread bumped up/down credit curves,
recovery bumped up/down credit curves, and the tenor mapped up/down credit
curves.

ComponentMarketParamSet
provides implementation of the ComponentMarketParamsRef interface. It is the
place-holder for the market parameters needed to value the component object –
discount curve, forward curve, treasury curve, EDSF curve, credit curve,
component quote, treasury quote map, and fixings map.

BasketMarketParamSet
provides an implementation of BasketMarketParamsRef for a specific scenario. It
contains maps holding named discount curves, named credit curves, named
component quote, and fixings object.

MarketParamsContainer
extends MarketParams abstract class, and is the place-holder for the
comprehensive suite of the market set of curves for the given date. It exports
the following functionality:

·
Add/remove/retrieve
scenario discount curve.

·
Add/remove/retrieve
scenario zero curve.

·
Add/remove/retrieve
scenario credit curve.

·
Add/remove/retrieve
scenario recovery curve.

·
Add/remove/retrieve
scenario FXForward curve.

·
Add/remove/retrieve
scenario FXBasis curve.

·
Add/remove/retrieve
scenario fixings.

·
Add/remove/retrieve
Treasury/component quotes.

·
Retrieve
scenario CMP/BMP.

·
Retrieve map of
flat rates/credit/recovery CMP/BMP.

·
Retrieve double
map of tenor rates/credit/recovery CMP/BMP.

·
Retrieve
rates/credit scenario generator.

QuoteBuilder
contains the quote builder object. It contains static functions that build
two-sided quotes from inputs, as well as from a byte stream.

ComponentQuoteBuilder
contains the component quote builder object. It contains static functions that
build component quotes from the quote inputs, as well as from byte streams.

ComponentTickQuoteBuilder
implements the component tick quote builder object. It contains static
functions that build component quotes from the inputs, as well as from byte
array.

RatesScenarioCurveBuilder
implements the the construction of the scenario discount curve using the input
discount curve instruments.

CreditScenarioCurveBuilder
implements the construction, __de__-serialization, and building of the
custom scenario based credit curves.

ComponentMarketParamsBuilder
implements the various ways of constructing, de-serializing, and building the
Component Market Parameters.

BasketMarketParamsBuilder
implements the various ways of constructing, de-serializing, and building the
Basket Market Parameters.

MarketParamsBuilder
implements the functionality for constructing, de-serializing, and building the
Market Universe Curves Container.

CashComponent
contains the implementation of the Cash product and its contract/valuation
details.

EDFComponent
contains the implementation of the Euro-dollar future contract/valuation (EDF).

FixedStream contains an implementation of the fixed leg cash flow stream product.

FloatingStream
contains an implementation of the Floating leg cash flow stream.

IRSComponent
contains the implementation of the Interest Rate Swap product
contract/valuation details. It is made off one fixed stream and one floating
stream.

RatesBasket
contains the implementation of the Basket of Rates Component legs. RatesBasket
is made from zero/more fixed and floating streams.

BondComponent is
the base class that extends CreditComponent abstract class and implements the
functionality behind bonds of all kinds. Bond static data is captured in a set
of 11 container classes – BondTSYParams, BondCouponParams, BondNotionalParams,
BondFloaterParams, BondCurrencyParams, BondIdentifierParams,
BondIRValuationParams, CompCRValParams, BondCFTerminationEvent,
BondFixedPeriodGenerationParams, and one EmbeddedOptionSchedule object instance
each for the call and the put objects. Each of these parameter sets can be set
separately.

BondBasket
implements the bond basket product contract details. Contains the basket name,
basket notional, component bonds, and their weights.

CDSComponent
implements the credit default swap product contract details. Contains effective
date, maturity date, coupon, coupon day count, coupon frequency, contingent
credit, currency, basket notional, credit valuation parameters, and optionally
the outstanding notional schedule.

CDSBasket
implements the basket default swap product contract details. Contains effective
date, maturity date, coupon, coupon day count, coupon frequency, basket
components, basket notional, loss pay lag, and optionally the outstanding
notional schedule and the flat basket recovery.

FXForwardContract
contains the FX forward product contract details - the effective date, the
maturity date, the currency pair and the product code.

FXSpotContract
contains the FX spot contract parameters - the spot date and the currency pair.

BondBasketBuilder
contains the suite of helper functions for creating the bond Basket Product
from different kinds of inputs and byte streams.

BondBuilder
contains the suite of helper functions for creating simple fixed/floater bonds,
user defined bonds, optionally with custom cash flows and embedded option
schedules (European or American). It also constructs bonds by de-serializing
the byte stream.

BondProductBuilder
holds the static parameters of the bond product needed for the full bond
valuation. It contains:

·
Bond identifier
parameters (ISIN, CUSIP)

·
Issuer level
parameters (Ticker, SPN or the credit curve string)

·
Coupon
parameters (coupon rate, coupon frequency, coupon type, day count)

·
Maturity
parameters (maturity date, maturity type, final maturity, redemption value)

·
Date parameters
(announce, first settle, first coupon, interest accrual start, and issue dates)

·
Embedded option
parameters (callable, putable, has been exercised)

·
Currency
parameters (trade, coupon, and redemption currencies)

·
Floater
parameters (floater flag, floating coupon convention, current coupon, rate
index, spread)

·
Whether the
bond is perpetual or has defaulted

BondRefDataBuilder
holds the entire set of static parameters for the bond product. In particular,
it contains

·
Bond identifier
parameters (ISIN, CUSIP, BBG ID, name short name)

·
Issuer level parameters
(Ticker, category, industry, issue type, issuer country, issuer country code,
collateral type, description, security type, unique Bloomberg ID, long company
name, issuer name, SPN or the credit curve string)

·
Issue
parameters (issue amount, issue price, outstanding amount, minimum piece,
minimum increment, par amount, lead manager, exchange code, country of
incorporation, country of guarantor, country of domicile, industry sector,
industry group, industry sub-group, senior/sub)

·
Coupon
parameters (coupon rate, coupon frequency, coupon type, day count)

·
Maturity
parameters (maturity date, maturity type, final maturity, redemption value)

·
Date parameters
(announce, first settle, first coupon, interest accrual start, next coupon,
previous coupon, penultimate coupon, and issue dates)

·
Embedded option
parameters (callable, putable, has been exercised)

·
Currency
parameters (trade, coupon, and redemption currencies)

·
Floater
parameters (floater flag, floating coupon convention, current coupon, rate
index, spread)

·
Trade status

·
Ratings (S
& P, Moody, and Fitch),

·
Whether the
bond is private placement, is registered, is a bearer bond, is reverse
convertible, is a structured note, can be unit traded, is perpetual or has
defaulted.

CashBuilder
contains the suite of helper functions for creating the Cash product from the
parameters/codes/byte array streams.

CDSBasketBuilder
contains the suite of helper functions for creating the CDS Basket Product from
different kinds of inputs and byte streams.

CDSBuilder
contains the suite of helper functions for creating the CreditDefaultSwap
product from the parameters/byte array streams. It also creates the standard
EU, NA, ASIA contracts, CDS with amortization schedules, and CDS from product
codes/tenors.

EDFutureBuilder contains
the suite of helper functions for creating the EDFuture product from the
parameters/codes/byte array streams.

FXForwardBuilder
contains the suite of helper functions for creating the FXForwardBuilder
product from the parameters/byte array streams.

FXSpotBuilder
contains the suite of helper functions for creating the FXSpot from the
corresponding parameters/byte array streams.

