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XVA PDE Burgard Kjaer Edge #16
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lakshmiDRIP
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Feb 10, 2018
- Composite Floating Unit Period #1 (2, 3) - Composite Floating Unit Period #2 (4, 5) - Discrete Period Discount Factor #1 (12, 13) - Discrete Period Discount Factor #2 (14, 15) - Native Flat Forward Discount #1 (20, 21) - Native Flat Forward Discount #2 (22, 23) - Native Flat Forward Discount #3 (24, 25) - Native Flat Forward Discount #4 (26, 27) Bug Fixes/Clean-up: - Latent Market State Builder #1 (28, 29) - Latent Market State Builder #2 (30, 31) - Latent Market State Builder #3 (32, 33) - Latent Market State Builder #4 (34, 35) - Latent Market State Builder #5 (36, 37) - Latent Market State Builder #6 (38) Samples: - Kakinada Bond Metrics Curve Up (1) - Kakinada Bond Metrics #1 (6, 7) - Kakinada Bond Metrics #2 (8, 9) - Kakinada Bond Metrics #3 (10, 11) - Kakinada Bond Metrics #4 (16, 17) - Kakinada Bond Metrics #5 (18, 19) - Kakinada Bond Metrics #6 (39, 40) - Kakinada Bond Metrics #7 (41, 42) - Kakinada Bond Metrics #8 (43, 44) - Kakinada Bond Metrics #9 (45, 46) - Kakinada Bond Metrics #10 (47, 48) - Kakinada Bond Metrics #11 (51, 52) - Kakinada Bond Metrics #12 (53, 54) - Kakinada Bond Metrics #13 (55, 56) - Kakinada Bond Metrics #14 (57, 58) - Kakinada Bond Metrics #15 (59, 60) - Kakinada Bond Metrics #16 (61, 62) - Kakinada Bond Metrics #17 (63, 64) - Kakinada Bond Metrics #18 (65, 66) - Kakinada Bond Metrics #19 (67, 68) - Kakinada Bond Metrics #20 (69, 70) - Kakinada Bond Metrics #21 (71, 72) - Kakinada Bond Metrics #22 (73, 74) - Kakinada Bond Metrics #23 (75, 76) - Kakinada Bond Metrics #24 (77, 78) - Kakinada Bond Metrics #25 (79, 80)
lakshmiDRIP
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Mar 1, 2018
- CDGS Bank Hazard Rate Label (7) - CDGS Bank Recovery Rate Label (8, 9) - CDGS Counter Party Hazard Label (10) - CDGS Counter Party Recovery Label (11) - Credit Debt Group Specification Constructor (12, 13, 14) - Credit Debt Group Specification Static (17) Bug Fixes/Clean-up: - Eliminate Position Group Specification Container (1) - Eliminate XVA Group Specification Container (2, 3) - Set Into Proto Package Transform (4) - Credit Debt Netting Group Sepcification (5) - Market Entity Evolver Dynamics Container (6) Samples: - Albanese Andersen Basel Proxy (15, 16) - Set Off Basel Proxy (18) - Semi Replication Basel Proxy (19) - One Way Basel Proxy (20) - Hedge Error Basel Proxy (21) - Gold Plated Basel Proxy (22) - USD Broken Date LIBOR Forward (23) - EUR Broken Date LIBOR #1 (24, 25) - EUR Broken Date LIBOR #2 (26, 27) - EUR Broken Date LIBOR #3 (28, 29) - Bond Sink Metrics IchalKaranji #1 (30, 31) - Bond Sink Metrics IchalKaranji #2 (32, 33) - Bond Sink Metrics IchalKaranji #3 (34, 35) - Bond Sink Metrics IchalKaranji #4 (36, 37) - Bond Sink Metrics IchalKaranji #5 (38, 39) - Bond Sink Metrics IchalKaranji #6 (40, 41) - Bond Sink Metrics IchalKaranji #7 (42, 43) - Bond Sink Metrics IchalKaranji #8 (44, 45) - Bond Sink Metrics IchalKaranji #9 (46, 47) - Bond Sink Metrics IchalKaranji #10 (48, 49) - Bond Sink Metrics IchalKaranji #11 (50, 51) - Bond Sink Metrics IchalKaranji #12 (52, 53) - Bond Sink Metrics IchalKaranji #13 (54, 55) - Bond Sink Metrics IchalKaranji #14 (56, 57) - Bond Sink Metrics IchalKaranji #15 (58, 59) - Bond Sink Metrics IchalKaranji #16 (60, 61) - Bond Sink Metrics IchalKaranji #17 (62, 63) - Bond Sink Metrics IchalKaranji #18 (64, 65) - Bond Sink Metrics Aligarh #1 (66, 67) - Bond Sink Metrics Aligarh #2 (68, 69) - Bond Sink Metrics Amaravati #1 (70, 71) - Bond Sink Metrics Amaravati #2 (72, 73) - Bond Sink Metrics Amaravati #3 (74, 75) - Bond Sink Metrics Amaravati #4 (76, 77) - Bond Sink Metrics Amaravati #5 (78, 79) - Bond Sink Metrics Bhavnagar #1 (80, 81) - Bond Sink Metrics Bhavnagar #2 (82, 83) - Bond Sink Metrics Bhiwandi #1 (84, 85) - Bond Sink Metrics Bhiwandi #2 (86, 87) - Bond Sink Metrics Bhubaneshwar #1 (88, 89) - Bond Sink Metrics Bhubaneshwar #2 (90, 91) - Bond Sink Metrics Bikaner #1 (92, 93) - Bond Sink Metrics Bikaner #2 (94, 95) - Bond Sink Metrics Cuttack #1 (96, 97) - Bond Sink Metrics Cuttack #2 (98, 99) - Bond Sink Metrics Dehradun #1 (100, 101) - Bond Sink Metrics Dehradun #2 (102, 103) - Bond Sink Metrics Firozabad #1 (104, 105) - Bond Sink Metrics Firozabad #2 (106, 107) - Bond Sink Metrics Gorakhpur #1 (108, 109) - Bond Sink Metrics Gorakhpur #2 (110, 111) - Bond Sink Metrics Guntur #1 (112, 113) - Bond Sink Metrics Guntur #2 (114, 115) - Bond Sink Metrics Mira Bhayandar #1 (116, 117) - Bond Sink Metrics Mira Bhayandar #2 (118, 119) - Bond Sink Metrics Nellore #1 (120, 121) - Bond Sink Metrics Nellore #2 (122, 123) - Bond Sink Metrics Saharanpur #1 (124, 125) - Bond Sink Metrics Saharanpur #2 (126, 127) - Bond Sink Metrics Salem #1 (128, 129) - Bond Sink Metrics Salem #2 (130, 131) - Bond Sink Metrics Warangal #1 (132, 133) - Bond Sink Metrics Warangal #2 (134, 135)
lakshmiDRIP
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May 14, 2018
- Market Vertex Generator - Wanderer Index (1) - Latent State Market Vertex Container (3) - Latent State Vertex Value #1 (4, 5) - Latent State Vertex Value #2 (6, 7) - Latent State Vertex Value #3 (8, 9, 10) - Latent State CSA Vertex Container (11, 12) - Market Vertex Latent State Value (13, 14) - Latent State Vertex Container #1 (15, 16) - Latent State Vertex Container #2 (17, 18) - Latent State Vertex Container #3 (19, 20) - Latent State Vertex Container #4 (21, 22) - Latent State Vertex Container #5 (23, 24) - Latent State Vertex Container #6 (25, 26) - Latent State Vertex Container #7 (27, 28) - Latent State Vertex Container #8 (29, 30) - Latent State Vertex Container #9 (31, 32) - Latent State Vertex Container #10 (33, 34) - Latent State Nodal Market Vertex (79) - Market Vertex Generator - Latent State (192) - Trim Position Manifest Measure #1 (193, 194) - Trim Position Manifest Measure #2 (195, 196) - Trim Position Manifest Measure #3 (197, 198) - Trim Position Manifest Measure #4 (199, 200) - Trim Position Manifest Measure #5 (201, 202) - Trim Position Manifest Measure #6 (203, 204) - Trim Position Manifest Measure #7 (205, 206) - Trim Position Manifest Measure #8 (207, 208) - Float Stream MPoR Forward Label (209) - Market Vertex Generator - Initial MV (222) - Burgard Kjaer Operator - Portfolio Value (223, 224) - Trajectory Evolution Scheme - Portfolio Value (225, 226) - Position Group Numeraire To Estimator (227, 228, 229) - Fix Float Basel Estimator #1 (230, 231, 232) - Fix Float Basel Estimator #2 (233, 234, 235) - XVA Dynamics Path Simulator Valuation (251) - Primary Security Dynamics Container #1 (252, 253) - Primary Security Dynamics Container #2 (254, 255) - Primary Security Dynamics Container #3 (256, 257) - Primary Security Dynamics Container #4 (258, 259) - Primary Security Dynamics Container #5 (260, 261) - Primary Security Dynamics Container #6 (262, 263) - Primary Security Dynamics Container #7 (264, 265, 266) - Latent State Market Correlation - Shell (267) - Latent State Market Correlation - Labels (268) - Latent State Market Correlation - Covariance (269) - Latent State Market Correlation - Constructor (270, 271) - Latent State Market Correlation - Set (272, 273, 274) - Market Correlation - State Pair Exists (275, 276) - Market Correlation - State Pair Entry (277, 278) - Cross Latent State Correlation Matrix (279) - Latent Market State Label List (280) - Market Correlation Constructor and Annotation (281, 282, 283) - Latent State Index Hash Map (284, 285) - Latent State Label Duplicate Detection (286) - Correlation Matrix Element Validation Check (287, 288, 289) - Market Correlation Latent State Exists (290, 291) - Cross Latent State Correlation Entry (292, 293) - Custom Market Correlation Synthesizer #1 (294, 295) - Custom Market Correlation Synthesizer #2 (296, 297) - Market Vertex Generator Deprecatione Sweep (298) - Market Universe Vertex Generator Shell (299) - Market Vertex Generator Spot Date (300) - Market Vertex Generator YCF Width (301) - Market Vertex Generator Event Dates (302) - Market Vertex Generator Entity Dynamics (303) - Market Vertex Generator Security Dynamics (304) - Market Vertex Generator State Dynamics (305) - Market Vertex Generator Constructor/Annotation (306, 307, 308) - Market Vertex Generator Creation #1 (309) - Latent State Weiner Random - Shell (310) - Latent State Weiner Increment Map (311) - Latent State Weiner Availability Check (312, 313) - Latent State Weiner Increment Array (314) - Latent State Weiner Increment Addition (315, 316) - Latent State Weiner