Regression Suite 2.3 Release

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Downloads: 92
Released: Jan 23, 2014
Updated: Jan 23, 2014 by Lakshmik
Dev status: Stable Help Icon

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Application DRIP 2.3 jar (same as Regression Suite 2.3 jar)
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Application Regression Suite 2.3 jar
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Documentation Why Regression Suite
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Documentation User Developer Guide
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Release Notes

· Basis Spline Library Extensions:
o Segment/Stretch/Span Partitioned Formulation (along with Latent State Quantification Metric extraction form the observed Manifest Measure)
o Segment Local Curvature + Length Penalty Setup (aka pseudo splines)
o Best-Fit Penalizing Splines with Custom Penalty Order and arbitrary (but “well-behaved”) basis spline set
o Penalty evaluated Regression Splines
o Local Hermite Smoothing Schemes – Akima, Bessel, Hagan-West, Harmonic, Huynh-Le Floch, Hyman, Kruger, and Preuss schemes.
· B Spline Functionality:
o Raw/Processed Basis Hat Functions Implementation
o Synthetic Monic Basis B Spline generation with shape control
o B Spline Sequence build-out using multic segment basis function aggregation
o Custom closed form cubic KLK Hyperbolic Tension
o Incorporation of the B Spline basis onto the segment/stretch/span schematic setup and usage
· Spline Based Discount Curve Build-Out:
o Shape Preserving Discount Curve Build with and without turn list adjustment
o Smoothing Discount Curve Build Pass with and without turn list adjustment
o Transition Spline Based Discount Curve Construction
o Estimation of the in-situ discount curve input quote Jacobian
o Implementation of the discount curve build-out using standard schemes such as DENSE, DUALDENSE, and CUSTOMDENSE
· Spline Based Forward Curve Build-Out:
o Shape Preserving Forward Curve Build
o Smoothing Forward Curve Build Pass
o Linearized Forward Basis Calibrator Constraint setup for fix-float and float-float
o Labeled correlated discount factor/forward rate merge sub-stretch setup
o Manifest Measure/Quantification metric tweaked latent state construction and the corresponding Jacobian
· Canned Product Metric Calculation:
o Day-over-day discount curve build-out for 20 years for EM/G10
o 1D/1M/3M/6M Carry PnL
o 1D/1M/3M/6M Curve Roll Down PnL
o 1D Curve Shift PnL
o Daily Forward Rate Matrix

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