Calculation of product measure Jacobian
Registered by
Lakshmi Krishnamurthy
■Fast computation of the rates/credit product measure Jacobian to the curve variate factors.
■In particular, compute the a) product quoted measure Jacobian, and the b) product PV Jacobian.
■Products considered all the standard rates and credit products (cash/EDF/
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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