Constructor Annotation (317, 318) - Market Vertex Latent State Count (319, 320) - Overnight Replicator Vertex Array #1 (321, 322) - Overnight Replicator Vertex Array #2 (323, 324) - CSA Replicator Path Vertex Array (325, 326) - Entity Dynamics Client Hazard Label (327) - Entity Dynamics Dealer Hazard Label (328) - Market Vertex Generator Dealer Hazard (329, 330) - Entity Dynamics Client Recovery Label (331) - Dealer Entity Senior Recovery Label (332) - Dealer Entity Subordinate Recovery Label (333) - Overnight Replicator Vertex Array Separation (334, 335, 336) - CSA Replicator Vertex Array Separation (337, 338) - Dealer Hazard Vertex Array Separation (339, 340) - Dealer Senior Funding Vertex Array (341, 342) - Dealer Subordinate Funding Vertex Array (343, 344) - Client Senior Funding Vertex Array (345, 346) - Client Hazard Vertex Array Separation (349, 350) - Dealer Senior Recovery Vertex Array (351, 352) - Dealer Subordinate Recovery Vertex Array (353, 354) - Client Recovery Rate Vertex Array (355, 356) - Asset Diffusion Vertex Array #1 (357, 358) - Asset Diffusion Vertex Array #2 (359, 360) - Asset Diffusion Vertex Array #3 (361, 362) - Asset Diffusion Vertex Array #4 (363, 364) - Asset Diffusion Vertex Array #5 (365, 366) - Latent State Dynamics Container #1 (367, 368) - Latent State Dynamics Container #2 (369, 370) - Latent State Dynamics Container #3 (371, 372) - Latent State Dynamics Container #4 (373, 374, 375) - Market Vetex Generator Evolver #1 (376, 377, 378) - Latent State Vertex Container #1 (379, 380) - Latent State Vertex Container #2 (381, 382) - Latent State Vertex Container #3 (383, 384) - Set of all Used Labels (385, 386) - Latent State Vertex Container #11 (387, 388) - Latent State Vertex Container #12 (389, 390) - Latent State Vertex Container #13 (391, 392) - Latent State Vertex Container #14 (393, 394) - Latent State Vertex Container #15 (395, 396) - Latent State Vertex Container #16 (397, 398) - Latent State Vertex Container #17 (399, 400) - Latent State Vertex Container #18 (401, 402) - Latent State Vertex Container #19 (403, 404) - Latent State Vertex Container #20 (405, 406) - Latent State Vertex Container #21 (407, 408) - Latent State Vertex Container #22 (409, 410) - Latent State Vertex Container #23 (411, 412) - Latent State Vertex Container #24 (413, 414) - Market Vetex Generator Evolver #2 (415, 416) - Market Vetex Generator Evolver #3 (417, 418) - Market Vetex Generator Evolver #4 (419, 420) - Market Vetex Generator Evolver #5 (421, 422) - Market Vetex Generator Evolver #6 (423, 424) - Market Vetex Generator Evolver #7 (425, 426) - Market Vetex Generator Evolver #8 (427, 428) - Market Vetex Generator Evolver #9 (429, 430) - Market Vetex Generator Evolver #10 (431, 432) - Latent State Vertex Container #25 (433, 434) - Latent State Vertex Container #26 (435, 436) - Market Vetex Generator Evolver #11 (437, 438) - Exposure Evolver Scaling Numeraire Revamp (439) - Exposure Evolver Terminal Latent State (440) - Exposure Evolver Primary Security Revamp (441) - Exposure Evolver Primary Security Equity (442) - Latent State Dynamics Container Revamp (443) - Exposure Evolver Dynamics Container Revamp (444) - Exposure Evolver Primary Security Container (445) - Exposure Evolver Entity Dynamics Container (446) - Latent State Vertex Container Revamp (447) - CSA Dynamics Funding Basis Evolver (448) - Numeraire Induced Measure Shift Revamp (449) - Andersen Pykhtin Sokol Lag Revamp (450) - CSA Last Flow Event Dates (451) - CSA Timeline Event Date Revamp (452) - CSA Timeline Event Builder Revamp (453) - CSA Timeline Event Sequence Revamp (454) - Exposure Universe Latent State Weiner (455) - Exposure Universe Market Correlation Matrix (456) - Exposure Universe Market Vertex Entity (457) - Exposure Universe Market Vertex Revamp (458) - Exposure Universe Market Edge Revamp (459) - Exposure Universe Market Path Revamp (460) - Exposure Universe Market Vertex Generator (461) - MPoR Collateral Amount Estimator Output (462) - Exposure Margin Period Of Risk (463) - Exposure MPoR Collateral Amount Estimator (464) - Variation Margin Trade Vertex Exposure (465) - Exposure MPoR Trade Payment Revamp (466) - Variation Margin Trade Payment Vertex (467) - Exposure Generator Stream MPoR Revamp (468) - Exposure Generator Fix Stream MPoR (469) - Exposure Generator Float Stream MPoR (470) - Exposure Generator Fix Float MPoR (471) - Variation Margin Trade Trajectory Estimator (472) - Exposure Holdings Position Group Estimator (473) - Fix Float Basel Position Estimator (474) - Exposure Holdings Position Group Revamp (475) - Path Simulator Random Weiner #1 (476) - Unit Random State Weiner #1 (477, 478) - Unit Random State Weiner #2 (479, 480) - Path Simulator Random Weiner #2 (481, 482) Bug Fixes/Clean-up: - Latent State Vertex Node Container (2) - Re-org Jump Diffusion Vertex Arrays (347, 348) Samples: - Gold Plated Basel Proxy #1 (35) - Albanese Andersen Basel Proxy #1 (36) - Hedge Error Basel Proxy #1 (37) - One Way Basel Proxy #1 (38) - Semi Replication Basel Proxy #1 (39) - Set Off Basel Proxy #1 (40) - Long Fixed Aggressive Timeline #1 (41) - Long Fixed Classical- Timeline #1 (42) - Long Fixed Classical+ Timeline #1 (43) - Long Fixed Conservative Timeline #1 (44) - Long Float Aggressive Timeline #1 (45) - Long Float Classical- Timeline #1 (46) - Long Float Classical+ Timeline #1 (47) - Long Float Conservative Timeline #1 (48) - Short Fixed Aggressive Timeline #1 (49) - Short Fixed Classical- Timeline #1 (50) - Short Fixed Classical+ Timeline #1 (51) - Short Fixed Conservative Timeline #1 (52) - Short Float Aggressive Timeline #1 (53) - Short Float Classical- Timeline #1 (54) - Short Float Classical+ Timeline #1 (55) - Short Float Conservative Timeline #1 (56) - OTC Receiver CSA Aggressive #1 (57) - OTC Receiver CSA Classical- #1 (58) - OTC Receiver CSA Classical+ #1 (59) - OTC Receiver CSA Conservative #1 (60) - OTC Payer CSA Aggressive #1 (61) - OTC Payer CSA Classical- #1 (62) - OTC Payer CSA Classical+ #1 (63) - OTC Payer CSA Conservative #1 (64) - OTC Receiver Aggressive Timeline #1 (65) - OTC Receiver Classical- Timeline #1 (66) - OTC Receiver Classical+ Timeline #1 (67) - OTC Receiver Conservative Timeline #1 (68) - OTC Payer Aggressive Timeline #1 (69) - OTC Payer Classical- Timeline #1 (70) - OTC Payer Classical+ Timeline #1 (71) - OTC Payer Conservative Timeline #1 (72) - Bilateral CSA Collateralized Funding #1 (73) - Bilateral CSA Collateralized Funding Stochastic #1 (74) - Bilateral CSA Uncollateralized Funding #1 (75) - Bilateral CSA Uncollateralized Funding Stochastic #1 (76) - Bilateral CSA Zero Threshold Funding #1 (77) - Bilateral CSA Zero Threshold Funding Stochastic #1 (78) - Perfect Replication Collateralized Funding #1 (80) - Perfect Replication Collateralized Funding Stochastic #1 (81) - Perfect Replication Uncollateralized Funding #1 (82) - Perfect Replication Uncollateralized Funding Stochastic #1 (83) - Perfect Replication Zero Threshold Funding #1 (84) - Perfect Replication Zero Threshold Funding Stochastic #1 (85) - Semi Replication Collateralized Funding #1 (86) - Semi Replication Collateralized Funding Stochastic #1 (87) - Semi Replication Uncollateralized Funding #1 (88) - Semi Replication Uncollateralized Funding Stochastic #1 (89) - Semi Replication Zero Threshold Funding #1 (90) - Semi Replication Zero Threshold Funding Stochastic #1 (91) - Set Off Collateralized Funding #1 (92) - Set Off Collateralized Funding Stochastic #1 (93) - Set Off Uncollateralized Funding #1 (94) - Set Off Uncollateralized Funding Stochastic #1 (95) - Set Off Zero Threshold Funding #1 (96) - Set Off Zero Threshold Funding Stochastic #1 (97) - Unilateral CSA Collateralized Funding #1 (98) - Unilateral CSA Collateralized Funding Stochastic #1 (99) - Unilateral CSA Uncollateralized Funding #1 (100) - Unilateral CSA Uncollateralized Funding Stochastic #1 (101) - Unilateral CSA Zero Threshold Funding #1 (102) - Unilateral CSA Zero Threshold Funding Stochastic #1 (103) - XVA Digest CPGA Collateralized #1 (104) - XVA Digest CPGA Collateralized Correlated #1 (105) - XVA Digest CPGA Uncollateralized #1 (106) - XVA Digest CPGA Uncollateralized Correlated #1 (107) - XVA Digest CPGA Zero Threshold #1 (108) - XVA Digest CPGA Zero Threshold Correlated #1 (109) - XVA Collateralized Collateral Group #1 (110) - XVA Collateralized Collateral Group Correlated #1 (111) - XVA Uncollateralized Collateral Group #1 (112) - XVA Uncollateralized Collateral Group Correlated #1 (113) - XVA Zero Threshold Collateral Group #1 (114) - XVA Zero Threshold Collateral Group Correlated #1 (115) - Funding Group Bilateral CSA #1 (116) - Funding Group Hedge Error #1 (116) - Funding Group Semi Replication #1 (117) - Funding Group Perfect Replication #1 (119) - Funding Group Set Off #1 (120) - Funding Group Unilateral CSA #1 (121) - Portfolio Netting Group Run #1 (122) - Portfolio Netting Group Simulation #1 (123) - Portfolio Netting Group Aggregation Correlated #1 (124) - Portfolio Netting Group Aggregation Deterministic #1 (125) - Portfolio Netting Group Aggregation Uncorrelated #1 (126) - Correlated Numeraire XVA Attribution #1 (127) - Correlated Numeraire XVA Explain #1 (128) - Correlated Numeraire XVA Greeks #1 (129) - Correlated Numeraire XVA Replication Portfolio #1 (130) - Burgard 2011 XVA Attribution #1 (131) - Burgard 2011 XVA Explain #1 (132) - Burgard 2011 XVA Greeks #1 (133) - Burgard 2011 XVA Replication Portfolio #1 (134) - Euler Evolution Trajectory Scheme #1 (135) - Fix Float VA Bank #1 (136) - Fix Float VA Counter Party #1 (137) - Collateralized Collateral Neutral #1 (138) - Collateralized Collateral Neutral Stochastic #1 (139) - Collateralized Collateral Payable #1 (140) - Collateralized Collateral Payable Stochastic #1 (141) - Collateralized Collateral Receivable #1 (142) - Collateralized Collateral Receivable Stochastic #1 (143) - Collateralized Funding Neutral #1 (144) - Collateralized Funding Neutral Stochastic #1 (145) - Collateralized Funding Payable #1 (146) - Collateralized Funding Payable Stochastic #1 (147) - Collateralized Funding Receivable #1 (148) - Collateralized Funding Receivable Stochastic #1 (149) - Collateralized Netting Neutral #1 (150) - Collateralized Netting Neutral Stochastic #1 (151) - Collateralized Netting Payable #1 (152) - Collateralized Netting Payable Stochastic #1 (153) - Collateralized Netting Receivable #1 (154) - Collateralized Netting Receivable Stochastic #1 (155) - Uncollateralized Collateral Neutral #1 (156) - Uncollateralized Collateral Neutral Stochastic #1 (157) - Uncollateralized Collateral Payable #1 (158) - Uncollateralized Collateral Payable Stochastic #1 (159) - Uncollateralized Collateral Receivable #1 (160) - Uncollateralized Collateral Receivable Stochastic #1 (161) - Uncollateralized Funding Neutral #1 (162) - Uncollateralized Funding Neutral Stochastic #1 (163) - Uncollateralized Funding Payable #1 (164) - Uncollateralized Funding Payable Stochastic #1 (165) - Uncollateralized Funding Receivable #1 (166) - Uncollateralized Funding Receivable Stochastic #1 (167) - Uncollateralized Netting Neutral #1 (168) - Uncollateralized Netting Neutral Stochastic #1 (169) - Uncollateralized Netting Payable #1 (170) - Uncollateralized Netting Payable Stochastic #1 (171) - Uncollateralized Netting Receivable #1 (172) - Uncollateralized Netting Receivable Stochastic #1 (173) - Zero Threshold Collateral Neutral #1 (174) - Zero Threshold Collateral Neutral Stochastic #1 (175) - Zero Threshold Collateral Payable #1 (176) - Zero Threshold Collateral Payable Stochastic #1 (177) - Zero Threshold Collateral Receivable #1 (178) - Zero Threshold Collateral Receivable Stochastic #1 (179) - Zero Threshold Funding Neutral #1 (180) - Zero Threshold Funding Neutral Stochastic #1 (181) - Zero Threshold Funding Payable #1 (182) - Zero Threshold Funding Payable Stochastic #1 (183) - Zero Threshold Funding Receivable #1 (184) - Zero Threshold Funding Receivable Stochastic #1 (185) - Zero Threshold Netting Neutral #1 (186) - Zero Threshold Netting Neutral Stochastic #1 (187) - Zero Threshold Netting Payable #1 (188) - Zero Threshold Netting Payable Stochastic #1 (189) - Zero Threshold Netting Receivable #1 (190) - Zero Threshold Netting Receivable Stochastic #1 (191) - XVA Replication Portfolio #2 (210, 211) - XVA Market Generation #2 (212) - Burgard 2011 XVA Explain #2 (213, 214) - Euler Evolution Trajectory Scheme #2 (215, 216) - Correlated Numeraire XVA Attribution #2 (217, 218) - Correlated Numeraire XVA Replication Portfolio #2 (219, 220) - Correlated Numeraire XVA Explain #2 (221) - Albanese Andersen Basel Proxy #2 (236, 237) - Albanese Andersen Basel Proxy #3 (238, 239) - Gold Plated Basel Proxy #2 (240, 241) - Hedge Error Basel Proxy #2 (242, 243) - One Way Basel Proxy #2 (244) - Semi Replication Basel Proxy #2 (245) - Set Off Basel Proxy #2 (246) - Initial Market Vertex Epochal #1 (247, 248) - Initial Market Vertex Epochal #2 (249, 250) - Albanese Andersen Basel Proxy #4 (483, 484) - Albanese Andersen Basel Proxy #5 (485, 486) - Albanese Andersen Basel Proxy #6 (487, 488) - Albanese Andersen Basel Proxy #7 (489, 490) - Albanese Andersen Basel Proxy #8 (491, 492) - Albanese Andersen Basel Proxy #9 (493, 494) - Albanese Andersen Basel Proxy #10 (495, 496) - Albanese Andersen Basel Proxy #11 (497, 498) - Albanese Andersen Basel Proxy #12 (499, 500) - Albanese Andersen Basel Proxy #13 (501, 502) - Albanese Andersen Basel Proxy #14 (503, 504) - Albanese Andersen Basel Proxy #15 (505, 506) - Albanese Andersen Basel Proxy #16 (507, 508) - Albanese Andersen Basel Proxy #17 (509, 510) - Albanese Andersen Basel Proxy #18 (511, 512) - Albanese Andersen Basel Proxy #19 (513, 514) - Albanese Andersen Basel Proxy #20 (515, 516) - Albanese Andersen Basel Proxy #21 (517, 518) - Albanese Andersen Basel Proxy #22 (519, 520) - Albanese Andersen Basel Proxy #23 (521, 522) - Albanese Andersen Basel Proxy #24 (523, 524) - Albanese Andersen Basel Proxy #25 (525, 526) - Albanese Andersen Basel Proxy #26 (527, 528) - Albanese Andersen Basel Proxy #27 (529, 530) - Albanese Andersen Basel Proxy #28 (531, 532) - Albanese Andersen Basel Proxy #29 (533, 534) - Dealer Hazard Latent State (535) - Dealer Recovery Latent State (536) - Client Hazard Latent State (537) - Client Recovery Latent State (538) - Overnight Replicator Primary Security (539, 540) - CSA Replicator Primary Security (541, 542) - Dealer Senior Funding Replicator (543, 544) - Dealer Subordinate Funding Replicator (545, 546) - Client Funding Primary Security (547, 548) - Albanese Andersen Basel Proxy #30 (549, 550) - Albanese Andersen Basel Proxy #31 (551, 552) - Albanese Andersen Basel Proxy #32 (553, 554, 555) - Albanese Andersen Basel Proxy #33 (556, 557, 558) - Gold Plated Basel Proxy #1 (559, 560, 561) - Gold Plated Basel Proxy #2 (562, 563, 564) - Hedge Error Basel Proxy (565, 566, 567) - One Way Basel Proxy (568, 569, 570) - Semi Replication Basel Proxy (571, 572, 573) - Set Off Basel Proxy (574, 575, 576) - Funding Group Bilateral CSA (577) - Funding Group Hedge Error (578) - Funding Group Perfect Replication (579) - Funding Group Semi Replication (580) - Funding Group Set Off (581) - Funding Group Unilateral CSA (582) - XVA Topology Book Group Layout (583) - XVA Topology Book Latent State Map (584) - XVA Digest CPGA Collateralized (585) - XVA Digest CPGA Collateralized Correlated (586) - XVA Digest CPGA Uncollateralized (587) - XVA Digest CPGA Uncollateralized Correlated (588) - XVA Digest CPGA Zero Threshold (589) - XVA Digest CPGA Zero Threshold Correlated (590) - XVA Collateralized Collateral Group (591) - XVA Collateralized Collateral Group Correlated (592) - XVA Uncollateralized Collateral Group (593) - XVA Uncollateralized Collateral Group Correlated (594) - XVA Zero Threshold Collateral Group (595) - XVA Zero Threshold Collateral Group Correlated (596) - XVA Portfolio Collateral Estimate (597) - XVA Basel Collateralized Collateral Neutral (598) - XVA Basel Collateralized Collateral Neutral Stochastic (599) - XVA Basel Collateralized Collateral Payable (600) - XVA Basel Collateralized Collateral Payable Stochastic (601) - XVA Basel Collateralized Collateral Receivable (602) - XVA Basel Collateralized Collateral Receivable Stochastic (603) - XVA Basel Collateralized Funding Neutral (604) - XVA Basel Collateralized Funding Neutral Stochastic (605) - XVA Basel Collateralized Funding Payable (606) - XVA Basel Collateralized Funding Payable Stochastic (607) - XVA Basel Collateralized Funding Receivable (608) - XVA Basel Collateralized Funding Receivable Stochastic (609) - XVA Basel Collateralized Netting Neutral (610) - XVA Basel Collateralized Netting Neutral Stochastic (611) - XVA Basel Collateralized Netting Payable (612) - XVA Basel Collateralized Netting Payable Stochastic (613) - XVA Basel Collateralized Netting Receivable (614) - XVA Basel Collateralized Netting Receivable Stochastic (615) - XVA Basel Uncollateralized Collateral Neutral (616) - XVA Basel Uncollateralized Collateral Neutral Stochastic (617) - XVA Basel Uncollateralized Collateral Payable (618) - XVA Basel Uncollateralized Collateral Payable Stochastic (619) - XVA Basel Uncollateralized Collateral Receivable (620) - XVA Basel Uncollateralized Collateral Receivable Stochastic (621) - XVA Basel Uncollateralized Funding Neutral (622) - XVA Basel