RatesStreamBuilder
contains the suite of helper functions for creating the Stream-based Rates
Products from different kinds of inputs. In particular, it demonstrates the
following:

·
Construction of
the custom/standard fixed/floating streams from parameters.

·
Construction of
the custom/standard IRS from parameters.

·
Construction of
the fixed/floating streams and IRS from byte arrays.

BondManager
implements a container that holds the EOD and bond static information on a per
issuer basis. It exposes the following functionality:

·
Retrieve the
available tickers, and all the ISIN's per ticker.

·
Load the full
set of bond reference data, embedded option schedules, and amortization
schedules.

·
Load the full
set of bond marks.

·
Calculate the
bond RV/Value measures for a ticker/full bond set, given the EOD and the
appropriate curves and market measures.

·
Save the
computed measures for a given EOD.

·
(Optionally)
Generate a Bond Creator File.

CDSManager is the
container that retrieves the EOD and CDS/credit curve information on a
per-issuer basis and populates the MPC.

EODCurves that
creates the closing curves from the closing marks available in the DB for a
given EOD and populates them onto the MPC. It builds the following:

·
Discount Curve
(from cash/future/swap - typical sequence), EDSF Curve, and TSY Curve

·
Credit Curve
from CDS quotes

·
On-the-run TSY
yield quotes

StaticBACurves
that creates the closing curves from custom/user defined marks for a given EOD
and populates them onto the MPC. It builds the following:

·
Discount Curve
(from cash/future/swap - typical sequence), EDSF Curve, and TSY Curve

·
Credit Curve
from CDS quotes

·
On-the-run TSY
yield quotes

StandardCDXManager
implements the creation and the static details of the all the NA, EU, SovX,
EMEA, and ASIA standardized CDS indices. It exposes the following
functionality:

·
Retrieve the
full set of pre-set/pre-loaded CDX names/descriptions.

·
Retrieve all
the CDX's given an index name.

·
Get the index,
index series, and the effective/maturity dates for a given CDX.

·
Get all the
on-the-runs for an index, date, and tenor.

·
Retrieve the
full basket product corresponding to NA/EU/ASIA IG/HY/EM and other available
standard CDX.

·
Build a custom
CDX product.

CreditAnalyticsRequest
contains the requests for the Credit Analytics server from the client. It contains
the following parameters:

·
The GUID and
the time-stamp of the request.

·
The component
that is being valued.

·
The valuation,
the pricer, and the quoting parameters.

·
The market
parameters assembled in the ComponentMarketParams.

Typical usage is:
Client fills in the entities in the request, serializes them, and sends them to
the server, and receives a serialized response back from the server.

CreditAnalyticsResponse
contains the response from the Credit Analytics server to the client. It
contains the following parameters:

·
The GUID and of
the request.

·
The type and
time-stamp of the response.

·
The string
version of the response body.

CreditAnalyticsProxy
captures the requests for the Credit Analytics server from the client, formats
them, and sends them to the Credit Analytics Stub.

CreditAnalyticsStub
serves as a sample server that hosts the Credit Analytics functionality. It
receives requests from the analytics client as a serialized message, and
invokes the CreditAnalytics functionality, and sends the client the serialized
results.

CreditAnalytics
exposes all the CreditAnalytics API to clients – this class is the main
functional interface. The functions exposed are too numerous to list, and can
be roughly grouped into the following:

·
Product
Creation

·
Curve
Construction from Market Instruments

·
Product
Reference Data Examination

·
Product
Valuation from the Market Parameters

·
Product Measure
Extraction

·
Product RV
Measure Computation

·
General Finance
Math calculation (day count, date adjust etc.)

·
Closing points
extraction

BondTestSuite
tests more-or-less the full suite of bond functionality exposed in
CreditAnalytics API.

CreditAnalyticsTestSuite
tests more-or-less the full suite of functionality exposed in CreditAnalytics
API across all products, curves, quotes, outputs, and parameters, and their
variants.

ProductTestSuite
tests more-or-less the full suite of the product valuation functionality
exposed in CreditAnalytics API. The following variants are tested.

·
Full suite of
products - rates, credit and FX, both components and baskets.

·
Base flat/tenor
bumped scenario tests.

SerializerTestSuite
tests the serialization functionality across all products, curves, quotes,
outputs, and parameters, and their variants.

LatentStateMergeSubStretch implements merged stretch that is common
to multiple latent states. It is identified by the start/end date predictor
ordinates, and the Latent State Label. Its methods provide the following
functionality:

·
Identify if the specified predictor ordinate belongs to the sub stretch

·
Shift that sub stretch start/end

· Identify if the this overlaps the supplied sub stretch, and coalesce them if possible

· Retrieve the label, start, and end

LatentStateMetricMeasure holds the latent state that is estimated,
its quantification metric, and the corresponding product manifest measure, and
its value that it is estimated off of during the calibration run.

LatentState exposes the functionality to manipulate the hidden
Variable's Latent State. Specifically it exports functions to:

·
Retrieve the Array of the LatentStateMetricMeasure

· Produce node
shifted, parallel shifted, and custom manifest-measure tweaked variants of the
Latent State

· Produce
parallel shifted and custom quantification metric tweaked variants of the
Latent State

DiscountFactorDiscountCurve manages the Discounting Latent State,
using the Discount Factor as the State Response Representation. It exports the
following functionality:

·
Compute the discount factor, forward rate, or the zero rate from the
Discount Factor Latent State

·
Create a ForwardRateEstimator instance for the given Index

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Compute the Jacobian of the Discount Factor Latent State to the input
Quote

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

· Serialize into and de-serialize out of byte array

NonlinearDiscountFactorDiscountCurve manages the Discounting Latent
State, using the Forward Rate as the State Response Representation. It exports
the following functionality:

·
Boot Methods - Set/Bump Specific Node Quantification Metric, or Set
Flat Value

·
Boot Calibration - Initialize Run, Compute Calibration Metric

·
Compute the discount factor, forward rate, or the zero rate from the
Forward Rate Latent State

·
Create a ForwardRateEstimator instance for the given Index

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Compute the Jacobian of the Discount Factor Latent State to the input
Quote

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

· Serialize into and de-serialize out of byte array

ZeroRateDiscountCurve manages the Discounting Latent State, using the
Zero Rate as the State Response Representation. It exports the following
functionality:

·
Compute the discount factor, forward rate, or the zero rate from the
Zero Rate Latent State

·
Create a ForwardRateEstimator instance for the given Index

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Compute the Jacobian of the Discount Factor Latent State to the input
Quote

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

· Serialize into and de-serialize out of byte array

DerivedZeroRate implements the delegated ZeroCurve functionality.
Beyond discount factor/zero rate computation at specific cash pay nodes, all
other functions are delegated to the embedded discount curve.

FlatForwardDiscountCurve manages the Discounting Latent State, using
the Forward Rate as the State Response Representation. It exports the following
functionality:

·
Boot Methods - Set/Bump Specific Node Quantification Metric, or Set
Flat Value

·
Boot Calibration - Initialize Run, Compute Calibration Metric

·
Compute the discount factor, forward rate, or the zero rate from the
Forward Rate Latent State

·
Create a ForwardRateEstimator instance for the given Index

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Compute the Jacobian of the Discount Factor Latent State to the input
Quote

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize
scenario Latent State by parallel/custom shifting/custom tweaking the manifest
measure

· Serialize into
and de-serialize out of byte array

BasisSplineForwardRate manages the Forward Latent State, using the
Forward Rate as the State Response Representation. It exports the following
functionality:

·
Calculate implied forward rate / implied forward rate Jacobian

·
Serialize into and de-serialize out of byte arrays

ForwardHazardCreditCurve manages the Survival Latent State, using the
Hazard Rate as the State Response Representation. It exports the following
functionality:

·
Boot Methods - Set/Bump Specific Node Quantification Metric, or Set
Flat Value

·
Boot Calibration - Initialize Run, Compute Calibration Metric

·
Compute the survival probability, recovery rate, or the hazard rate
from the Hazard Rate Latent State

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

·
Synthesize scenario Latent State by parallel/custom shifting/custom
tweaking the manifest measure

·
Serialize into and de-serialize out of byte array

DerivedFXForward manages the constant forward based FX Forward Curve
holder object. It exports the following functionality:

·
Extract currency, currency pair, spot epoch and spot FX

·
Compute Zero/boot-strap Basis, as well as boot-strap basis DC

·
Compute the spot implied rate/implied rate nodes

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

· Serialize into and de-serialize out of byte array

DerivedFXBasis manages the constant forward basis based FX Basis
Curve holder object. It exports the following functionality:

·
Extract currency, currency pair, spot epoch, spot FX, and whether the
basis is boot-strapped

·
Compute the FX Forward Array

·
Retrieve Array of the Calibration Components and their
LatentStateMetricMeasure's

·
Retrieve the Curve Construction Input Set

·
Synthesize scenario Latent State by parallel shifting/custom tweaking
the quantification metric

· Synthesize scenario Latent State by parallel/custom shifting/custom tweaking the manifest measure

· Serialize into and de-serialize out of byte array

StretchRepresentationSpec carries the calibration instruments and the
corresponding calibration parameter set in LSMM instances. Together, these
inputs are used for constructing an entire latent state stretch.
StretchRepresentationSpec exports the following functionality:

·
Alternate ways of constructing custom Stretch representations

·
Retrieve indexed instrument/LSMM

·
Retrieve the full set calibratable instrument/LSMM

PredictorResponseWeightConstraint holds the Linearized Constraints
(and, optionally, their quote sensitivities) necessary needed for the Linear
Calibration. Linearized Constraints are expressed as _{} where _{}is the predictor ordinate at node _{}, _{} is the response, _{} is the weight applied
for the Response _{}, and _{}is the value of constraint_{}. The function can either be univariate function, or weighted spline
basis set. To this end, it implements the following functionality:

·
Update/Retrieve Predictor/Response Weights and their Quote
Sensitivities

· Update/Retrieve Predictor/Response Constraint Values and their Quote Sensitivities

· Display the contents of PredictorResponseWeightConstraint

SmoothingCurveStretchParams contains the Parameters needed to hold
the Stretch. It provides functionality to:

·
The Stretch Best fit Response and the corresponding Quote Sensitivity

· The Calibration Detail and the Curve Smoothening Quantification Metric

· The Segment Builder Parameters

LocalControlCurveParams enhances the SmoothingCurveStretchParams to
produce locally customized curve smoothing. Flags implemented by
LocalControlCurveParams control the following:

·
The C1 generator scheme to be used

· Whether to
eliminate spurious extrema

· Whether or not
to apply monotone filtering

CurveStretch expands the regular Multi-Segment Stretch to aid the
calibration of Boot-strapped Instruments. In particular, CurveStretch
implements the following functions that are used at different stages of curve
construction sequence:

·
Mark the Range of the "built" Segments

·
Clear the built range mark to signal the start of a fresh calibration
run

· Indicate if the specified Predictor Ordinate is inside the "Built" Range

· Retrieve the MergeSubStretchManager

RatesSegmentSequenceBuilder holds the logic behind building the
bootstrap segments contained in the given Stretch. It extends the
SegmentSequenceBuilder interface by implementing/customizing the calibration of
the starting as well as the subsequent segments.

LinearCurveCalibrator creates the discount curve span from the instrument cash flows. The span construction may be customized using specific settings provided in GlobalControlCurveParams.

NonlinearCurveCalibrator calibrates the discount and credit/hazard
curves from the components and their quotes. NonlinearCurveCalibrator employs a
set of techniques for achieving this calibration.

·
It bootstraps the nodes in sequence to calibrate the curve

·
In conjunction with splining estimation techniques, it may also be
used to perform dual sweep calibration. The inner sweep achieves the
calibration of the segment spline parameters, while the outer sweep calibrates
iteratively for the targeted boundary conditions

· It may also be
used to custom calibrate a single Interest Rate/Hazard Rate Node from the
corresponding Component

· CurveCalibrator
bootstraps/cooks both discount curves and credit curves

RatesCurveScenarioGenerator uses the interest rate calibration
instruments along with the component calibrator to produce scenario interest
rate curves. RatesCurveScenarioGenerator typically first constructs the actual
curve calibrator instance to localize the intelligence around curve
construction. It then uses this curve calibrator instance to build individual
curves or the sequence of node bumped scenario curves. The curves in the set
may be an array, or tenor-keyed.

CreditCurveScenarioGenerator uses the hazard rate calibration
instruments along with the component calibrator to produce scenario hazard rate
curves. CreditCurveScenarioGenerator typically first constructs the actual
curve calibrator instance to localize the intelligence around curve construction.
It then uses this curve calibrator instance to build individual curves or the
sequence of node bumped scenario curves. The curves in the set may be an array,
or tenor-keyed.

This class contains the builder functions that construct the discount
curve (comprising both the rates and the discount factors) instance. It
contains static functions that build different types of discount curve from 3
major types of inputs:

·
From a variety of ordered DF-sensitive calibration instruments and
their quotes

·
From an array of ordered discount factors

·
From a serialized byte stream of the discount curve instance

This class contains the builder functions that construct the zero
curve instance. It contains static functions that build different types of zero
curve from 2 major types of inputs:

· From a source discount curve, a set of coupon periods, and the Zero Bump

· From a serialized byte stream of the Zero curve instance

This class contains the builder functions that construct the credit
curve (comprising both survival and recovery) instance. It contains static
functions that build different types of credit curve from 3 major types of
inputs:

·
From a variety of ordered credit-sensitive calibration instruments
and their quotes

· From an array of ordered survival probabilities

· From a serialized byte stream of the credit curve instance

This class contains the baseline FX Forward curve builder object. It
contains static functions that build FX Forward curves from the 3 major inputs:

·
An ordered array of Forward FX

· An ordered array of Forward Basis Points

· A byte Stream representing the serialized instance of the FXForwardCurve

This class contains the baseline FX Basis curve builder object. It
contains static functions that build FX Basis curves from the 3 major inputs:

·
An ordered array of Forward FX

·
An ordered array of Forward Basis Points

· A byte Stream representing the serialized instance of the FXBasisCurve

CurveConstructionInputSet interface contains the Parameters needed
for the Curve Calibration/Estimation. It's methods expose access to the
following:

·
Calibration Valuation Parameters

·
Calibration Quoting Parameters

·
Array of Calibration Instruments

·
Map of Calibration Quotes

·
Map of Calibration Measures

·
Double Map of the Date/Index Fixings

CurveSpanConstructionInput contains the Parameters needed for the
Curve Calibration/Estimation. It contains the following:

·
Calibration Valuation Parameters

·
Calibration Quoting Parameters

·
Calibration Market Parameters

·
Calibration Pricing Parameters

·
Array of Calibration Stretch Representation

·
Map of Calibration Quotes

·
Map of Calibration Measures

· Double Map of the Date/Index Fixings

· Additional functions provide for retrieval of the above and specific instrument quotes. Derived Classes implement Targeted Curve Calibrators.

