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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 Curve Jacobian Regression Engine #835

Open lakshmiDRIP opened 5 years ago

lakshmiDRIP commented 5 years ago

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.