Calculation of Curve Self-Jacobian
Registered by
Lakshmi Krishnamurthy
■Calculate the curve Jacobian of the characterizing curve variate to itself.
■This curve variate could be discount factor, zero rate, or forward rate.
■Process also involves evaluating the corresponding canonical measure cross-Jacobian.
Blueprint information
- Status:
- Complete
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Approved
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for 2.1
- Implementation:
-
Implemented
- Milestone target:
-
2.1
- Started by
- Lakshmi Krishnamurthy
- Completed by
- Lakshmi Krishnamurthy
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