BootCurveConstructionInput contains the Parameters needed for the
Curve Calibration/Estimation. It contains the following:

·
Calibration Valuation Parameters

·
Calibration Quoting Parameters

·
Array of Calibration Instruments

·
Map of Calibration Quotes

·
Map of Calibration Measures

·
Double Map of the Date/Index Fixings

Curve extends the Latent State to abstract the functionality required
among all financial curve. It exposes the following functionality:

·
Set the Epoch and the Identifiers

·
Set up/retrieve the Calibration Inputs

·
Retrieve the Latent State Metric Measures

CreditCurve is the stub for the survival curve functionality. It
extends the Curve object by exposing the following functions:

·
Set of curve and market identifiers

·
Recovery to a specific date/tenor, and effective recovery between a
date interval

·
Hazard Rate to a specific date/tenor, and effective hazard rate
between a date interval

·
Survival to a specific date/tenor, and effective survival between a
date interval

·
Set/unset date of specific default

·
Generate scenario curves from the base credit curve
(flat/parallel/custom)

· Set/unset the Curve Construction Inputs, Latent State, and the Manifest Metrics

· Serialization/De-serialization to and from Byte Arrays

In ExplicitBootCurve, the segment boundaries explicitly line up with
the instrument maturity boundaries. This feature is exploited in building a
boot-strappable curve. Functionality is provides set the Latent State at the
Explicit Node, adjust the Latent State at the given Node, or set a common Flat
Value across all Nodes.

FXForwardCurve implements the curve representing the FXForward nodes.
It extends the Curve class, and exposes the following functionality:

·
Retrieve the spot parameters (FX Spot, Spot Date, and the currency pair)

·
Calculate the Zero set of FX Basis/Zero Rate nodes corresponding to
each basis node

·
Bootstrap basis points/discount curves corresponding to the FXForward
node set

·
Imply the zero rate to a given date from the FXForward curve

FXBasisCurve implements the curve representing the FXBasis nodes. It
extends the Curve class, and exposes the following functionality:

·
Retrieve the spot parameters (FX Spot, Spot Date, and the currency
pair)

·
Indicate if the basis has been bootstrapped

·
Calculate the Complete set of FX Forward corresponding to each basis
node

DiscountFactorEstimator is the interface that exposes the calculation
of the Discount Factor for a specific Sovereign/Jurisdiction Span. It exposes
the following functionality:

·
Curve Epoch Date

·
Discount Factor Target/Effective Variants - to Specified Julian Dates
and/or Tenors

·
Forward Rate Target/Effective Variants - to Specified Julian Dates
and/or Tenors

·
Zero Rate Target/Effective Variants - to Specified Julian Dates
and/or Tenors

· LIBOR Rate and LIBOR01 Target/Effective Variants - to Specified Julian Dates and/or Tenors

· Curve Implied Arbitrary Measure Estimates

ForwardRateEstimator is the interface that exposes the calculation of the Forward Rate for a specific Index. It exposes methods to compute forward rates to a given date/tenor, extract the forward rate index and the Tenor.

Turn implements
rate spread at discrete time spans. It contains the turn amount and the
start/end turn spans.

TurnListDiscountFactor
implements the discounting based off of the turns list. Its functions add a
turn instance to the current set, and concurrently apply the discount factor
inside the range to each relevant turn.

RatesLSMM contains
the Rates specific Latent State MM for the Rates Curve. Current it holds the
turn list discount factor.

SmoothingCCIS
enhances the Shape Preserving CCIS for smoothing customizations. It exposes the
shape preserving discount curve and the smoothing curve stretch parameters.

DiscountForwardEstimator
exposes the "native" forward curve associated with the specified
discount curve. It exposes functionality to extract forward rate index/tenor,
as well as to compute the forward rate implied off of the discount curve.

ForwardCurve is
the stub for the forward curve functionality. It extends the Curve object by
exposing the following functions:

·
The name/epoch
of the forward rate instance

·
The
index/currency/tenor associated with the forward rate instance

·
Forward Rate to
a specific date/tenor

·
Generate
scenario-tweaked Latent State from the base forward curve corresponding to mode
adjusted (flat/parallel/custom) manifest measure/quantification metric.

·
Retrieve array
of latent state manifest measure, instrument quantification metric, and the
array of calibration components.

·
Set/retrieve
curve construction input instrument sets.

DiscountCurve is
the stub for the discount curve functionality. It extends the both the Curve
and the DiscountFactorEstimator instances by implementing their functions, and
exposing the following:

·
Forward Rate to
a specific date/tenor, and effective rate between a date interval

·
Discount Factor
to a specific date/tenor, and effective discount factor between a date interval

·
Zero Rate to a
specific date/tenor

·
Value Jacobian
for Forward rate, discount factor, and zero rate

·
Cross Jacobian
between each of Forward rate, discount factor, and zero rate

·
Quote Jacobian
to Forward rate, discount factor, and zero rate

·
QM
(DF/Zero/Forward) to Quote Jacobian

·
Latent State
Quantification Metric, and the quantification metric transformations

·
Implied/embedded
ForwardRateEstimator

·
Turns -
set/unset/adjust

ExplicitBootDiscountCurve
exposes the functionality associated with the bootstrapped Discount Curve.

·
Generate a
curve shifted using targeted basis at specific nodes

·
Generate
scenario tweaked Latent State from the base forward curve corresponding to mode
adjusted (flat/parallel/custom) manifest measure/quantification metric

· Retrieve array of latent state manifest measure, instrument quantification metric, and the array of calibration components

· Set/retrieve curve construction input instrument sets

ZeroCurve exposes
the node set containing the zero curve node points. In addition to the discount
curve functionality that it automatically provides by extension, it provides
the functionality to calculate the zero rate.

RegressionEngine provides
the control and frame-work functionality for the General Purpose Regression
Suite. It invokes the following steps as part of the execution:

·
Initialize the
regression environment. This step sets up the regression sets, and adds
individual regressors to the set.

·
Invoke the
regressors in each set one by one.

·
Collect the
results and details of the regression runs.

·
Compile the
regression statistics.

·
Optionally
display the regression statistics.

RegressionRunDetail
contains named field level detailed output of the regression activity.

RegressionRunOutput
contains the output of a single regression activity. It holds the following:

·
The execution
time

·
The
Success/failure status of the run

·
The regression
scenario that was executed

·
The Completion
time for the regression module

·
The Regression
Run Detail for the regression run

RegressorSet
interface provides the Regression set stubs. It contains a set of regressors
and is associated with a unique name. It provides the functionality to set up
the contained regressors.

UnitRegressionExecutor
implements the UnitRegressor, and splits the regression execution into pre-,
execute, and post-regression. It provides default implementations for
pre-regression and post-regression. Most typical regressors only need to
over-ride the execRegression method.

UnitRegressionStat
creates the statistical details for the Unit Regressor. It holds the following:

·
Execution
Initialization Delay

·
Execution time
mean, variance, maximum, and minimum

·
The full list
of individual execution times

UnitRegressor
provides the stub functionality for the Individual Regressors. Its derived
classes implement the actual regression run. Individual regressors are named.

DiscountCurveRegressor
implements the regression set analysis for the Discount Curve.
DiscountCurveRegressor regresses 11 scenarios:

·
#1: Create the
discount curve from a set 30 instruments (cash/future/swap).

·
#2: Create the
discount curve from a flat discount rate.

·
#3: Create the
discount curve from a set of discount factors.

·
#4: Create the
discount curve from the implied discount rates.

·
#5: Extract the
discount curve instruments and quotes.

·
#6: Create a
parallel shifted discount curve.

·
#7: Create a
rate shifted discount curve.

·
#8: Create a
basis rate shifted discount curve.

·
#9: Create a
node tweaked discount curve.

·
#10: Compute
the effective discount factor between 2 dates.

·
#11: Compute
the effective implied rate between 2 dates.

ZeroCurveRegressor
implements the regression analysis set for the Zero Curve. The regression tests
do the following:

·
Build a
discount curve, followed by the zero curve.

·
Regressor #1:
Compute zero curve discount factors.

·
Regressor #2:
Compute zero curve zero rates.

CreditCurveRegressor
implements the regression set analysis for the Credit Curve.
CreditCurveRegressor regresses 12 scenarios:

·
#1: Create an
SNAC CDS.

·
#2: Create the
credit curve from a set of CDS instruments.

·
#3: Create the
credit curve from a flat hazard rate.

·
#4: Create the
credit curve from a set of survival probabilities.

·
#5: Create the
credit curve from an array of hazard rates.

·
#6: Extract the
credit curve instruments and quotes.

·
#7: Create a
parallel hazard shifted credit curve.

·
#8: Create a
parallel quote shifted credit curve.

·
#9: Create a
node tweaked credit curve.

·
#10: Set a
specific default date on the credit curve.

·
#11: Compute
the effective survival probability between 2 dates.

·
#12: Compute
the effective hazard rate between 2 dates.

FXCurveRegressor
implements the regression analysis set for the FX Curve. FXCurveRegressor
implements 3 regression tests:

·
#1: FX Basis
and FX Curve Creation: Construct a FX forward Curve from an array of FX forward
nodes and the spot.

·
#2: Imply the
FX Forward given the domestic and foreign discount curves.

·
#3a: Compute
the domestic and foreign basis given the market FX forward.

·
#3b: Build the
domestic/foreign basis curve given the corresponding basis nodes.

·
#3c: Imply the
array of FX forward points/PIPs from the array of basis and domestic/foreign
discount curves.

CreditAnalyticsRegressionEngine
implements the RegressionEngine for the curve regression. It adds the
CreditCurveRegressor, DiscountCurveRegressor, FXCurveRegressor, and
ZeroCurveRegressor, and launches the regression engine.

CashJacobianRegressorSet
implements the regression analysis set for the Cash product related Sensitivity
Jacobians. Specifically, it computes the PVDF micro-Jack.

EDFJacobianRegressorSet
implements the regression analysis set for the EDF product related Sensitivity
Jacobians. Specifically, it computes the PVDF micro-Jack.

IRSJacobianRegressorSet
implements the regression analysis set for the IRS product related Sensitivity
Jacobians. Specifically, it computes the PVDF micro-Jack.

DiscountCurveJacobianRegressorSet
implements the regression analysis for the full discount curve (built from
cash/future/swap) Sensitivity Jacobians. Specifically, it computes the PVDF
micro-Jack.

CurveJacobianRegressionEngine
implements the RegressionEngine for the curve Jacobian regression. It adds the
CashJacobianRegressorSet, the EDFJacobianRegressorSet, the
IRSJacobianRegressorSet, and the DiscountCurveJacobianRegressorSet, and
launches the regression engine.

OpenRegressorSet
implements the regression run for the Open (i.e., Newton) Fixed Point Search
Method.

BracketingRegressorSet
implements regression run for the Primitive Bracketing Fixed Point Search
Method. It implements the following 4 primitive bracketing schemes: Bisection,
False Position, Quadratic, and Inverse Quadratic.

CompoundBracketingRegressorSet
implements regression run for the Compound Bracketing Fixed Point Search
Method. It implements the following 2 compound bracketing schemes: Brent and
Zheng.

FixedPointFinderRegressionEngine
implements the RegressionEngine for the Fixed Point Finder regression. It adds
the OpenRegressorSet, the BracketingRegressorSet, and the
CompoundBracketingRegressorSet, and launches the regression engine.

BasisSplineRegressor
implements the custom basis spline regressor for the given basis spline. As
part of the regression run, it executes the following:

·
Calibrate and
compute the left and he right Jacobian.

·
Reset right
node and re-run calibration.

·
Compute an
intermediate value Jacobian.

HermiteBasisSplineRegressor implements the BasisSplineRegressor using the Hermite basis spline regressor.

LagrangePolynomialStretchRegressor implements the BasisSplineRegressor using the SingleSegmentLagrangePolynomial regressor.

LocalControlBasisSplineRegressor implements the local control basis
spline regressor for the given basis spline. As part of the regression run, it
executes the following:

·
Calibrate and compute the left and the right Jacobian

·
Insert the Local Control Hermite, Cardinal, and Catmull-Rom knots

·
Run Regressor for the C1 Local Control C1 Slope Insertion
Bessel/Hermite Spline

·
Compute an intermediate value Jacobian

BasisSplineRegressorSet carries out regression testing for the
following series of basis splines:

·
Polynomial Basis Spline, n = 2 basis functions, and _{}

·
Polynomial Basis Spline, n = 3 basis functions, and _{}

·
Polynomial Basis Spline, n = 4 basis functions, and _{}

·
Polynomial Basis Spline, n = 4 basis functions, and _{}

·
Polynomial Basis Spline, n = 5 basis functions, and _{}

·
Polynomial Basis Spline, n = 5 basis functions, and _{}

·
Polynomial Basis Spline, n = 5 basis functions, and _{}

·
Polynomial Basis Spline, n = 6 basis functions, and _{}

·
Polynomial Basis Spline, n = 6 basis functions, and _{}

·
Polynomial Basis Spline, n = 6 basis functions, and _{}

·
Polynomial Basis Spline, n = 6 basis functions, and _{}

·
Polynomial Basis Spline, n = 7 basis functions, and _{}

·
Polynomial Basis Spline, n = 7 basis functions, and _{}

·
Polynomial Basis Spline, n = 7 basis functions, and _{}

·
Polynomial Basis Spline, n = 7 basis functions, and _{}

·
Polynomial Basis Spline, n = 7 basis functions, and _{}

·
Bernstein Polynomial Basis Spline, n = 4 basis functions, and _{}

·
Exponential Tension Spline, n = 4 basis functions, Tension = 1., and _{}

·
Hyperbolic Tension Spline, n = 4 basis functions, Tension = 1., and _{}

·
Kaklis-Pandelis Tension Spline, n = 4 basis functions, KP = 2, and _{}

·
C1 Hermite Local Spline, n = 4 basis functions, and _{}

·
Hermite Local Spline with Local, Catmull-Rom, and Cardinal Knots, n =
4 basis functions, and _{}

BasisSplineRegressionEngine
implements the RegressionEngine class for the basis spline functionality.

This abstract class provides the evaluation of the given basis/objective function and its derivatives for a specified variate. Default implementations of the derivatives are for black box, non-analytical functions.

This class provides the evaluation of the point value and the derivatives of the convolution of 2 univariate functions for the specified variate.

This class provides the evaluation of the n^{th}
order polynomial and its derivatives for a specified variate. The degree n
specifies the order of the polynomial.

This class provides the evaluation of Bernstein polynomial and its derivatives for a specified variate. The degree exponent specifies the order of the Bernstein polynomial.

This class provides the evaluation of a single term in the expansion series for the natural log. The exponent parameter specifies which term in the series is being considered.

This class provides the evaluation of exponential tension basis function and its derivatives for a specified variate. It can be customized by the choice of exponent, the base, and the tension parameter.

