Discount Curve Regression

Registered by Lakshmi Krishnamurthy

Implementation of functional regression for the following features of discount curve analytics:
 - Discount curve creation from a composite mix of rates instruments - CDs, Futures, and swaps
 - Discount curve creation from nodes of rates and/or discount factors
 - Parallel shifted, node-shifted, and basis shifted discount curve creation from the base discount curve
 - Scenario tweak adjusted discount curve creation from the base discount curve
 - Spot and Effective implied rates and discount 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:
milestone icon creditanalytics1.5
Started by
Lakshmi Krishnamurthy

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