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lakshmiDRIP / DROP

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
https://lakshmidrip.github.io/DROP/
Apache License 2.0
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Regression Curve Jacobian IRS Jacobian Regressor Set #832

Open lakshmiDRIP opened 5 years ago

lakshmiDRIP commented 5 years ago

IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack.