Credit Curve Regression
Registered by
Lakshmi Krishnamurthy
Implementation of functional regression for the following features of credit curve analytics:
- Credit curve creation from a composite mix of credit instruments - CDS and bonds
- Credit curve creation from nodes of hazard rates and/or survival factors
- Parallel shifted, node-shifted, and recovery shifted credit curve creation from the base credit curve
- Scenario tweak adjusted credit curve creation from the base credit curve
- Spot and Effective implied hazard rates and survival factors (period spanners)
- Quote retrieval latency
Blueprint information
- Status:
- Started
- Approver:
- None
- Priority:
- High
- Drafter:
- None
- Direction:
- Approved
- Assignee:
- None
- Definition:
- Approved
- Series goal:
- Accepted for 1.5
- Implementation:
- Deployment
- Milestone target:
- creditanalytics1.5
- Started by
- Lakshmi Krishnamurthy
- Completed by
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