What's new in CreditAnalytics 1.2
Feb 27, 2012
- 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 probabilities, or from quotes of bonds/CDS/other credit sensitive instruments
- Creates basis and correlation curves using single name and credit basket products
- Build FX Spot, forward, and FX basis curves from a variety of inputs
- 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, bond credit basis or any other relative value metric, or
- Build your own bond or semi-funded note using 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, 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
- All these in a set of very simple, elegant group of APIs