Uncollateralized Funding Neutral Stochastic (623) - XVA Basel Uncollateralized Funding Payable (624) - XVA Basel Uncollateralized Funding Payable Stochastic (625) - XVA Basel Uncollateralized Funding Receivable (626) - XVA Basel Uncollateralized Funding Receivable Stochastic (627) - XVA Basel Uncollateralized Netting Neutral (628) - XVA Basel Uncollateralized Netting Neutral Stochastic (629) - XVA Basel Uncollateralized Netting Payable (630) - XVA Basel Uncollateralized Netting Payable Stochastic (631) - XVA Basel Uncollateralized Netting Receivable (632) - XVA Basel Uncollateralized Netting Receivable Stochastic (633) - XVA Basel Zero Threshold Collateral Neutral (634) - XVA Basel Zero Threshold Collateral Neutral Stochastic (635 ) - XVA Basel Zero Threshold Collateral Payable (636) - XVA Basel Zero Threshold Collateral Payable Stochastic (637) - XVA Basel Zero Threshold Collateral Receivable (638) - XVA Basel Zero Threshold Collateral Receivable Stochastic (639) - XVA Basel Zero Threshold Funding Neutral (640) - XVA Basel Zero Threshold Funding Neutral Stochastic (641) - XVA Basel Zero Threshold Funding Payable (642) - XVA Basel Zero Threshold Funding Payable Stochastic (643) - XVA Basel Zero Threshold Funding Receivable (644) - XVA Basel Zero Threshold Funding Receivable Stochastic (645) - XVA Basel Zero Threshold Netting Neutral (646) - XVA Basel Zero Threshold Netting Neutral Stochastic (647) - XVA Basel Zero Threshold Netting Payable (648) - XVA Basel Zero Threshold Netting Payable Stochastic (649) - XVA Basel Zero Threshold Netting Receivable (650) - XVA Basel Zero Threshold Netting Receivable Stochastic (651) - Portfolio Netting Group Run (652) - Portfolio Netting Group Simulation (653) - Portfolio Netting Path Aggregation Correlated (654) - Portfolio Netting Path Aggregation Deterministic (655) - Portfolio Netting Path Aggregation Uncorrelated (656) - Correlated Numeraire XVA Attribution #1 (657, 658) - Correlated Numeraire XVA Attribution #2 (659, 660) - Correlated Numeraire XVA Attribution #3 (661, 662) - Correlated Numeraire XVA Attribution #4 (663, 664) - Correlated Numeraire XVA Attribution #5 (665, 666) - Correlated Numeraire XVA Attribution #6 (667, 668) - Correlated Numeraire XVA Attribution #7 (669, 670) - Correlated Numeraire XVA Attribution #8 (671, 672) - Correlated Numeraire XVA Attribution #9 (673, 674) - Correlated Numeraire XVA Attribution #10 (675, 676) - Correlated Numeraire XVA Attribution #11 (677, 678) - Correlated Numeraire XVA Attribution #12 (679, 680) - Correlated Numeraire XVA Attribution #13 (681, 682) - Correlated Numeraire XVA Explain (683, 684) - Correlated Numeraire XVA Greeks (685, 686) - Correlated Numeraire XVA Replication Portfolio (687, 688) - Burgard 2011 XVA Explain (689, 690) - Burgard 2011 XVA Greeks (691, 692) - Burgard 2011 XVA Market Generation (693, 694) - Burgard 2011 XVA Replication Portfolio (695, 696) - Euler Trajectory Evolution Scheme (697, 698) - Counter Party Hazard High (699) - Counter Party Hazard Low (700) - Counter Party Hazard Medium (701) - Fix Float VA Bank (702) - Fix Float VA CPTY (703) - Bilateral CSA Collateralized Funding (704) - Bilateral CSA Collateralized Funding Stochastic (705) - Bilateral CSA Uncollateralized Funding (706) - Bilateral CSA Uncollateralized Funding Stochastic (707) - Bilateral CSA Zero Threshold Funding (708) - Bilateral CSA Zero Threshold Funding Stochastic (709) - Perfect Replication Collateralized Funding (710) - Perfect Replication Collateralized Funding Stochastic (711) - Perfect Replication Uncollateralized Funding (712) - Perfect Replication Uncollateralized Funding Stochastic (713) - Perfect Replication Zero Threshold Funding (714) - Perfect Replication Zero Threshold Funding Stochastic (715) - Semi Replication Collateralized Funding (716) - Semi Replication Collateralized Funding Stochastic (717) - Semi Replication Uncollateralized Funding (718) - Semi Replication Uncollateralized Funding Stochastic (719) - Semi Replication Zero Threshold Funding (720) - Semi Replication Zero Threshold Funding Stochastic (721) - Set Off Collateralized Funding (722) - Set Off Collateralized Funding Stochastic (723) - Set Off Uncollateralized Funding (724) - Set Off Uncollateralized Funding Stochastic (725) - Set Off Zero Threshold Funding (726) - Set Off Zero Threshold Funding Stochastic (727) - Unilateral CSA Collateralized Funding (728) - Unilateral CSA Collateralized Funding Stochastic (729) - Unilateral CSA Uncollateralized Funding (730) - Unilateral CSA Uncollateralized Funding Stochastic (731) - Unilateral CSA Zero Threshold Funding (732) - Unilateral CSA Zero Threshold Funding Stochastic (733) - Long Fixed Aggressive Timeline #1 (734, 735) - Long Fixed Aggressive Timeline #2 (736, 737, 738) - Long Fixed Classical Minus Timeline (739, 740, 741) - Long Fixed Classical Plus Timeline (742, 743, 744) - Long Fixed Conservative Timeline (745, 746) - Short Fixed Conservative Timeline (747, 748) - Short Fixed Classical Plus Timeline (749, 750) - Short Fixed Aggressive Timeline (751, 752) - Short Fixed Classical Minus Timeline (753, 754) - Short Float Aggressive Timeline #1 (755, 756) - Short Float Aggressive Timeline #2 (757, 758) - Short Float Aggressive Timeline #3 (759, 760) - Short Float Conservative Timeline (761, 762) - Short Float Classical Plus Timeline (763, 764) - Short Float Classical Minus Timeline (765, 766) - Long Float Aggressive Timeline #3 (767, 768) - Long Float Conservative Timeline (769, 770) - Long Float Classical Plus Timeline (771, 772) - Long Float Classical Minus Timeline (773, 774) - OTC Payer Aggressive Timeline #1 (775, 776) - OTC Payer Aggressive Timeline #2 (777, 778) - OTC Payer Classical Minus Timeline (779, 780) - OTC Payer Classical Plus Timeline (781, 782) - OTC Payer Conservative Timeline (783, 784) - OTC Receiver Classical Minus Timeline (785, 786) - OTC Receiver Classical Plus Timeline (787, 788) - OTC Receiver Aggressive Timeline (789, 790) - OTC Receiver Conservative Timeline (791, 792) - OTC Payer XVA Classical Plus (793, 794) - OTC Payer XVA Classical Minus (795, 796) - OTC Payer XVA Aggressive (797, 798) - OTC Payer XVA Conservative (799, 800) - OTC Receiver XVA Classical Plus (801, 802) - OTC Receiver XVA Classical Minus (803, 804) - OTC Receiver XVA Aggressive (805, 806) - OTC Receiver XVA Conservative (807, 808)
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- Pykhtin Brownian Bridge Path #1 (1, 2) - Pykhtin Brownian Bridge Path #2 (3, 4) - Pykhtin Brownian Bridge Path #3 (5, 6) - Pykhtin Brownian Bridge Path #4 (7, 8) - Pykhtin Brownian Bridge Path #5 (9, 10) - Pykhtin Brownian Bridge Path #6 (11, 12) - Pykhtin Brownian Bridge Path #7 (13, 14) - Pykhtin Brownian Bridge Path #8 (15, 16) - Pykhtin Brownian Bridge Path #9 (17, 18) - Pykhtin Brownian Bridge Path #10 (19, 20) - Pykhtin Brownian Bridge Path #11 (21, 22) - Pykhtin Brownian Bridge Path #12 (23, 24) - Pykhtin Brownian Bridge Path #13 (25, 26) - Pykhtin Brownian Bridge Path #14 (27, 28) - Pykhtin Brownian Bridge Path #15 (29, 30) - Pykhtin Brownian Bridge Path #16 (31, 32) Bug Fixes/Clean-up: - Pykhtin Brownian Bridge Segment Fix (33) - Pykhtin Date Index Bug Fix (40, 41) Samples: - Exposure Path Brownian Bridge #1 (34, 35) - Exposure Path Brownian Bridge #2 (36, 37) - Exposure Path Brownian Bridge #3 (38, 39) - Exposure Path Brownian Bridge #4 (42, 43) - Exposure Path Brownian Bridge #5 (44, 45) - Exposure Path Brownian Bridge #6 (46, 47) - Exposure Path Brownian Bridge #7 (48, 49) - Exposure Path Brownian Bridge #8 (50, 51) - Exposure Path Brownian Bridge #9 (52, 53) - Exposure Path Brownian Bridge #10 (54, 55) - Exposure Path Brownian Bridge #11 (56, 57) - Exposure Path Brownian Bridge #12 (58, 59, 60)
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Jul 13, 2018
