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

Open source Bond/CDS Analytics

March 28th, 2012, 12:49 am

Hi -I would like to announce our open source analytics for valuing bond/CDS/CDX/baskets (and hoping to expand over time to cover more credit products). Our goals for this project are:- Create simple, tight, highly usable, well documented comprehensive credit and bond analytics in Java- Focus right from the outset on integration with the static data for bonds- Focus on features that cover most features of corporate/treasury/muni/EM bonds- Generate a fairly elaborate set of relative value measures (please see attached)- Cover standard CDS types, curve calibration, and quoting conventions- Cover valuation of standard CDX indexes and tranchesOur anti-goals:- Our intention is to focus on relatively liquid products, so less focus on one-off products requiring exotic quantitative techniques (we understand what constitutes "exotic" and "quantitative" is relative)- Focus on accepted, well-established models, and less on elaborate math - we intend to borrow from other open source projects where such functionality is requiredEventually, we hope to convert this into a bond/credit trading system, with possible integration onto some electronic venues (perhaps even run algos), but that's thinking in advance.CreditAnalytics 1.3 is hosted athttp://code.google.com/p/creditanalyticshttp://sourceforge.net/projects/creditanalytics