regressionsuite Releases Rss Feedhttps://regressionsuite.codeplex.com/releasesregressionsuite Releases Rss DescriptionCreated Release: Regression Suite 2.3 Release (Jan 23, 2014)https://regressionsuite.codeplex.com/releases?ReleaseId=117660<div class="wikidoc">· Basis Spline Library Extensions:<br />o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)<br />o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)<br />o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set<br />o Penalty evaluated Regression Splines<br />o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.<br />· B Spline Functionality:<br />o Raw/Processed Basis Hat Functions Implementation <br />o Synthetic Monic Basis B Spline generation with shape control<br />o B Spline Sequence build-out using multic segment basis function aggregation<br />o Custom closed form cubic KLK Hyperbolic Tension<br />o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage<br />· Spline Based Discount Curve Build-Out:<br />o Shape Preserving Discount Curve Build with and without turn list adjustment<br />o Smoothing Discount Curve Build Pass with and without turn list adjustment<br />o Transition Spline Based Discount Curve Construction<br />o Estimation of the in-situ discount curve input quote Jacobian<br />o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE<br />· Spline Based Forward Curve Build-Out:<br />o Shape Preserving Forward Curve Build<br />o Smoothing Forward Curve Build Pass<br />o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float<br />o Labeled correlated discount factor/forward rate merge sub-stretch setup<br />o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian<br />· Canned Product Metric Calculation:<br />o Day-over-day discount curve build-out for 20 years for EM/G10<br />o 1D/1M/3M/6M Carry PnL<br />o 1D/1M/3M/6M Curve Roll Down PnL<br />o 1D Curve Shift PnL<br />o Daily Forward Rate Matrix</div><div class="ClearBoth"></div>LakshmikThu, 23 Jan 2014 20:29:11 GMTCreated Release: Regression Suite 2.3 Release (Jan 23, 2014) 20140123082911PReleased: Regression Suite 2.3 Release (Jan 23, 2014)http://regressionsuite.codeplex.com/releases/view/117660
<div class="wikidoc">· Basis Spline Library Extensions:<br>
o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)<br>
o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)<br>
o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set<br>
o Penalty evaluated Regression Splines<br>
o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.<br>
· B Spline Functionality:<br>
o Raw/Processed Basis Hat Functions Implementation <br>
o Synthetic Monic Basis B Spline generation with shape control<br>
o B Spline Sequence build-out using multic segment basis function aggregation<br>
o Custom closed form cubic KLK Hyperbolic Tension<br>
o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage<br>
· Spline Based Discount Curve Build-Out:<br>
o Shape Preserving Discount Curve Build with and without turn list adjustment<br>
o Smoothing Discount Curve Build Pass with and without turn list adjustment<br>
o Transition Spline Based Discount Curve Construction<br>
o Estimation of the in-situ discount curve input quote Jacobian<br>
o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE<br>
· Spline Based Forward Curve Build-Out:<br>
o Shape Preserving Forward Curve Build<br>
o Smoothing Forward Curve Build Pass<br>
o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float<br>
o Labeled correlated discount factor/forward rate merge sub-stretch setup<br>
o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian<br>
· Canned Product Metric Calculation:<br>
o Day-over-day discount curve build-out for 20 years for EM/G10<br>
o 1D/1M/3M/6M Carry PnL<br>
o 1D/1M/3M/6M Curve Roll Down PnL<br>
o 1D Curve Shift PnL<br>
o Daily Forward Rate Matrix</div>
<div></div>
Thu, 23 Jan 2014 20:29:11 GMTReleased: Regression Suite 2.3 Release (Jan 23, 2014) 20140123082911PUpdated Release: Regression Suite 2.2 Release (Aug 17, 2013)https://regressionsuite.codeplex.com/releases/view/110928<div class="wikidoc"><ul><li>11 August 2013 (v2.2)*</li></ul>
<br />This release adds samples and tests for for the regression runs in Credit Analytics:<br /> * Curve Regressions<br /> * Curve Jacobian Regressions<br /> * Spline Regressions<br /> * Fixed Point Finder Regressions</div><div class="ClearBoth"></div>LakshmikSat, 17 Aug 2013 23:52:32 GMTUpdated Release: Regression Suite 2.2 Release (Aug 17, 2013) 20130817115232PReleased: Regression Suite 2.2 Release (Aug 17, 2013)https://regressionsuite.codeplex.com/releases/view/110928
<div class="wikidoc">
<ul>
<li>11 August 2013 (v2.2)*</li></ul>
<br>
This release adds samples and tests for for the regression runs in Credit Analytics:<br>
* Curve Regressions<br>
* Curve Jacobian Regressions<br>
* Spline Regressions<br>
* Fixed Point Finder Regressions</div>
<div></div>
Sat, 17 Aug 2013 23:52:32 GMTReleased: Regression Suite 2.2 Release (Aug 17, 2013) 20130817115232PCreated Release: Regression Suite 2.2 Release (Aug 17, 2013)https://regressionsuite.codeplex.com/releases?ReleaseId=110928<div class="wikidoc"><ul><li>11 August 2013 (v2.2)*</li></ul>
<br /> <i>CreditAnalytics Integration with Non-linear fixed-point searcher</i>: Integration of the curve builder functionality with non-linear fixed-point searcher – with multiple search algorithms. Incorporation of linear searches as well.<br />· <i>Rich Set of Bloomberg Samples</i>: Full replication of the standard BBG screens – YAS, SWPM, and CDSW – along with the measure details and cash flows. Also added targeted RV measures and multi-leg swap samples.<br />· <i>Product/Curve Jacobian Generation</i>: Curve/Product Jacobian generation, both independent, and as part of the calibration, using adjoint algorithmic differentiation. Jacobians are available across the full set of curve construction/splining techniques.<br />· <i>Serverization of CreditAnalytics</i>: Build-out of CreditAnalytics Stub and CreditAnalytics Proxy to act as the distributor of the CreditAnalytics functionality. Incorporation of bit-wise serialization and de-serialization across all product, computed output, curves, quotes, and parameters.<br />· <i>CreditAnalytics Integration with the Basis Spline Library</i>: Integration of the design components, calibration formulation, implementation framework, and sufficiency evaluation/Jacobian generation in conjunction with the Basis Spline Library. Also exposing the full variety of discount curve construction techniques available using the basis spline library.</div><div class="ClearBoth"></div>LakshmikSat, 17 Aug 2013 23:33:32 GMTCreated Release: Regression Suite 2.2 Release (Aug 17, 2013) 20130817113332PCreated Release: Regression Suite 1.6 Release (Aug 19, 2012)http://regressionsuite.codeplex.com/releases?ReleaseId=93027<div class="wikidoc">19 July 2012 (v1.6)<br /> <br /><br />· Separation between CreditProduct and CreditAnalytics: Separation of the functional and behavioral interface provided by CreditProduct, and the actual implementation provided by CreditAnalytics – currently merged onto a single jar.<br /><br />· Curve Re-factoring: Re-factoring and re-creation of the rates curve, the credit curve, the zero curve, and the FX basis/forward curves, along with their serialization, interface stub exposure, the creation factories, and the regression suite.<br /><br />· Parameter Re-factoring: Re-factoring and re-creation of the component and the multi-sided quotes, the component and the basket market parameters, the credit/rates/FX scenario curve containers, and the environmental market parameters container, along with their serialization, interface stub exposure, the creation factories, and the regression suite.<br /><br />· Product re-factoring: Re-factoring and re-creation of the bond, CDS, basket CDS, basket bond, Cash/EDF/IRS products, and the FX Spot/forward contracts, along with their serialization, interface stub exposure, the creation factories, and the regression suite.<br /><br />· BBG CDS Samples: Replication of the Bloomberg CDSW sample pricing in a specimen – incorporation of the credit/rates curve, as well the CDS product contract details, and emitting of the calculation results.</div><div class="ClearBoth"></div>lakshmikSun, 19 Aug 2012 15:54:54 GMTCreated Release: Regression Suite 1.6 Release (Aug 19, 2012) 20120819035454PReleased: Regression Suite 1.6 Release (Aug 19, 2012)https://regressionsuite.codeplex.com/releases/view/93027
<div class="wikidoc">19 July 2012 (v1.6)<br>
<br>
<br>