- ISDA SIMM Commodity Bucket Shell (1) - ISDA SIMM Commodity Bucket Number (2) - ISDA SIMM Commodity Bucket Entity (3) - ISDA SIMM Commodity Bucket Weight (4) - ISDA SIMM Commodity Bucket Correlation (5) - Commodity Bucket Constructor and Annotation (6, 7, 8) - ISDA SIMM Commodity Systemics Shell (9) - ISDA SIMM Commodity Systemics HVR (10) - ISDA SIMM Commodity Systemics VRW (11) - SIMM Commodity Settings Container - Shell (12) - Commodity Settings Container - Bucket Map (13) - Commodity Bucket Key Set Containment (14) - Commodity Settings Container Initialize #1 (15, 16) - Commodity Settings Container Initialize #2 (17, 18) - Commodity Settings Container Initialize #3 (19, 20) - Commodity Settings Container Initialize #4 (21, 22) - Commodity Settings Container Initialize #5 (23, 24) - Commodity Settings Container Initialize #6 (25, 26) - Commodity Settings Container Initialize #7 (27, 28) - Commodity Settings Container Initialize #8 (29, 30) - Commodity Settings Container Initialize #9 (31, 32) - Commodity Settings Container Cross Correlation (33, 34) - Commodity Settings Container Correlation #1 (35) - Commodity Settings Container Correlation #2 (36) - Commodity Settings Container Correlation #3 (37) - Commodity Settings Container Correlation #4 (38) - Commodity Settings Container Correlation #5 (39) - Commodity Settings Container Correlation #6 (40) - Commodity Settings Container Correlation #7 (41) - Commodity Settings Container Correlation #8 (42) - Commodity Settings Container Correlation #9 (43) - Commodity Settings Container Correlation #10 (44) - Commodity Settings Container Correlation #11 (45) - Commodity Settings Container Correlation #12 (46) - Commodity Settings Container Correlation #13 (47) - Commodity Settings Container Correlation #14 (48) - Commodity Settings Container Correlation #15 (49) - Commodity Settings Container Correlation #16 (50) - Commodity Settings Container Correlation #17 (51) Bug Fixes/Clean-up: Samples: - ISDA SIMM Commodity Settings Shell (52) - ISDA SIMM Commodity Settings #1 (53, 54) - ISDA SIMM Commodity Settings #2 (55, 56) - ISDA SIMM Commodity Settings #3 (57, 58) - ISDA SIMM Commodity Settings #4 (59, 60)
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Aug 1, 2018
- Weighted Sensitivity Sub-Curve Correlation (1, 2) - IR Weighted Sensitivity Settings #1 (4, 5) - IR Weighted Sensitivity Settings #2 (6, 7) - IR Weighted Sensitivity Settings #3 (8) - NULL Vol IR Settings #1 (9, 10) - NULL Vol IR Settings #2 (11, 12) - Single Curve Cross Tenor Correlation (15) - Weighted Net Tenor Sensitivity Settings (16, 17) - IR Weighted Sensitivity Settings Correlation (18) - ISDA SIMM Product IR Sensitivity (19, 20) - ISDA SIMM Product OIS Sensitivity (21) - ISDA SIMM Product LIBOR1M Sensitivity (22) - ISDA SIMM Product LIBOR3M Sensitivity (23) - ISDA SIMM Product LIBOR6M Sensitivity (24) - ISDA SIMM Product LIBOR12M Sensitivity (25) - ISDA SIMM Product PRIME Sensitivity (26) - ISDA SIMM Product MUNICIPAL Sensitivity (27) - Net Risk Weight Map #1 (29, 30) - Net Risk Weight Map #2 (31, 32) - Net Risk Weight Map #3 (33, 34) - Net Risk Weight Map #4 (35, 36) - Weighted Net Flat Sensitivity Settings (37) - Weighted Net Tenor Sensitivity Settings (38) - Rates Tenor Sensitivity Settings - Shell (39) - Rates Tenor Sensitivity Curve Correlation (40) - Rates Tenor Sensitivity Tenor Correlation (41) - Rates Tenor Sensitivity Settings - Curves (42) - Rates Tenor Sensitivity Settings - Constructor (43, 44) - Rates Tenor Sensitivity Settings #1 (45, 46) - Rates Tenor Sensitivity Settings #2 (47, 48) - Rates Tenor Sensitivity Settings #3 (49, 50) - Rates Tenor Sensitivity Settings #4 (51, 52) - Rates Tenor Sensitivity Settings #5 (53, 54) - Rates Tenor Sensitivity Settings #6 (55, 56) - IR Weighted Net Sensitivity - Shell (60, 61) - IR Net Tenor Sensitivity - OIS (62) - IR Net Tenor Sensitivity - LIBOR1M (63) - IR Net Tenor Sensitivity - LIBOR3M (64) - IR Net Tenor Sensitivity - LIBOR6M (65) - IR Net Tenor Sensitivity - LIBOR12M (66) - IR Net Tenor Sensitivity - PRIME (67) - IR Net Tenor Sensitivity - MUNICIPAL (68) - IR Net Tenor Sensitivity - Constructor (69, 70, 71) - IR Sensitivity - OIS Net #1 (72, 73) - IR Sensitivity - OIS Net #2 (74, 75) - IR Sensitivity - OIS Net #3 (76, 77) - IR Sensitivity - OIS Net #4 (78, 79) - IR Sensitivity - LIBOR 1M Net (80, 81) - IR Sensitivity - LIBOR 3M Net (82, 83) - IR Sensitivity - LIBOR 6M Net (84, 85) - IR Sensitivity - LIBOR 12M Net (86, 87) - IR Sensitivity - PRIME Net Map (88, 89) - IR Sensitivity - MUNICIPAL Net Map (90, 91) - IR Sensitivity - Curve Net #1 (92, 93) - IR Sensitivity - Curve Net #2 (94, 95) - IR Sensitivity - Curve Net #3 (96, 97) - IR Sensitivity - Curve Net #4 (98, 99) - IR Sensitivity - Curve Net #5 (100, 101) - IR Net OIS Covariance #1 (102, 103) - IR Net OIS Covariance #2 (104, 105) - IR Net OIS Covariance #3 (106, 107) - IR Net LIBOR 1M Covariance (108, 109) - IR Net LIBOR 3M Covariance (110, 111) - IR Net LIBOR 6M Covariance (112, 113, 114) - IR Net LIBOR 12M Covariance (115, 116, 117) - IR Net PRIME Tenor Covariance (118, 119, 120) - IR Net MUNICIPAL Tenor Covariance (121, 122, 123) - IR Net Sensitivity OIS LIBOR1M (148, 149, 150) - IR Net Sensitivity OIS LIBOR3M (153, 154) - IR Net Sensitivity OIS LIBOR6M (155, 156) - IR Net Sensitivity OIS LIBOR12M (159, 160) - IR Net Sensitivity OIS PRIME (161, 162) - IR Net Sensitivity OIS MUNICIPAL (163, 164) - IR Net Sensitivity LIBOR1M LIBOR3M (167, 168) - IR Net Sensitivity LIBOR1M LIBOR6M (171, 172) - IR Net Sensitivity LIBOR1M LIBOR12M (173, 174) - IR Net Sensitivity LIBOR3M LIBOR6M (177, 178) - IR Net Sensitivity LIBOR3M LIBOR12M (179, 180) Bug Fixes/Clean-up: - Eliminate Sub-Curve Correlation Settings (3) - IR Yield Sub Curve Types (13, 14) - Risk Factor Tenor Sensitivity Rename (28) - Cross Sub Curve Rates Correlation (57, 58) - Rates Curve Tenor Sensitivity Settings (59) - ISDA SIMM 2.0 Settings Package (124) - ISDA SIMM 2.0 Estimates Package (125) Samples: - Single Curve IR Net Sensitivity #1 (126, 127) - Single Curve IR Net Sensitivity #2 (128, 129) - Single Curve IR Net Sensitivity #3 (130, 131) - Single Curve IR Net Sensitivity #4 (132, 133) - Single Curve IR Net Sensitivity #5 (134, 135) - Single Curve IR Net Sensitivity #6 (136, 137) - Single Curve IR Net Sensitivity #7 (138, 139) - Single Curve IR Net Sensitivity #8 (140, 141) - Single Curve IR Net Sensitivity #9 (142, 143) - Single Curve IR Net Sensitivity #10 (144, 145) - Single Curve IR Net Sensitivity #11 (146, 147) - Single Curve IR Net Sensitivity #12 (151, 152) - Single Curve IR Net Sensitivity #13 (157, 158) - Single Curve IR Net Sensitivity #14 (165, 166) - Single Curve IR Net Sensitivity #15 (169, 170) - Single Curve IR Net Sensitivity #16 (175, 176)
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Aug 29, 2018
- Sensitivity Index Integer -> String #1 (25, 26) - Sensitivity Index Integer -> String #2 (27, 28) - Municipal Tenor Risk Weight Settings (43) - LIBOR 12M Tenor Risk Weight (44) - PRIME Tenor Risk Weight Settings (45) - LIBOR 6M Tenor Risk Weight (46) - LIBOR 3M Tenor Risk Weight (47) - LIBOR 1M Tenor Risk Weight (48) - OIS Tenor Risk Weight Settings (49, 50) Bug Fixes/Clean-up: - Bucket Risk Factor Aggregate Map (25) - Bucket Leaf Risk Factor Aggregate (34, 35, 36) - IR Curve Tenor Settings Rename (37) - IR Risk Class Sensitivity Settings (38) - IR Bucket Sensitivity Settings #1 (39, 40) - IR Bucket Sensitivity Settings #2 (41, 42) - IR Class Sensitivity Settings Rename (51) - IR Cross Currency Bucket Correlation (52) - IR Bucket Sensitivity Settings Map (53) - Eliminate Product Tenor Sensitivity Settings (54) - Eliminate Product Flat Sensitivity Settings (55) - IR Net Sensitivity Factor Aggregate (56) - Risk Factor Sensitivity Margin #1 (57, 58) - Risk Factor Sensitivity Margin #2 (59, 60) - Risk Factor Sensitivity Margin #3 (61, 62) Samples: - CT Delta Margin Shell (1) - Add Bucket Risk Factor Sensitivity (2) - Bucket Risk Factor Sensitivity Map (3) - Risk Factor Sensitivity Bucket #1 (4) - Risk Factor Sensitivity Bucket #2 (5) - Risk Factor Sensitivity Bucket #3 (6) - Risk Factor Sensitivity Bucket #4 (7) - Risk Factor Sensitivity Bucket #5 (8) - Risk Factor Sensitivity Bucket #6 (9) - Risk Factor Sensitivity Bucket #7 (10) - Risk Factor Sensitivity Bucket #8 (11) - Risk Factor Sensitivity Bucket #9 (12) - Risk Factor Sensitivity Bucket #10 (13) - Risk Factor Sensitivity Bucket #11 (14) - Risk Factor Sensitivity Bucket #12 (15) - Risk Factor Sensitivity Bucket #13 (16) - Risk Factor Sensitivity Bucket #14 (17) - Risk Factor Sensitivity Bucket #15 (18) - Risk Factor Sensitivity Bucket #16 (19) - Risk Factor Sensitivity Bucket #17 (20) - CT Delta Margin Estimate #1 (21, 22) - CT Delta Margin Estimate #2 (23, 24) - CT Delta Margin Estimate #3 (29, 30) - EQ Delta Margin Estimate (31, 32) - FX Delta Margin Estimate (33)
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Bug Fixes/Clean-up: - IR Factor Margin Aggregate #1 (1, 2) - IR Factor Margin Aggregate #2 (3, 4) - IR Factor Margin Aggregate #3 (5, 6) - IR Factor Margin Aggregate #4 (7, 8) - IR Factor Margin Aggregate #5 (9, 10) - IR Factor Margin Aggregate #6 (11, 12) - IR Factor Margin Aggregate #7 (13, 14) - IR Factor Margin Aggregate #8 (15, 16) - IR Factor Margin Aggregate #9 (17, 18) - IR Factor Margin Aggregate #10 (19, 20) - IR Factor Margin Aggregate #11 (21, 22) - IR Factor Margin Aggregate #12 (23, 24) - IR Factor Margin Aggregate #13 (25, 26) - IR Factor Margin Aggregate #14 (27, 28) - IR Factor Margin Aggregate #15 (29, 30) - IR Factor Margin Aggregate #16 (31, 32) - IR Factor Margin Aggregate #17 (33, 34) - IR Factor Margin Aggregate #18 (35, 36) - IR Factor Margin Aggregate #19 (37, 38) - IR Factor Margin Aggregate #20 (39, 40) - IR Factor Margin Aggregate #21 (41, 42) - IR Factor Margin Aggregate #22 (43, 44) - IR Factor Margin Aggregate #23 (45, 46) - IR Factor Margin Aggregate #24 (47, 48) - IR Factor Margin Aggregate #25 (49, 50) - IR Factor Margin Aggregate #26 (51, 52) - IR Factor Margin Aggregate #27 (53, 54) - IR Factor Margin Aggregate #28 (55, 56) - IR Factor Margin Aggregate #29 (57, 58) Samples:
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Bug Fixes/Clean-up: - Bucket IR Sensitivity Revamp #1 (1, 2) - Bucket IR Sensitivity Revamp #2 (3, 4) - Bucket IR Sensitivity Revamp #3 (5, 6) - Bucket IR Sensitivity Revamp #4 (7, 8) - Bucket IR Sensitivity Revamp #5 (9, 10) - Bucket IR Sensitivity Revamp #6 (11, 12) - Bucket IR Sensitivity Revamp #7 (13, 14) - Bucket IR Sensitivity Revamp #8 (15, 16) - Bucket IR Sensitivity Revamp #9 (17, 18) - Bucket IR Sensitivity Revamp #10 (19, 20) - Bucket IR Sensitivity Revamp #11 (21, 22) - Bucket IR Sensitivity Revamp #12 (23, 24) - Risk Factor Tenor Sensitivity #1 (25, 26) - Risk Factor Tenor Sensitivity #2 (27, 28) - Risk Factor Tenor Sensitivity #3 (29) - Bucket IR Sensitivity Revamp #13 (30, 31) - Bucket IR Sensitivity Revamp #14 (32, 33) - Bucket IR Sensitivity Revamp #15 (34, 35) - Bucket Delta Tenor Sensitivity Settings (36, 37) - Bucket IR Sensitivity Revamp #16 (38, 39) - Bucket IR Sensitivity Revamp #17 (40, 41) - Bucket IR Sensitivity Revamp #18 (42, 43) - Bucket IR Sensitivity Revamp #19 (44) - Bucket IR Sensitivity Revamp #20 (45, 46) - Bucket IR Sensitivity Revamp #21 (47, 48) - Bucket IR Sensitivity Revamp #22 (49, 50) - Bucket IR Sensitivity Revamp #23 (51, 52) - Bucket IR Sensitivity Revamp #24 (53, 54) - Bucket IR Sensitivity Revamp #25 (55, 56) - IR Currency Bucket Sensitivity Settings (57, 58) - Risk Factor Aggregate IR Clean (59) - Bucket Sensitivity IR Factor Aggregate (60) Samples:
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Sep 15, 2018
- Risk Class Sensitivity - Constructor Annotation (1, 2, 3) - Risk Class Sensitivity IR - Shell (4) - Risk Class Sensitivity IR - Delta (5) - Risk Class Sensitivity IR - Vega (6) - Risk Class Sensitivity IR - Constructor (7, 8, 9) Bug Fixes/Clean-up: - Risk Measure Sensitivity Eliminate Delta (23, 24) - IR Bucket Sensitivity Delta #1 (25, 26) - IR Bucket Sensitivity Delta #2 (27, 28) - IR Bucket Sensitivity Delta #3 (29, 30) - IR Bucket Sensitivity Delta #4 (31, 32) - IR Bucket Sensitivity Delta #5 (33, 34) - IR Bucket Sensitivity Delta #6 (35, 36) - IR Bucket Sensitivity Delta #7 (37, 38) - IR Bucket Sensitivity Delta #8 (39, 40) - IR Bucket Sensitivity Delta #9 (41, 42) - IR Bucket Sensitivity Delta #10 (43, 44) - IR Bucket Sensitivity Delta #11 (45, 46) - IR Bucket Sensitivity Delta #12 (47, 48) - IR Bucket Sensitivity Delta #13 (49, 50) - IR Bucket Sensitivity Delta #14 (51, 52) - IR Bucket Sensitivity Delta #15 (53, 54) - IR Bucket Sensitivity Delta #16 (55, 56) - IR Bucket Sensitivity Delta #17 (57, 58) - IR Bucket Sensitivity Delta #18 (59, 60) - IR Bucket Sensitivity Delta #19 (61, 62) - IR Bucket Sensitivity Delta #20 (63, 64) - IR Bucket Sensitivity Delta #21 (65, 66) - IR Bucket Sensitivity Delta #22 (67, 68) - IR Bucket Sensitivity Delta #23 (69, 70) - IR Bucket Sensitivity Delta #24 (71, 72) - IR Bucket Sensitivity Delta #25 (73, 74) - IR Bucket Sensitivity Delta #26 (75, 76) - IR Bucket Sensitivity Delta #27 (77, 78) - IR Bucket Sensitivity Delta #28 (79, 80) - IR Bucket Sensitivity Delta #29 (81, 82) - IR Bucket Sensitivity Delta #30 (83, 84) Samples: - EQ Vega Margin Shell (10) - EQ Vega Margin #1 (11, 12) - EQ Vega Margin #2 (13, 14) - CT Vega Margin Shell (15) - CT Vega Margin #1 (16, 17) - CT Vega Margin #2 (18, 19) - IR Vega Currency Margin Flow (20) - IR Vega Margin Flow #1 (21, 22)
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- SIMM 2.0 Interest Rates Systemics (11) - SIMM 2.0 Rates Settings #1 (12, 13, 14) - ISDA SIMM Commodity Systemics 2.0 (18, 19) - ISDA SIMM Credit Calibration Settings (20, 21) - ISDA SIMM Versionless Product Sensitivities (22) - ISDA SIMM Calibration Parameters #1 (23, 24) - ISDA SIMM Calibration Parameters #2 (25, 26) - ISDA SIMM Calibration Parameters #3 (27, 28) - ISDA SIMM Calibration Parameters #4 (29, 30) - ISDA SIMM Calibration Parameters #5 (31, 32) - ISDA SIMM Calibration Parameters #6 (33, 34) - ISDA SIMM Calibration Parameters #7 (35) - ISDA SIMM Commodity Systemics 2.1 (36, 37) - CT Threshold Container 2.1 Shell (38) - CT Threshold Container 2.1 #1 (39, 40) - CT Threshold Container 2.1 #2 (41, 42) - CT Settings Container 2.1 Shell (43) - CT Settings Container 2.1 #1 (44, 45) - CT Settings Container 2.1 #2 (46, 47) - CT Settings Container 2.1 #3 (48, 49) - CT Settings Container 2.1 #4 (50) - CT Settings Container 2.1 #5 (51, 52) - CT Settings Container 2.1 #6 (53, 54) - CT Settings Container 2.1 #7 (55, 56) - CT Settings Container 2.1 #8 (57, 58) - CT Settings Container 2.1 #9 (59, 60) - CT Settings Container 2.1 #10 (61, 62) - CT Settings Container 2.1 #11 (63, 64) - CT Settings Container 2.1 #12 (65, 66) - CT Settings Container 2.1 #13 (67, 68) - CT Settings Container 2.1 #14 (69, 70) - CT Settings Container 2.1 #15 (71, 72) - CT Settings Container 2.1 #16 (73, 74) - CT Settings Container 2.1 #17 (75, 76) - CT Settings Container 2.1 #18 (77, 78) - CT Settings Container 2.1 #19 (79, 80) - CT Settings Container 2.1 #20 (81) Bug Fixes/Clean-up: - SIMM IR Threshold Container 2.0 (15) - ISDA SIMM Equity Bucket Revamp (16, 17) Samples: - ISDA SIMM Rates Estimate Runs (1) - Rates Currency Delta Margin Flow 2.0 (2) - Rates Currency Delta Margin 2.0 (3) - Rates Delta Margin 2.0 (4) - Rates Currency Vega Margin Flow 2.0 (5) - Rates Currency Vega Margin 2.0 (6) - Rates Vega Margin 2.0 (7) - Rates Currency Curvature Margin Flow 2.0 (8) - Rates Currency Curvature Margin 2.0 (9) - Rates Curvature Margin 2.0 (10)
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Oct 15, 2018
- Risk Measure Sensitivity CR - Shell (1) - Risk Measure Sensitivity CR - Buckets (2) - Risk Measure Sensitivity CR - Linear (3) - Risk Measure Sensitivity CR - Curvature (4) - Risk Measure Sensitivity CR - Constructor (5, 6) - Risk Class Sensitivity CR - Shell (7) - Risk Class Sensitivity CR - Delta (8) - Risk Class Sensitivity CR - Vega (9) - Risk Class Sensitivity CR - Curvature (10) - Risk Class Sensitivity CR - Constructor (11, 12, 13) - Risk Factor Tenor Sensitivity Map (33, 34) - Cumulative Risk Factor Tenor Sensitivity (35, 36) - CR Product Bucket Sensitivity Constructor (37, 38, 39) - CR Component Bucket Sensitivity Map (40, 41) Bug Fixes/Clean-up: - ISDA SIMM CR Estimate Package (14) Samples: - Credit Delta Margin 2.0 #1 (15, 16) - Credit Delta Margin 2.0 #2 (17, 18) - Credit Delta Margin 2.0 #3 (19, 20) - Credit Delta Margin 2.0 #4 (21, 22) - Credit Delta Margin 2.0 #5 (23, 24) - Credit Delta Margin 2.0 #6 (25, 26) - Credit Delta Margin 2.0 #7 (27, 28) - Credit Delta Margin 2.0 #8 (29, 30) - Credit Delta Margin 2.0 #9 (31, 32) - Credit Delta Margin 2.0 #10 (42) - Credit Delta Margin 2.0 #11 (43, 44) - Credit Delta Margin 2.0 #12 (45, 46) - Credit Delta Margin 2.0 #13 (47, 48) - Credit Delta Margin 2.0 #14 (49, 50) - Credit Delta Margin 2.0 #15 (51, 52) - Credit Delta Margin 2.0 #16 (53, 54) - Credit Qualifying Bucket Delta 2.0 (55) - Qualifying Bucket Delta 2.0 #1 (56, 57) - Qualifying Bucket Delta 2.0 #2 (58, 59) - Qualifying Bucket Delta 2.0 #3 (60, 61)
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Oct 17, 2018
Bug Fixes/Clean-up: - Curve Aggregate Component Name Set (1, 2) - CR Cross Bucket Correlation Fix (22, 23, 24) Samples: - Credit Qualifying Bucket Delta Margin Flow (3) - Credit Qualifying Bucket Delta Margin (4) - Credit Qualifying Delta Margin 2.0 #1 (5, 6) - Credit Qualifying Delta Margin 2.0 #2 (7, 8) - Credit Qualifying Delta Margin 2.0 #3 (9, 10) - Credit Qualifying Delta Margin 2.0 #4 (11, 12) - Credit Qualifying Delta Margin 2.0 #5 (13, 14) - Credit Qualifying Delta Margin 2.0 #6 (15, 16) - Credit Qualifying Delta Margin 2.0 #7 (17, 18) - Credit Qualifying Delta Margin 2.0 #8 (19, 20) - Credit Qualifying Delta Margin 2.0 #9 (21) - Credit Qualifying Delta Margin 2.0 #10 (25, 26) - Credit Qualifying Delta Margin 2.0 #11 (27, 28) - Credit Qualifying Delta Margin 2.0 #12 (29, 30) - Credit Qualifying Delta Margin 2.0 #13 (31, 32) - Credit Qualifying Delta Margin 2.0 #14 (33, 34) - Credit Qualifying Delta Margin 2.0 #15 (35, 36) - Credit Qualifying Delta Margin 2.0 #16 (37, 38) - Credit Qualifying Bucket Vega Margin Flow (39, 40) - Credit Qualifying Bucket Vega Margin (41, 42) - Credit Qualifying Vega Margin 2.0 (43, 44) - Credit Qualifying Bucket Curvature Margin Flow (45, 46, 47) - Credit Qualifying Bucket Curvature Margin (48, 49) - Credit Qualifying Curvature Margin (50, 51, 52) - Credit Qualifying Class Margin #1 (53, 54) - Credit Qualifying Class Margin #2 (55, 56) - Credit Qualifying Class Margin #3 (57, 58) - Credit Qualifying Class Margin #4 (59, 60)
