CreditSuite suite of libraries aims to provide open source analytics and trading/valuation system solution suite for credit and fixed income products. It implements its functionality over 5 main libraries – CreditProduct, CreditAnalytics, SplineLibrary, SensitivityGenerator, FixedPointFinder, and RegressionSuite.
The main challenges that CreditSuite 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
