DROP
DROP copied to clipboard
lakshmiDRIP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
CompoundBracketingRegressorSet implements regression run for the Compound Bracketing Fixed Point Search Method. It implements the following 2 compound bracketing schemes: Brent and Zheng. Module = Numerical Core Module Library =...
FixedPointFinderRegressionEngine implements the RegressionEngine for the Fixed Point Finder regression. It adds the OpenRegressorSet, the BracketingRegressorSet, and the CompoundBracketingRegressorSet, and launches the regression engine. Module = Numerical Core Module Library...
OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method. Module = Numerical Core Module Library = Algorithm Support Library Project = Regression Package = Fixed...
CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack. Module = Numerical Core Module Library = Algorithm Support Library Project...
CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression. It adds the CashJacobianRegressorSet, the EDFJacobianRegressorSet, the IRSJacobianRegressorSet, and the DiscountCurveJacobianRegressorSet, and launches the regression engine. Module = Numerical Core Module...
DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built from cash/future/swap) Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack. Module = Numerical Core Module Library = Algorithm Support...
EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack. Module = Numerical Core Module Library = Algorithm Support Library Project...
IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack. Module = Numerical Core Module Library = Algorithm Support Library Project...
CreditAnalyticsRegressionEngine implements the RegressionEngine for the curve regression. It adds the CreditCurveRegressor, DiscountCurveRegressor, and ZeroCurveRegressor, and launches the regression engine. Module = Numerical Core Module Library = Algorithm Support Library...
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...
Metadata
Owner
Metadata
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics