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Discount Curve Regression

description

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

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