Discount Curve Regression

Full featured financial fixed-income, credit, and bond analytics/risk

Brought to you by: lakshmi7977

Milestone: 1.5

Status: open

Owner: nobody

Labels: Discount Curve Regression (1)

Updated: 2012-05-28

Created: 2012-05-28

Private: No

Implementation of functional regression for the following features of discount curve analytics:

Discount curve creation from a composite mix of rates instruments - CDs, Futures, and swaps
Discount curve creation from nodes of rates and/or discount factors
Parallel shifted, node-shifted, and basis shifted discount curve creation from the base discount curve
Scenario tweak adjusted discount curve creation from the base discount curve
Spot and Effective implied rates and discount factors (period spanners)
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