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Credit Curve Regression

description

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

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