Regression Curve Discount Curve Regressor

[lakshmiDRIP]

DiscountCurveRegressor implements the regression set analysis for the Discount Curve. DiscountCurveRegressor regresses 11 scenarios:

• #1: Create the discount curve from a set 30 instruments (cash/future/swap).
• #2: Create the discount curve from a flat discount rate.
• #3: Create the discount curve from a set of discount factors.
• #4: Create the discount curve from the implied discount rates.
• #5: Extract the discount curve instruments and quotes.
• #6: Create a parallel shifted discount curve.
• #7: Create a rate shifted discount curve.
• #8: Create a basis rate shifted discount curve.
• #9: Create a node tweaked discount curve.
• #10: Compute the effective discount factor between 2 dates.
• #11: Compute the effective implied rate between 2 dates.

• Module = Numerical Core Module
• Library = Algorithm Support Library
• Project = Regression
• Package = Curve