· Separation between CreditProduct and CreditAnalytics: Separation of the functional and behavioral interface provided by CreditProduct, and the actual implementation provided by CreditAnalytics – currently merged onto a single jar.<br>
<br>
· Curve Re-factoring: Re-factoring and re-creation of the rates curve, the credit curve, the zero curve, and the FX basis/forward curves, along with their serialization, interface stub exposure, the creation factories, and the regression suite.<br>
<br>
· Parameter Re-factoring: Re-factoring and re-creation of the component and the multi-sided quotes, the component and the basket market parameters, the credit/rates/FX scenario curve containers, and the environmental market parameters container, along
with their serialization, interface stub exposure, the creation factories, and the regression suite.<br>
<br>
· Product re-factoring: Re-factoring and re-creation of the bond, CDS, basket CDS, basket bond, Cash/EDF/IRS products, and the FX Spot/forward contracts, along with their serialization, interface stub exposure, the creation factories, and the regression
suite.<br>
<br>
· BBG CDS Samples: Replication of the Bloomberg CDSW sample pricing in a specimen – incorporation of the credit/rates curve, as well the CDS product contract details, and emitting of the calculation results.</div>
<div></div>
Sun, 19 Aug 2012 15:54:54 GMTReleased: Regression Suite 1.6 Release (Aug 19, 2012) 20120819035454PCreated Release: Regression Suite 1.0 Release (Jun 10, 2012)http://regressionsuite.codeplex.com/releases?ReleaseId=89305<div class="wikidoc"><h1><b>9 June 2012 (v1.0)</b></h1>
<ul><li><u><i>Execution Time Distribution</i></u>: Implementation of the clock time distribution with central measures (mean/variance) and extreme measures (minimum/maximum). Precise measurement of the isolated execution time, factoring in the initialization and other event-related delays.</li>
<li><u><i>Enhanced Unit Testing</u></i>: Correlated input parameter range generation, success/failure seperation and execution time distribution for input ranges, separation of a) regression success vs unit test success, and b) test execution vs test preparation/post processing.</li>
<li><u><i>Pluggable automated framework</u></i>: Built around framework for process control, invocation freedom, execution control, regression statistics and regression details generation, and around interfaces for unit regressors and regressor sets.</li>
<li><u><i>Regression Details</u></i>: Compact/efficient, parseable, and processeable regression details; arbitrary unit regressor specified named regression fields; distributions generated on any of the named numeric regression fields; customized details controllable at the unit regressor level, the regressor module level, and the engine level.</li></ul></div><div class="ClearBoth"></div>lakshmikSun, 10 Jun 2012 22:19:31 GMTCreated Release: Regression Suite 1.0 Release (Jun 10, 2012) 20120610101931PReleased: Regression Suite 1.0 Release (Jun 10, 2012)http://regressionsuite.codeplex.com/releases/view/89305
<div class="wikidoc">
<h1><b>9 June 2012 (v1.0)</b></h1>
<ul>
<li><u><i>Execution Time Distribution</i></u>: Implementation of the clock time distribution with central measures (mean/variance) and extreme measures (minimum/maximum). Precise measurement of the isolated execution time, factoring in the initialization and
other event-related delays. </li><li><u><i>Enhanced Unit Testing</u></i>: Correlated input parameter range generation, success/failure seperation and execution time distribution for input ranges, separation of a) regression success vs unit test success, and b) test execution vs test preparation/post
processing. </li><li><u><i>Pluggable automated framework</u></i>: Built around framework for process control, invocation freedom, execution control, regression statistics and regression details generation, and around interfaces for unit regressors and regressor sets.
</li><li><u><i>Regression Details</u></i>: Compact/efficient, parseable, and processeable regression details; arbitrary unit regressor specified named regression fields; distributions generated on any of the named numeric regression fields; customized details controllable
at the unit regressor level, the regressor module level, and the engine level.</li></ul>
</div>
<div></div>
Sun, 10 Jun 2012 22:19:31 GMTReleased: Regression Suite 1.0 Release (Jun 10, 2012) 20120610101931P