This class provides the evaluation of hyperbolic tension basis function and its derivatives for a specified variate. It can be customized by the choice of the hyperbolic function and the tension parameter.

This class implements the deterministic rational shape
control functionality on top of the estimate of the basis splines inside - _{} - Globally _{}: _{} where is the
normalized ordinate mapped as _{}.

This class implements the deterministic rational shape
control functionality on top of the estimate of the basis splines inside - _{} - Globally _{}: _{} where is the
normalized ordinate mapped as _{}.

This class provides the evaluation of the Convolution of the Linear Rational and the Tension Exponential Function and its derivatives for a specified variate.

DerivativeControl provides bumps needed for numerically approximating derivatives. Bumps can be absolute or relative, and they default to a floor.

Differential holds the incremental differentials for the variate and the objective functions.

WengertJacobian contains the Jacobian of the given set of Wengert
variables to the set of parameters. It exposes the following functionality:

·
Set/Retrieve the Wengert variables

·
Accumulate the Partials

·
Scale the partial entries

·
Merge the Jacobian with another

·
Retrieve the WengertJacobian elements

Integrator implements the following routines for integrating the
objective functions:

·
Linear Quadrature

·
Mid-Point Scheme

·
Trapezoidal Scheme

·
Simpson/Simpson38 Schemes

·
Boole Scheme

Univariate
implements the base abstract class behind univariate distributions. It exports
methods for incremental, cumulative, and inverse cumulative distribution
densities.

UnivariateNormal
implements the univariate normal distribution. It implements incremental,
cumulative, and inverse cumulative distribution densities.

LinearizationOutput
holds the output of a sequence of linearization operations. It contains the
transformed original matrix, the transformed RHS, and the method used for the
linearization operation.

This class holds
the results of Matrix transforms on the source and the complement, e.g., during
a Matrix Inversion Operation.

Matrix implements
Matrix manipulation routines. It exports the following functionality:

·
Matrix
Inversion using Closed form solutions (for low-dimension matrices), or using
Gaussian elimination

·
Matrix Product

·
Matrix
Diagonalization and Diagonal Pivoting

·
Matrix
Regularization through Row Addition/Row Swap

LinearSystemSolver
implements the solver for a system of linear equations given by _{}, where _{} is the matrix, _{} the set of variables, and _{} is the result to be solved for. It exports
the following functions:

·
Row
Regularization and Diagonal Pivoting

·
Check for
Diagonal Dominance

·
Solving the
linear system using any one of the following: Gaussian Elimination, Gauss
Seidel reduction, or matrix inversion

The CollectionUtil
class implements generic utility functions used in DRIP modules. Some of the
functions it exposes are:

·
Map Merging
Functionality

·
Map Key
Functionality - key-value flatteners, key prefixers

·
Decompose/transform
List/Set/Array Contents

·
Multi-Dimensional
Map Manipulator Routines

·
Construct
n-derivatives array from Slope

·
Collate
Wengerts to a bigger Wengert

DateUtil
implements date utility functions those are extraneous to the JulianDate
implementation. It exposes the following functionality:

·
Retrieve Day,
Month, and Year From Java Date

·
Switch between
multiple date formats (Oracle Date, BBG Date, different string representations
etc)

StringUtil
implements string utility functions. It exports the following functions:

·
Decompose +
Transform string arrays into appropriate target type set/array/list, and vice
versa

·
General-purpose
String processor functions, such as GUID generator, splitter, type converter
and input checker

NumberUtil
implements number utility functions. It exposes the following functions:

·
Verify
number/number array validity, and closeness/sign match

·
Factorial
Permutation/Combination functionality

·
Dump
multi-dimensional array contents

·
Min/Max/Bound
the array entries within limits

FormatUtil
implements formatting utility functions. Currently it just exports functions to
pad and format.

BracketingControlParams
implements the control parameters for bracketing solutions.
BracketingControlParams provides the following parameters:

·
The starting
variate from which the search for bracketing begins.

·
The initial
width for the brackets.

·
The factor by
which the width expands with each iterative search.

·
The number of
such iterations.

BracketingOutput
carries the results of the bracketing initialization. In addition to the fields
of ExecutionInitializationOutput, BracketingOutput holds the left/right bracket
variates and the corresponding values for the objective function.

ConvergenceControlParams
holds the fields needed for the controlling the execution of Newton's method.
ConvergenceControlParams does that using the following parameters:

·
The determinant
limit below which the convergence zone is deemed to have reached.

·
Starting
variate from where the convergence search is kicked off.

·
The factor by
which the variate expands across each iterative search.

·
The number of
search iterations.

ConvergenceOutput
extends the ExecutionInitializationOutput by retaining the starting variate
that results from the convergence zone search. ConvergenceOutput does not add
any new field to ExecutionInitializationOutput.

ExecutionControl
implements the core fixed-point search execution control and customization
functionality. ExecutionControl is used for a) calculating the absolute
tolerance, and b) determining whether the OF has reached the goal.
ExecutionControl determines the execution termination using its
ExecutionControlParams instance.

ExecutionControlParams
holds the parameters needed for controlling the execution of the fixed-point
finder. ExecutionControlParams fields control the fixed-point search in one of
the following ways:

·
Number of
iterations after which the search is deemed to have failed.

·
Relative
Objective Function Tolerance Factor which, when reached by the objective
function, will indicate that the fixed point has been reached.

·
Variate
Convergence Factor, factor applied to the initial variate to determine the
absolute convergence.

·
Absolute
Tolerance fall-back, which is used to determine that the fixed point has been
reached when the relative tolerance factor becomes zero.

·
Absolute
Variate Convergence Fall-back, fall-back used to determine if the variate has
converged.

ExecutionInitializationOutput
holds the output of the root initializer calculation. The following are the
fields held by ExecutionInitializationOutput:

·
Whether the
initialization completed successfully.

·
The number of
iterations, the number of objective function calculations, and the time taken
for the initialization.

·
The starting
variate from the initialization

ExecutionInitializer
implements the initialization execution and customization functionality.
ExecutionInitializer performs two types of variate initializations:

·
Bracketing
initialization: This brackets the fixed point using the bracketing algorithm
described in http://www.credit-trader.org. If successful, a pair of variate/OF
coordinate nodes that bracket the fixed-point is generated. These brackets are
eventually used by routines that iteratively determine the fixed-point.
Bracketing initialization is controlled by the parameters in
BracketingControlParams.

·
Convergence
Zone initialization: This generates a variate that lies within the convergence
zone for the iterative determination of the fixed point using the Newton's
method. Convergence Zone Determination is controlled by the parameters in
ConvergenceControlParams.

ExecutionInitializer
behavior can be customized/optimized through several of the initialization
heuristics techniques implemented in the InitializationHeuristics class.

FixedPointFinder
is the base abstract class that is implemented by customized invocations, e.g.,
Newton's method, or any of the bracketing methodologies. FixedPointFinder
invokes the core routine for determining the fixed point from the goal. The
ExecutionControl determines the execution termination. The initialization
heuristics implements targeted customization of the search.

FixedPointFinder
main flow comprises of the following steps:

·
Initialize the
fixed-point search zone by determining either a) the brackets, or b) the
starting variate.

·
Compute the
absolute OF tolerance that establishes the attainment of the fixed point.

·
Launch the
variate iterator that iterates the variate.

·
Iterate until
the desired tolerance has been attained.

·
Return the
fixed-point output.

Fixed point
finders that derive from this provide implementations for the following:

·
Variate
initialization: They may choose either bracketing initializer, or the
convergence initializer - functionality is provided for both in this module.

·
Variate
Iteration: Variates are iterated using a) any of the standard primitive
built-in variate iterators (or custom ones), or b) a variate selector scheme
for each iteration.

FixedPointFinderBracketing
customizes the FixedPointFinder for bracketing based fixed-point finder
functionality.

FixedPointFinderBracketing
applies the following customization:

·
Initializes the
fixed-point finder by computing the starting brackets.

·
Iterating the
next search variate using one of the specified variate iterator primitives.

By default,
FixedPointFinderBracketing does not do compound iterations of the variate using
any schemes - that is done by classes that extend it.

FixedPointFinderBrent
customizes FixedPointFinderBracketing by applying the Brent's scheme of
compound variate selector.

Brent's scheme, as
implemented here, is described in http://www.credit-trader.org. This implementation
retains absolute shifts that have happened to the variate for the past 2
iterations as the discriminant that determines the next variate to be
generated.

FixedPointFinderBrent
uses the following parameters specified in VariateIterationSelectorParams:

·
The Variate
Primitive that is regarded as the "fast" method.

·
The Variate
Primitive that is regarded as the "robust" method.

·
The relative
variate shift that determines when the "robust" method is to be
invoked over the "fast".

·
The lower bound
on the variate shift between iterations that serves as the fall-back to the
"robust".

FixedPointFinderNewton
customizes the FixedPointFinder for Open (Newton's) fixed-point finder
functionality.

FixedPointFinderNewton
applies the following customization:

·
Initializes the
fixed point finder by computing a starting variate in the convergence zone.

·
Iterating the
next search variate using the Newton's method.

FixedPointFinderOutput
holds the result of the fixed-point search.

FixedPointFinderOutput
contains the following fields:

·
Whether the
search completed successfully

·
The number of
iterations, the number of objective function base/derivative calculations, and
the time taken for the search

·
The output from
initialization

FixedPointFinderZheng
implements the fixed-point locator using Zheng's improvement to Brent's method.

FixedPointFinderZheng
overrides the iterateCompoundVariate method to achieve the desired
simplification in the iterative variate selection.

InitializationHeuristics
implements several heuristics used to kick off the fixed-point
bracketing/search process.

The following
custom heuristics are implemented as part of the heuristics based kick-off:

·
Custom
Bracketing Control Parameters: Any of the standard bracketing control
parameters can be customized to kick-off the bracketing search.

·
Soft Left/Right
Bracketing Hints: The left/right-starting bracket edges are used as soft
bracketing initialization hints.

·
Soft Mid
Bracketing Hint: A mid bracketing level is specified to indicate the soft
bracketing kick-off.

·
Hard Bracketing
Floor/Ceiling: A pair of hard floor and ceiling limits is specified as a
constraint to the bracketing.

·
Hard Search
Boundaries: A pair of hard left and right boundaries is specified to kick-off
the final fixed-point search.

These heuristics
are further interpreted and developed inside the ExecutionInitializer and the
ExecutionControl implementations.

IteratedBracket
holds the left/right bracket variates and the corresponding values for the
objective function during each iteration.

IteratedVariate
holds the variate and the corresponding value for the objective function during
each iteration.

VariateIterationSelectorParams
implements the control parameters for the compound variate selector scheme used
in Brent's method.

Brent's method
uses the following fields in VariateIterationSelectorParams to generate the
next variate:

·
The Variate
Primitive that is regarded as the "fast" method.

·
The Variate
Primitive that is regarded as the "robust" method.

·
The relative
variate shift that determines when the "robust" method is to be
invoked over the "fast".

·
The lower bound
on the variate shift between iterations that serves as the fall-back to the
"robust".

VariateIteratorPrimitive
implements the various Primitive Variate Iterator routines.

VariateIteratorPrimitive
implements the following iteration primitives:

·
Bisection

·
False Position

·
Quadratic

·
Inverse
Quadratic

·
Ridder

It may be readily
enhanced to accommodate additional primitives.

This class implements the segment level basis functions proportional adjustment to achieve the desired shape behavior of the response. In addition to the actual shape controller function, it interprets whether the control is applied on a local or global predicate ordinate basis.

This class holds the set of fields needed to characterize a
single local linear Constraint, expressed linearly as a combination of the
local Predictor Ordinates and their corresponding Response Basis Function
Realizations. Constraints are expressed as _{} where _{}is the predictor ordinate at node _{}, _{} is the Coefficient for the
Response Basis Function _{}, _{} is the weight applied
for the Response Basis Function _{}, and _{}is the value of constraint_{}. SegmentBasisFlexureConstraint may be viewed as the localized basis
function transpose of SegmentResponseValueConstraint.

This class holds the following set of fields that
characterize a single global linear constraint between the predictor and the
response variables within a single segment, expressed linearly across the constituent nodes. SegmentBasisFlexureConstraint
may be viewed as the localized basis function transpose of
SegmentResponseValueConstraint. SegmentResponseValueConstraint exports the
following functionality:

·
Retrieve the Array of Predictor Ordinates

·
Retrieve the Array of Response Weights at each Predictor Ordinate

·
Retrieve the Constraint Value

·
Convert the Segment Constraint onto Local Predictor Ordinates, the
corresponding Response Basis Function, and the Shape Controller Realizations

·
Get the Position of the Predictor Knot relative to the Constraints

·
Generate a SegmentResponseValueConstraint instance from the given
predictor/response pair

This class holds the set of SegmentResponseValueConstraint
(Base + One/more Sensitivities) for the given Segment. It exposes functions to
add/retrieve the base response value constraints as well as additional response
value constraint sensitivities.

This class implements basis per-segment Fitness Penalty
Parameter Set. Currently it contains the Best Fit Penalty Weight Grid Matrix
and the corresponding Segment Local Predictor Ordinate/Response Match Pair.

This class implements basis per-Stretch Fitness Penalty
Parameter Set. Currently it contains the Best Fit Penalty Weight Grid Matrix
and the corresponding Local Predictor Ordinate/Response Match Pair. StretchBestFitResponse
exports the following methods:

·
Retrieve the Array of the Fitness Weights

·
Retrieve the Indexed Fitness Weight Element

·
Retrieve the Array of Predictor Ordinates

·
Retrieve the Indexed Predictor Ordinate Element

·
Retrieve the Array of Responses

·
Retrieve the Indexed Response Element

·
Retrieve the Number of Fitness Points

·
Generate the Segment Local Best Fit Weighted Response contained
within the specified Segment

·
Construct the StretchBestFitResponse Instance from the given Inputs

·
Construct the StretchBestFitResponse Instance from the given
Predictor Ordinate/Response Pairs, using Uniform Weightings

This class implements basis per-segment Flexure Penalty
Parameter Set. Currently it contains the Flexure Penalty Derivative Order and
the Roughness Coefficient Amplitude. Flexure Penalty Control may be used to
implement Segment Curvature Control and/or Segment Length Control.

This class implements basis per-segment inelastic parameter
set. It exports the following functionality:

·
Retrieve the Continuity Order.

·
Retrieve the Length Penalty and the Curvature Penalty Parameters.

·
Create the _{} Design Inelastic Parameters.

·
Create the Design Inelastic Parameters for the desired _{} Criterion and
the Roughness Penalty Order.

This class holds the parameters the guide the
creation/behavior of the segment. It holds the segment elastic/inelastic
parameters and the named basis function set.

This class contains the segment local parameters used for
the segment calibration. It holds the edge Input Response value and its
derivatives. It exposes the following functions:

· Retrieve the Response Value as well as the DResponseDPredictorOrdinate Array

· Aggregate the 2 Predictor Ordinate Response Derivatives by applying the Cardinal Tension Weight

This class implements basis per-segment Calibration
Parameter Set. It exposes the following functionality:

·
Retrieve the Array of the Calibration Predictor Ordinates

·
Retrieve the Array of the Calibration Response Values

·
Retrieve the Array of the Left/Right Edge Derivatives

·
Retrieve the Segment Best Fit Response

·
Retrieve the Array of Segment Basis Flexure Constraints

This class implements the general-purpose basis spline function set.

This is an empty stub class whose derived implementations hold the per-segment basis set parameters.

ExponentialMixtureSetParams implements per-segment parameters for the
exponential mixture basis set - the array of the exponential tension
parameters, one per each entity in the mixture.

ExponentialTensionSetParams implements per-segment parameters for the
exponential tension basis set – currently it only contains the tension
parameter.

ExponentialRationalSetParams implements per-segment parameters for
the exponential rational basis set – the exponential tension and the rational
tension parameters.

PolynomialFunctionSetParams implements per-segment basis set
parameters for the polynomial basis spline - currently it holds the number of
basis functions.

KaklisPandelisSetParams implements per-segment parameters for the
Kalkis-Pandelis basis set – currently it only holds the polynomial tension
degree.

This class implements the basis set and spline builder for the
following types of splines:

·
Exponential basis tension splines

·
Hyperbolic basis tension splines

·
Polynomial basis splines

·
Bernstein Polynomial basis splines

·
Kaklis-Pandelis basis tension splines

The elastic
coefficients for the segment using _{} basis splines
inside _{} - globally _{}: _{} where is the
normalized ordinate mapped as _{}. The inverse quadratic/rational spline is a typical shape controller
spline used.

BSplineSequenceParams implements the parameter set for constructing
the B Spline Sequence. It provides functionality to:

o Retrieve the B
Spline Order

o Retrieve the
Number of Basis Functions

o Retrieve the
Processed Basis Derivative Order

o Retrieve the
Basis Hat Type

o Retrieve the
Shape Control Type

o Retrieve the
Tension

o Retrieve the Array of Predictor Ordinates

This class contains the spline segment in-elastic fields - in this
case the start/end ranges. It exports the following functions:

·
Retrieve the Segment Left/Right Predictor Ordinate

·
Find out if the Predictor Ordinate is inside the segment - inclusive
of left/right

·
Get the Width of the Predictor Ordinate in this Segment

· Transform the Predictor Ordinate to the Local Segment Predictor Ordinate

· Transform the Local Predictor Ordinate to the Segment Ordinate

This interface implements the Segment's Basis Evaluator Functions. It
exports the following functions:

·
Retrieve the number of Segment's Basis Functions

·
Set the Inelastics that provides the enveloping Context the Basis
Evaluation

·
Clone/Replicate the current Basis Evaluator Instance

·
Compute the Response Value of the indexed Basis Function at the
specified Predictor Ordinate

·
Compute the Basis Function Value at the specified Predictor Ordinate

·
Compute the Response Value at the specified Predictor Ordinate

·
Compute the Ordered Derivative of the Response Value off of the
indexed Basis Function at the specified Predictor Ordinate

· Compute the Ordered Derivative of the Response Value off of the Basis Function Set at the specified Predictor Ordinate

· Compute the Response Value Derivative at the specified Predictor Ordinate

This class implements the BasisEvaluator interface for the given Set
of the Segment Basis Evaluator Functions.

This class contains the monotonicity details related to the given
segment. It computes whether the segment is monotonic, and if not, whether it
contains a maximum, a minimum, or an inflection.

This Class implements the Segment's Best Fit, Curvature, and Length
Penalizers. It provides the following functionality:

·
Compute the Cross-Curvature Penalty for the given Basis Pair

·
Compute the Cross-Length Penalty for the given Basis Pair

·
Compute the Best Fit Cross-Product Penalty for the given Basis Pair

·
Compute the Basis Pair Penalty Coefficient for the Best Fit and the
Curvature Penalties

·
Compute the Penalty Constraint for the Basis Pair

ConstitutiveState implements the single segment basis calibration and
inference functionality. It exports the following functionality:

·
Build the ConstitutiveState instance from the Basis Function/Shape
Controller Set

·
Build the ConstitutiveState instance from the Basis Evaluator Set

·
Retrieve the Number of Parameters, Basis Evaluator, Array of the
Response Basis Coefficients, and Segment Design Inelastic Control

·
Calibrate the Segment State from the Calibration Parameter Set

·
Sensitivity Calibrator: Calibrate the Segment Quote Jacobian from the
Calibration Parameter Set

·
Calibrate the coefficients from the prior Predictor/Response Segment,
the Constraint, and fitness Weights

·
Calibrate the coefficients from the prior Segment and the Response
Value at the Right Predictor Ordinate

·
Calibrate the Coefficients from the Edge Response Values and the Left
Edge Response Slope

·
Calibrate the coefficients from the Left Edge Response Value
Constraint, the Left Edge Response Value Slope, and the Right Edge Response
Value Constraint

·
Retrieve the Segment Curvature, Length, and the Best Fit DPE

·
Calculate the Response Value and its Derivative at the given
Predictor Ordinate

·
Calculate the Ordered Derivative of the Coefficient to the Quote

·
Calculate the Jacobian of the Segment's Response Basis Function
Coefficients to the Edge Inputs

·
Calculate the Jacobian of the Response to the Edge Inputs at the
given Predictor Ordinate

·
Calculate the Jacobian of the Response to the Basis Coefficients at
the given Predictor Ordinate

·
Calibrate the segment and calculate the Jacobian of the Segment's
Response Basis Function Coefficients to the Edge Parameters

·
Calibrate the Coefficients from the Edge Response Values and the Left
Edge Response Value Slope and calculate the Jacobian of the Segment's Response
Basis Function Coefficients to the Edge Parameters

·
Calibrate the coefficients from the prior Segment and the Response
Value at the Right Predictor Ordinate and calculate the Jacobian of the
Segment's Response Basis Function Coefficients to the Edge Parameters

·
Indicate whether the given segment is monotone. If monotone, may
optionally indicate the nature of the extrema contained inside
maxima/minima/infection)

·
Clip the part of the Segment to the Right of the specified Predictor
Ordinate. Retain all other constraints the same

· Clip the part of the Segment to the Left of the specified Predictor Ordinate. Retain all other constraints the same

· Display the string representation for diagnostic purposes

SingleSegmentSequence is the interface that exposes functionality
that spans multiple segments. Its derived instances hold the ordered segment
sequence, the segment control parameters, and, if available, the spanning
Jacobian. SingleSegmentSequence exports the following group of functionality:

·
Construct adjoining segment sequences in accordance with the segment
control parameters

·
Calibrate according to a varied set of (i.e., NATURAL/FINANCIAL)
boundary conditions

·
Estimate both the value, the ordered derivatives, and the Jacobian
(quote/coefficient) at the given ordinate

· Compute the monotonicity details - segment/Stretch level monotonicity, co-monotonicity, local monotonicity

· Predictor Ordinate Details - identify the left/right predictor ordinate edges, and whether the given predictor ordinate is a knot

SingleSegmentLagrangePolynomial implements the SingleSegmentSequence
Stretch interface using the Lagrange Polynomial Estimator. As such it provides
a perfect fit that travels through all the predictor/response pairs causing
Runge's instability.

MultiSegmentSequence is the interface that exposes functionality that spans multiple segments. Its derived instances hold the ordered segment sequence, the segment contro