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Oct 19, 2018
- Product Class Initial Margin 2.1 (1) - Credit Qualifying (Not) Initial Margin (3, 4, 5) - Credit Non Qualifying Multiplicative Scale (8) - Equity Risk Class Initial Margin (8, 9, 10) - Commodity Risk Class Initial Margin (11, 12, 13) - FX Risk Class Initial Margin (14, 15, 16) - Rates Risk Class Initial Margin (17, 18, 19) - CRQ Risk Class Initial Margin (20, 21, 22) - CRNQ Risk Class Initial Margin (23, 24, 25) - Product Class Sensitivity Settings Shell (29) - Equity Risk Class Sensitivity Settings (30) - Commodity Risk Class Sensitivity Settings (31) - FX Risk Class Sensitivity Settings (32) - IR Risk Class Sensitivity Settings (33) - CRQ Risk Class Sensitivity Settings (34) - CRNQ Risk Class Sensitivity Settings (35) - Product Class Settings Constructor Annotation (36, 37, 38) - Product Class Settings 2.0 #1 (39, 40) - Product Class Settings 2.0 #2 (41, 42) - Product Class Settings SIMM 2.1 (43, 44) - SIMM Product Class Sensitivity Shell (45) - Product Equity Risk Class Sensitivity (46) - Product Commodity Risk Class Sensitivity (47) - Product FX Risk Class Sensitivity (48) - Product IR Risk Class Sensitivity (49) - Product CRQ Risk Class Sensitivity (50) - Product CRNQ Risk Class Sensitivity (51) - Product Class Sensitivity Constructor Annotation (52, 53, 54) - Product Class Margin Estimation Shell (59, 60) - Product Class Settings Correlation Matrix (62) - Product Class Margin - Label Correlation (63, 64, 65) - Product Class Sensitivity Estimation #1 (66, 67) - Product Class Sensitivity Estimation #2 (68, 69) - Product Class Sensitivity Estimation #3 (70, 71) Bug Fixes/Clean-up: - Eliminate Risk Class Initial Margin (2) - Eliminate Portfolio Composite Initial Margin (6) - Migrate Product Class Multiplicative Scale (7) - Risk Class Aggregate NULL Check (26, 27) - Product Class Initial To Margin (28) - Product Class Sensitivity Constructor Rework (55, 56) - Product Settings Sensitivity Constructor Rework (57, 58) - Product Class Margin Constructor Rework (61) - ISDA SIMM Product Margin Estimation (72) Samples: - SIMM Product Margin 2.0 Shell (73) - SIMM Product Margin 2.0 #1 (74, 75) - SIMM Product Margin 2.0 #2 (76, 77) - SIMM Product Margin 2.0 #3 (78, 79) - SIMM Product Margin 2.0 #4 (80, 81) - SIMM Product Margin 2.0 #5 (82, 83) - SIMM Product Margin 2.0 #6 (84, 85) - SIMM Product Margin 2.0 #7 (86, 87) - SIMM Product Margin 2.0 #8 (88, 89) - SIMM Product Margin 2.0 #9 (90, 91) - SIMM Product Margin 2.0 #10 (92, 93) - SIMM Product Margin 2.0 #11 (94, 95) - SIMM Product Margin 2.0 #12 (96, 97) - SIMM Product Margin 2.0 #13 (98, 99) - SIMM Product Margin 2.0 #14 (100, 101) - SIMM Product Margin 2.0 #15 (102, 103) - SIMM Product Margin 2.0 #16 (104, 105) - SIMM Product Margin 2.0 #17 (106, 107) - SIMM Product Margin 2.0 #18 (108, 109) - SIMM Product Margin 2.0 #19 (110, 111) - SIMM Product Margin 2.0 #20 (112, 113)
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Jan 4, 2019
- Basel III Balance Sheet Funding (7, 8) - Balance Sheet Capital Tier 1 Ratio (15, 16) Bug Fixes/Clean-up: Samples: - US SIFI Compliance #1 (1, 2) - US SIFI Compliance #2 (3, 4) - US SIFI Compliance #3 (5, 6) - US SIFI Compliance #4 (9, 10) - US SIFI Compliance #5 (11, 12) - US SIFI Compliance #6 (13, 14) - US SIFI Compliance #7 (17, 18) - US SIFI Compliance #8 (19, 20) - US SIFI Compliance #9 (21, 22) - US SIFI Compliance #10 (23, 24) - US SIFI Compliance #11 (25, 26) - US SIFI Compliance #12 (27, 28) - US SIFI Compliance #13 (29, 30) - US SIFI Compliance #14 (31, 32) - US SIFI Compliance #15 (33, 34) - US SIFI Compliance #16 (35, 36) - US SIFI Compliance #17 (37, 38) - US SIFI Compliance #18 (39, 40) - US SIFI Compliance #19 (41, 42) - Dual CAD 3M6M USD 3M6M (43) - Dual CCBS Discount Curve (44) - Dual CCBS Forward Curve (45) - Dual CHF 3M6M USD 3M6M (46) - Dual DKK 3M6M USD 3M6M (47) - Dual EUR 3M6M USD 3M6M (48) - Dual GBP 3M6M USD 3M6M (49) - Dual JPY 3M6M USD 3M6M (50) - Dual NOK 3M6M USD 3M6M (51) - Dual PLN 3M6M USD 3M6M (52) - Dual SEK 3M6M USD 3M6M (53) - Dual (54) - Efron Stein Bounded Markovitz Bullet (55) - Efron Stein Long Only Markovitz Bullet (56) - Efron Stein Unbounded Markovitz Bullet (57) - Efron Stein Unbounded Markovitz Bullet Explicit (58) - Efron Stein (59)
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Feb 13, 2019
- Probability Integral Transform Histogram #1 (15, 16) - Probability Integral Transform Histogram #2 (17, 18) - Probability Integral Transform Histogram #3 (19, 20) - Probability Integral Transform Histogram #4 (21, 22) - Probability Integral Transform Histogram #5 (27, 28) - Probability Intagral Transform Histogram Shell (33) - Probability Intagral Transform Histogram Statistic (34) - Probability Intagral Transform Histogram p-Value (35, 36) - Probability Intagral Transform Histogram Constructor (37, 38, 39) - Probability Intagral Transform Histogram #6 (40, 41) - Probability Intagral Transform Histogram #7 (42, 43) Bug Fixes/Clean-up: Samples: - Normal Anfuso Karyampas Nawroth AD #1 (1, 2) - Normal Anfuso Karyampas Nawroth AD #2 (3, 4) - Normal Anfuso Karyampas Nawroth AD #3 (5, 6) - Normal Anfuso Karyampas Nawroth AD #4 (7, 8) - Normal Anfuso Karyampas Nawroth AD #5 (9, 10) - Normal Anfuso Karyampas Nawroth AD #6 (11, 12) - Normal Anfuso Karyampas Nawroth AD #7 (13, 14) - Normal Anfuso Karyampas Nawroth AD #8 (23, 24) - Normal Anfuso Karyampas Nawroth AD #9 (25, 26) - Normal Anfuso Karyampas Nawroth AD #10 (29, 30) - Normal Anfuso Karyampas Nawroth AD #11 (31, 32) - Normal Anfuso Karyampas Nawroth AD #12 (44, 45) - Normal Anfuso Karyampas Nawroth AD #13 (46, 47) - Normal Anfuso Karyampas Nawroth AD #14 (48, 49) - Normal Anfuso Karyampas Nawroth AD #15 (50, 51) - Normal Anfuso Karyampas Nawroth AD #16 (52, 53) - Normal Anfuso Karyampas Nawroth AD #17 (54) - Normal Anfuso Karyampas Nawroth AD #18 (55, 56) - Normal Anderson Darling Gap Analysis (57, 58) - Normal Anderson Darling Gap Discriminant (59, 60)
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Feb 14, 2019
- Hypothesis Gap Test Outcome Instance (1) - Hypothesis Gap Test Outcome Constructor (2, 3, 4) - Hypothesis Gap Test Outcome Leading (5, 6, 7) - DPA Hypothesis Gap Test #1 (8, 9) - DPA Hypothesis Gap Test #2 (10, 11) - DPA Hypothesis Gap Test #3 (12, 13) - DPA Hypothesis Gap Test #4 (14, 15) Bug Fixes/Clean-up: - Anfuso, Karyampas, and Nawroth 2013 (16) Samples: - AFN Weighted Gap Distribution #1 (17, 18) - AFN Weighted Gap Distribution #2 (19, 20) - AFN Weighted Gap Distribution #3 (21, 22) - AFN Weighted Gap Distribution #4 (23, 24) - AFN Weighted Gap Distribution #5 (25, 26) - AFN Weighted Gap Distribution #6 (27, 28) - AFN Weighted Gap Distribution #7 (29, 30) - AFN Weighted Gap Distribution #8 (31, 32) - AFN Weighted Gap Distribution #9 (33, 34) - AFN Weighted Gap Distribution #10 (35, 36) - AFN Weighted Gap Distribution #11 (37, 38) - AFN Weighted Gap Distribution #12 (39, 40) - AFN Weighted Gap Distribution #13 (41, 42) - AFN Weighted Gap Distribution #14 (43, 44) - AFN Weighted Gap Distribution #15 (45, 46) - AFN Weighted Gap Distribution #16 (47, 48) - AFN Weighted Gap Distribution #17 (49, 50) - AFN Weighted Gap Distribution #18 (51, 52) - AFN Weighted Gap Distribution #19 (53, 54) - AFN Weighted Gap Distribution #20 (55, 56) - AFN Weighted Gap Distribution #21 (57, 58) - AFN Weighted Gap Distribution #22 (59, 60)
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May 27, 2020
Bug Fixes/Re-organization: Samples: - Idzorek READ ME #1 (1, 2) - Idzorek READ ME #2 (3) - Hypothesis Test READ ME #1 (4, 5) - Hypothesis Test READ ME #2 (6, 7) - Hypothesis Test READ ME #3 (8, 9) - Hyper-geometric READ ME #1 (10, 11) - Hyper-geometric READ ME #2 (12, 13) - Hyper-geometric READ ME #3 (14, 15) - Hyper-geometric READ ME #4 (16, 17) - Hyper-geometric READ ME #5 (18, 19) - Hyper-geometric READ ME #6 (20, 21) - Hyper-geometric READ ME #7 (22, 23) - Hyper-geometric READ ME #8 (24, 25) - Hyper-geometric READ ME #9 (26, 27) - Hyper-geometric READ ME #10 (28, 29) - Hyper-geometric READ ME #11 (30, 31) - Hyper-geometric READ ME #12 (32, 33) - Hyper-geometric READ ME #13 (34, 35) - Hyper-geometric READ ME #14 (36, 37) - Hyper-geometric READ ME #15 (38, 39) - Hyper-geometric READ ME #16 (40, 41) - Hyper-geometric READ ME #17 (42, 43) - Hull White READ ME #1 (44, 45) - Hull White READ ME #2 (46, 47) - HJM READ ME #1 (48, 49) - HJM READ ME #2 (50, 51) - HJM READ ME #3 (52) - He Litterman READ ME #1 (53, 54) - He Litterman READ ME #2 (55, 56) - He Litterman READ ME #3 (57, 58) - He Litterman READ ME (59, 60)
