org.drip.regression.curvejacobian

Class DiscountCurveJacobianRegressorSet

java.lang.Object

org.drip.regression.curvejacobian.DiscountCurveJacobianRegressorSet

All Implemented Interfaces:

RegressorSet

public class DiscountCurveJacobianRegressorSet
extends java.lang.Object
implements RegressorSet

DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built from cash/future/swap) Sensitivity Jacobians. Specifically, it computes the PVDF micro-Jack.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
DiscountCurveJacobianRegressorSet()

Method Summary

Modifier and Type	Method and Description
java.util.List<UnitRegressor>	getRegressorSet() Retrieve the list of regressors
java.lang.String	getSetName() Retrieve the Regression Set Name
boolean	setupRegressors() Set up the list of Regressors in the set

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DiscountCurveJacobianRegressorSet

public DiscountCurveJacobianRegressorSet()

Method Detail

getRegressorSet

public java.util.List<UnitRegressor> getRegressorSet()

Description copied from interface: RegressorSet

Retrieve the list of regressors

Specified by:

getRegressorSet in interface RegressorSet

Returns:

List of regressors

setupRegressors

public boolean setupRegressors()

Description copied from interface: RegressorSet

Set up the list of Regressors in the set

Specified by:

setupRegressors in interface RegressorSet

Returns:

TRUE if set up is successful

getSetName

public java.lang.String getSetName()

Description copied from interface: RegressorSet

Retrieve the Regression Set Name

Specified by:

getSetName in interface RegressorSet

Returns:

Regression Set Name