Calculation of Curve Self-Jacobian

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

Brought to you by: lakshmi7977

Milestone: 2.1

Status: accepted

Owner: nobody

Labels: None

Updated: 2013-03-12

Created: 2013-03-12

Private: No

Calculate the curve Jacobian of the characterizing curve variate to itself.
This curve variate could be discount factor, zero rate, or forward rate.
Process also involves evaluating the corresponding canonical measure cross-Jacobian.