FX 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: FX Curve Regression (1)

Updated: 2012-05-28

Created: 2012-05-28

Private: No

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

FX Forward and FX basis curve creation
Re-construction of the FX foward curve node points from the FX Basis curve, the corresponding domestic/foreign discount curves, and FX Spot contracts
Vice versa for FX basis curve
Implying the domestic/foreign bais rate/full dicsount curve from the FX forward curve
Implying the domestic/foreign bais rate/full dicsount curve from the FX basis curve