Package 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 Description
    DiscountCurveJacobianRegressorSet()  

  • Method Summary

    Modifier and Type Method 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 Details

    • DiscountCurveJacobianRegressorSet

      public DiscountCurveJacobianRegressorSet()

  • Method Details

    • 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