CreditAnalytics

Lakshmi Krishnamurthy v1.4 1 May 2012

If you are looking to ...

Create IR discount curve from rates, or by calibration from quotes of cash/money market LIBOR/swap/future
Create credit curve from hazard rate or survival probabilites, or from quotes of bonds/CDS/other credit sensitive instruments
Create basis and correlation curves using single name and credit basket products
Build FX Spot, forward, and FX basis curves from a variety of inputs
"Do" day counts of all kinds, holiday calendars for 150+ jurisdictions, and weirdest date adjustment rules
Pull up a complete description of a bond using its ISIN/CUSIP/other standard identifier, and calc price, yield, G/I/Z Spread, discount margin, OAS, bond basis, credit basis or any other relative value metric, or
Build your own bond or semi-funded note using amort coupon/principal schedules, embedded call/put schedule, or any of the bells provided
Pull in all the ref data for a given bond (incl. non-valuation details such as issue dates, notional, domicile, option schedule), or for all the bonds for the given issuer/sector/rating etc
Build a standard CDS/CDX/CDO instrument by code/index/series/tenor, or a bespoke one using the numerous built-in custom features
Pull historical and live IR/CDS/CDX/CDO/bond quotes, analytics
Generate 1000+ measures for each of the product for a given scenario, or
Generate valuations for fully customizable scenario adjustment
Get all these in a set of very simple, elegant group of APIs

... CreditAnalytics does all this (and more)!

So what is CreditAnalytics?

CreditAnalytics is a full-featured financial fixed income credit analytics, trading, and risk library, developed with a special focus towards the needs of the credit products community.

In particular, CreditAnalytics provides analytics to value liquid products (CDS, CDX, CDO, and bonds of all types and variants) and standard index/custom products (single credit forwards and options, and portfolio credit forwards, options, tranches, and other structures).

To learn more ...

Check out the detailed documentation of at the user documentation Wiki site. javadoc gives elaborate API usage information.

All you need is to install is a single jar file. Really.

It is called drip.jar (with version info appended). This contains the complete suite of the entire CreditAnalytics analytics. Drop this in the classpath.

If you wish to get bond ref data or closing marks, you may optionally need Ojdbc14.jar - the Oracle JDBC drivers needed for access to the reference data. Again in your classpath it goes.

Configuring is simple too,

Built-in configuration covers a humoungous variety of day count conventions, calendars, and date adjustment rules. Unsatisfied with any factory calendar default? Examine it first by using one of the API calls, then muck with appropriate Config.xml entry in the config directory, and use this file as the start up.

After installation, start by

... altering the entries in the Config.xml file (you can rename it, as long you identify the full path in the initializer - see below). Of course, you don't even need a configuration file - in which case the settings default to the values provided in the previous section.

Any of the samples in the examples folder is the place to start. It contains a comprehensive set of illustrated usage of all the CreditAnalytics API calls.

                java.lang.String strConfig;

		boolean bFIInit = org.drip.service.api.FI.Init (strConfig);

FI.Init initializes the CreditAnalytics library - it takes the optional configuration file as an input. If the initialization is not successful, certain CreditAnalytics functionality will not be available, as the sample demonstrates.

The samples show product creation, analytics calculations, historical/live data extractions and their eventual analytics.

Licence

CreditAnalytics is distributed under the Apache 2.0 licence - please see the attached Licence for details.