Lakshmi Krishnamurthy

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...

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...