Credit 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: Credit Curve Regression (1)

Updated: 2012-05-28

Created: 2012-05-28

Private: No

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

Credit curve creation from a composite mix of credit instruments - CDS and bonds
Credit curve creation from nodes of hazard rates and/or survival factors
Parallel shifted, node-shifted, and recovery shifted credit curve creation from the base credit curve
Scenario tweak adjusted credit curve creation from the base credit curve
Spot and Effective implied hazard rates and survival factors (period spanners)
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