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l7nk37
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Joined: March 16th, 2004, 9:00 pm

Credit Analytics contribution to qfin

March 28th, 2012, 1:06 am

Hi -Would qfin (https://docs.google.com/document/d/11_f ... t?hl=en_US#) consider java based contribution for a possible credit vanilla analytics (i.e., bond/CDS/CDX/bond baskets)?As indicated in another thread, we've put together java-based open source library - Credit Analytics - to price/value vanilla single name and basket credit products - our focus has been on liquid products, with the eventual intention of eventually making them connect to some common bond/Credit ECN venues.On reading the qfin charter, it looks like there could be synergy - at least from a product PoV, this complements - does anyone think so? I would be glad to participate/contribute.Please check out my sig for information on Credit Analytics.
 
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Cuchulainn
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Credit Analytics contribution to qfin

March 28th, 2012, 6:58 am

Hi l7nk37,Sounds fine to me. How would you like to proceed?
 
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l7nk37
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Credit Analytics contribution to qfin

March 29th, 2012, 12:59 am

Thank you both.I registered with the qfcl.wilmott, and the site layout seems to mimic other code hosting sites, so the API docs, samples, test/demo suite map well to what Credit Analytics already has.Credit Analytics being in Java, how do you envision this fitting with the qfcl scheme?I think the project can be called Credit Analytics, and here is a brief description:"CreditAnalytics is a full featured financial fixed-income credit analytics, credit risk, bond analytics and bond risk library."We do tend to move bit fast, so if it should be a relatively loose coupling between qfcl and Credit Analytics to facilitate fairly fast evolution, that is fine too (Credit Analytics does have a sizeable user base), but personally we would like "grow" with qfcl if possible.
 
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l7nk37
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Credit Analytics contribution to qfin

March 30th, 2012, 9:56 am

outrun - Thank you so much - will try to add Credit Analytics over the weeekend. Any chance the site takes Mercurial/git loads in addition to subversion?Thanks,- Lakshmi
 
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l7nk37
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Joined: March 16th, 2004, 9:00 pm

Credit Analytics contribution to qfin

April 4th, 2012, 2:54 am

Thanks very much.I've added the load for Credit Analytics 1.3 - currently there is docs, downloads, and source. Around 20th of every other month we try to make a release, so will do the same here.Over time we'll add the other items, and format using the Markups too - unfortunately each hosting site has its own Markup format and synch'ing them is turning out to be a challenge!
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