Package org.drip.regression.curvejacobian

Curve Jacobian Reconciliation Regression Engine
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CashJacobianRegressorSet
    CashJacobianRegressorSet implements the regression analysis set for the Cash product related Sensitivity Jacobians.
    CurveJacobianRegressionEngine
    CurveJacobianRegressionEngine implements the RegressionEngine for the curve Jacobian regression.
    DiscountCurveJacobianRegressorSet
    DiscountCurveJacobianRegressorSet implements the regression analysis for the full discount curve (built from cash/future/swap) Sensitivity Jacobians.
    EDFJacobianRegressorSet
    EDFJacobianRegressorSet implements the regression analysis set for the EDF product related Sensitivity Jacobians.
    IRSJacobianRegressorSet
    IRSJacobianRegressorSet implements the regression analysis set for the IRS product related Sensitivity Jacobians.