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lakshmiDRIP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
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...
ZeroCurveRegressor implements the regression analysis set for the Zero Curve. The regression tests do the consists of the following: * Build a discount curve, followed by the zero curve *...
RegressionEngine provides the control and frame-work functionality for the General Purpose Regression Suite. It invokes the following steps as part of the execution: * Initialize the regression environment. This step...
RegressionRunDetail contains named field level detailed output of the regression activity. Module = Analytics Core Module Library = Fixed Income Analytics Library Project = Regression Package = Core
RegressionRunOutput contains the output of a single regression activity. It holds the following: * The execution time * The Success/failure status of the run * The regression scenario that was...
RegressorSet interface provides the Regression set stubs. It contains a set regressors and is associated with a unique name. It provides functionality to set up the contained regressors. Module =...
UnitRegressionExecutor implements the UnitRegressor, and splits the regression execution into pre-, execute, and post-regression. It provides default implementations for pre-regression and post-regression. Most typical regressors only need to over-ride the...
UnitRegressionStat creates the statistical details for the Unit Regressor. It holds the following: * Execution Initialization Delay * Execution time mean, variance, maximum, and minimum * The full list of...
UnitRegressor provides the stub functionality for the Individual Regressors. Its derived classes implement the actual regression run. Individual regressors are named. Module = Analytics Core Module Library = Fixed Income...
RatesBasket contains the implementation of the Basket of Rates Component legs. RatesBasket is made from zero/more fixed and floating streams. It exports the following functionality: * Standard/Custom Constructor for the...
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Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics