Package org.drip.regression.curvejacobian

Class CurveJacobianRegressionEngine

java.lang.Object

org.drip.regression.core.RegressionEngine

org.drip.regression.curvejacobian.CurveJacobianRegressionEngine

public class CurveJacobianRegressionEngine
extends RegressionEngine

CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression. It adds the CashJacobianRegressorSet, the EDFJacobianRegressorSet, the IRSJacobianRegressorSet, and the DiscountCurveJacobianRegressorSet, and launches the regression engine.

• Module = Computational Core Module
• Library = Computation Support
• Project = Regression Engine Core and the Unit Regressors
• Package = Curve Jacobian Reconciliation Regression Engine

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.regression.core.RegressionEngine

REGRESSION_DETAIL_MODULE_AGGREGATED, REGRESSION_DETAIL_MODULE_UNIT_AGGREGATED, REGRESSION_DETAIL_MODULE_UNIT_DECOMPOSED, REGRESSION_DETAIL_STATS

Constructor Summary

Constructors

Constructor	Description
CurveJacobianRegressionEngine(int iNumRuns, int iRegressionDetail)	CurveJacobianRegressionEngine constructor

Method Summary

Modifier and Type	Method	Description
boolean	initRegressionEnv()	One-time initialization of the regression engine environment

Methods inherited from class java.lang.Object

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

Constructor Details

CurveJacobianRegressionEngine

public CurveJacobianRegressionEngine(int iNumRuns,
int iRegressionDetail)
                              throws java.lang.Exception

CurveJacobianRegressionEngine constructor

Parameters:

iNumRuns - Number of regression runs

iRegressionDetail - Detailed desired of the regression run

Throws:

java.lang.Exception - Thrown if the inputs are invalid

Method Details

initRegressionEnv

public boolean initRegressionEnv()

Description copied from class: RegressionEngine

One-time initialization of the regression engine environment

Overrides:

initRegressionEnv in class RegressionEngine

Returns:

TRUE - Regression Environment initialized successfully