Regression Suite 2.3
Milestone information
- Project:
- Regression Suite
- Series:
- 2.3
- Version:
- 2.3
- Released:
- Registrant:
- Lakshmi Krishnamurthy
- Release registered:
- Active:
- No. Drivers cannot target bugs and blueprints to this milestone.
Activities
- Assigned to you:
- No blueprints or bugs assigned to you.
- Assignees:
- No users assigned to blueprints and bugs.
- Blueprints:
- No blueprints are targeted to this milestone.
- Bugs:
- No bugs are targeted to this milestone.
Download files for this release
Release notes
· Basis Spline Library Extensions:
o Segment/
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/
· 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/
· 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
Changelog
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0 blueprints and 0 bugs targeted
There are no feature specifications or bug tasks targeted to this milestone. The project's maintainer, driver, or bug supervisor can target specifications and bug tasks to this milestone to track the things that are expected to be completed for the release.