CCR, Entropy-Based Correlation Estimates & Dynamic Beta
Description
Contains performance analysis metrics of track records including entropy-based
correlation and dynamic beta based on the Kalman filter. The normalized sample entropy method
has been implemented which produces accurate entropy estimation even on smaller datasets while for
the dynamic beta calculation the Kalman filter methodology has been utilized.
On a separate stream, trades from the five major assets classes and also
functionality to use pricing curves, rating tables, CSAs and add-on tables. The
implementation follows an object oriented logic whereby each trade inherits from
more abstract classes while also the curves/tables are objects. There is a lot
of functionality focusing on the counterparty credit risk calculations however
the package can be used for trading applications in general.