Calculation of product measure Jacobian

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

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Milestone: 2.1

Status: accepted

Owner: nobody

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Updated: 2014-08-10

Created: 2013-03-12

Private: No

Fast computation of the rates/credit product measure Jacobian to the curve variate factors.
In particular, compute the a) product quoted measure Jacobian, and the b) product PV Jacobian.
Products considered all the standard rates and credit products (cash/EDF/IRS/CDS/bonds and their variants).