Regression Curve Credit Curve Regressor

[lakshmiDRIP]

CreditCurveRegressor implements the regression set analysis for the Credit Curve. CreditCurveRegressor regresses 12 scenarios:

• 1: Create an SNAC CDS.
• 2: Create the credit curve from a set of CDS instruments.
• 3: Create the credit curve from a flat hazard rate.
• 4: Create the credit curve from a set of survival probabilities.
• 5: Create the credit curve from an array of hazard rates.
• 6: Extract the credit curve instruments and quotes.
• 7: Create a parallel hazard shifted credit curve.
• 8: Create a parallel quote shifted credit curve.
• 9: Create a node tweaked credit curve.
• 10: Set a specific default date on the credit curve.
• 11: Compute the effective survival probability between 2 dates.
• 12: Compute the effective hazard rate between 2 dates.

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