Package | Description |
---|---|
org.drip.regression.curve | |
org.drip.regression.curvejacobian | |
org.drip.regression.fixedpointfinder | |
org.drip.regression.spline |
Modifier and Type | Class and Description |
---|---|
class |
CreditCurveRegressor
CreditCurveRegressor implements the regression set analysis for the Credit Curve.
|
class |
DiscountCurveRegressor
DiscountCurveRegressor implements the regression set analysis for the Discount Curve.
|
class |
ZeroCurveRegressor
ZeroCurveRegressor implements the regression analysis set for the Zero Curve.
|
Modifier and Type | Class and Description |
---|---|
class |
CashJacobianRegressorSet
CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity
Jacobians.
|
class |
DiscountCurveJacobianRegressorSet
DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built
from cash/future/swap) Sensitivity Jacobians.
|
class |
EDFJacobianRegressorSet
EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity
Jacobians.
|
class |
IRSJacobianRegressorSet
IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity
Jacobians.
|
Modifier and Type | Class and Description |
---|---|
class |
BracketingRegressorSet
BracketingRegressorSet implements regression run for the Primitive Bracketing Fixed Point Search Method.
|
class |
CompoundBracketingRegressorSet
CompoundBracketingRegressorSet implements regression run for the Compound Bracketing Fixed Point Search
Method.
|
class |
OpenRegressorSet
OpenRegressorSet implements the regression run for the Open (i.e., Newton) Fixed Point Search Method.
|
Modifier and Type | Class and Description |
---|---|
class |
BasisSplineRegressorSet
BasisSplineRegressorSet carries out regression testing for the following series of basis splines:
- #1: Polynomial Basis Spline, n = 2 basis functions, and Ck = 0.
|