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May 29, 2020
- Yen Edge Partition Generator #1 (3, 4) - Yen Edge Partition Generator #2 (5, 6) - Yen Edge Partition Generator #3 (7, 8) - Forward Backward Edge Priority Queue (13, 14) - Yen Forward Backward Edge List (15, 16) - Populate Yen Forward Edge List (17, 18) - Populate Yen Backward Edge List (19, 20) - Forward Backward Graph Generator #1 (21, 22) - Forward Backward Graph Generator #2 (23, 24) - Forward Backward Graph Generator #3 (25, 26) - Yen Edge Partition Generator #4 (27, 28) - Yen Edge Partition Generator #5 (29, 30) - Yen Edge Partition Generator #6 (31, 32) - Yen Edge Partition Generator #7 (33, 34) - Yen Edge Partition Generator #8 (35, 36) - Yen Edge Partition Generator #9 (37, 38) - Yen Edge Partition Generator #10 (39, 40) - Yen Edge Partition Generator #11 (41, 42) - Yen Edge Partition Generator #12 (43, 44) - Yen Edge Partition Generator #13 (45, 46) - Yen Edge Partition Generator #14 (47, 48) - Yen Edge Partition Generator #15 (51, 52) - Yen Edge Partition Generator #16 (53, 54) - Yen Edge Partition Generator #17 (55, 56) - Yen Edge Partition Generator #18 (57, 58) - Yen Edge Partition Generator #19 (59, 60) Bug Fixes/Re-organization: Samples: - Yen Reduced Relaxation Single Source (1, 2) - Bellman Ford Single Source (9) - Bellman Ford Single Pair (10) - Yen Reduced Relaxation Single Source (11) - Yen Reduced Relaxation Single Pair (12) - Yen Edge Partition Single Pair (49, 50)
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Jul 3, 2020
- Array Util Assimilate Range #1 (1, 2) - Array Util Assimilate Range #2 (3, 4) - Slice Overlapping Ranges List #1 (5, 6) - Slice Overlapping Ranges List #2 (7, 8) - Slice Overlapping Ranges List #3 (9, 10) - Slice Overlapping Ranges List #4 (11, 12) - Slice Overlapping Ranges List #5 (13, 14) - Array Util Process Range #1 (15, 16) - Array Util Process Range #2 (17, 18) - Array Util Process Range #3 (19, 20) - Array Util Process Range #4 (21, 22) - Array Util Process Range #5 (23, 24) - Array Util Process Range #6 (25, 26) - Array Util Process Range #7 (27, 28) - Array Util Process Range #8 (29, 30) - Array Util Process Range #9 (31, 32) - Array Util Process Range #10 (33, 34) - Array Util Process Range #11 (35, 36) - Array Util Process Range #12 (37, 38) - Array Util Process Range #13 (39, 40) - Array Util Process Range #14 (41, 42) - Array Util Process Range #15 (43, 44) - Array Util Process Range #16 (45, 46) - Array Util Process Range #17 (51, 52) - Minimum Overall Height Awkwardness #1 (55, 56) - Minimum Overall Height Awkwardness #2 (57, 58) - Minimum Overall Height Awkwardness #3 (59, 60) Bug Fixes/Re-organization: Samples: - Slice Overlapping Ranges #1 (47, 48) - Slice Overlapping Ranges #2 (49, 50) - Slice Overlapping Ranges #3 (53, 54)
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Jul 18, 2020
- Pseudo-Polynomial Subset Sum #1 (1, 2) - Pseudo-Polynomial Subset Sum #2 (3, 4) - Pseudo-Polynomial Subset Sum #3 (13, 14) - Subarray Sum Horowitz Sahni Shell (17) - Subarray Sum Horowitz Sahni Constructor (18) - Subarray Sum Horowitz Sahni #1 (19, 20) - Subarray Sum Horowitz Sahni #2 (21, 22) - Subarray Sum Horowitz Sahni #3 (23, 24) - Subarray Sum Horowitz Sahni #4 (25, 26) - Subarray Sum Horowitz Sahni #5 (27, 28) - Subarray Sum Horowitz Sahni #6 (29, 30) - Subarray Sum Horowitz Sahni #7 (31, 32) - Subarray Sum Horowitz Sahni #8 (33, 34) - Subarray Sum Horowitz Sahni #9 (35, 36) - Subarray Sum Horowitz Sahni #10 (37, 38) - Subarray Sum Horowitz Sahni #11 (39, 40) - Subarray Sum Horowitz Sahni #12 (41, 42) - Subarray Sum Horowitz Sahni #13 (43, 44) - Subarray Sum Horowitz Sahni #14 (45, 46) - Subarray Sum Horowitz Sahni #15 (47, 48) - Subarray Sum Horowitz Sahni #16 (49) - Polynomial Time Approximate Check Shell (58) - Polynomial Time Approximate Check Constructor (59, 60) Bug Fixes/Re-organization: Samples: - Pseudo-Polynomial Subset Sum #1 (5, 6) - Pseudo-Polynomial Subset Sum #2 (7, 8) - Pseudo-Polynomial Subset Sum #3 (9, 10) - Pseudo-Polynomial Subset Sum #4 (11, 12) - Pseudo-Polynomial Subset Sum #5 (15, 16) - Horowitz Sahni Subset Sum #1 (50, 51) - Horowitz Sahni Subset Sum #2 (52, 53) - Horowitz Sahni Subset Sum #3 (54, 55) - Horowitz Sahni Subset Sum #4 (56, 57)
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Jul 22, 2020
- Distinct Array 3Sum Variant #1 (1, 2) - Distinct Array 3Sum Variant #2 (3, 4) - 3SUM Variant Builder - Convolution Sum (11, 12, 13) - Processed Time Stamp Log Files (14) - Analytics Log Message Record Shell (15) - Analytics Log Message Record Date (16) - Analytics Log Message Record Class (17) - Analytics Log Message Record Text (18) - Analytics Log Message Record Constructor (19, 20, 21) - Analytics Log Error Message Record (22, 23) - Analytics Log Message Record #1 (24, 25) - Analytics Log Message Record #2 (26, 27) - Analytics Log Message Record #3 (28, 29) - Analytics Log Message Record #4 (30, 31) - Analytics Log Message Record #5 (32, 33) - Analytics Log Message Record #6 (34, 35) - Analytics Log Message Record #7 (36, 37) - Analytics Log Message Record #8 (38, 39) - Analytics Log Message Record #9 (40, 41) - Analytics Log Message Record #10 (42, 43) - Analytics Log Message Record #11 (44, 45) - Analytics Log Message Record #12 (46, 47) - Analytics Log Message Record #13 (48, 49) - Analytics Log Message Record #14 (50, 51) - Analytics Log Message Record #15 (52, 53) - Analytics Log Message Record #16 (54, 55) - Analytics Log Message Record #17 (56, 57) - Analytics Log Message Record #18 (58, 59) - Analytics Log Message Record #19 (60) Bug Fixes/Re-organization: Samples: - Distinct Array Three Sum #1 (5, 6) - Distinct Array Three Sum #2 (7, 8) - Distinct Array Three Sum #3 (9, 10)
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Aug 29, 2020
- String Util Nearest Cities #1 (1, 2) - String Util Nearest Cities #2 (3, 4) - String Util Nearest Cities #3 (5, 6) - String Util Nearest Cities #4 (7, 8) - String Util Nearest Cities #5 (9, 10) - String Util Nearest Cities #6 (11, 12) - String Util Nearest Cities #7 (13, 14) - String Util Nearest Cities #8 (15, 16) - List Util Turnstile Processing #1 (17, 18) - List Util Turnstile Processing #2 (19, 20) - List Util Turnstile Processing #3 (21, 22) - List Util Turnstile Processing #4 (23, 24) - List Util Turnstile Processing #5 (25, 26) - List Util Turnstile Processing #6 (27, 28) - List Util Turnstile Processing #7 (29, 30) - List Util Turnstile Processing #8 (31, 32) - List Util Turnstile Processing #9 (33, 34) - List Util Turnstile Processing #10 (35, 36) - List Util Turnstile Processing #11 (37, 38) - List Util Turnstile Processing #12 (39, 40) - List Util Turnstile Processing #13 (41, 42) - List Util Turnstile Processing #14 (43, 44) - List Util Turnstile Processing #15 (45, 46) - List Util Turnstile Processing #16 (47, 48) - List Util Turnstile Processing #17 (49, 50) - Array Util Baseball Score #1 (51, 52) - Array Util Baseball Score #2 (53, 54) - Array Util Baseball Score #3 (55, 56) - Array Util Baseball Score #4 (57, 58) - Array Util Baseball Score #5 (59, 60) Bug Fixes/Re-organization: Samples:
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Aug 31, 2020
Bug Fixes/Re-organization: Samples: - String Util Partition Characters #1 (1, 2) - String Util Partition Characters #2 (3, 4) - String Util Partition Characters #3 (5, 6) - String Util Partition Characters #4 (7, 8) - String Util Partition Characters #5 (9, 10) - String Util Partition Characters #6 (11, 12) - String Util Partition Characters #7 (13, 14) - String Util Partition Characters #8 (15, 16) - String Util Partition Characters #9 (17, 18) - String Util Partition Characters #10 (19, 20) - String Util Partition Characters #11 (21, 22) - String Util Partition Characters #12 (23, 24) - String Util Partition Characters #13 (25, 26) - String Util Partition Characters #14 (27, 28) - String Util Partition Characters #15 (29, 30) - String Util Partition Characters #16 (31, 32) - Maximum Matrix Path Score #1 (33, 34) - Maximum Matrix Path Score #2 (35, 36) - Maximum Matrix Path Score #3 (37, 38) - Maximum Matrix Path Score #4 (39, 40) - Maximum Matrix Path Score #5 (41, 42) - Maximum Matrix Path Score #6 (43, 44) - Maximum Matrix Path Score #7 (45, 46) - Maximum Matrix Path Score #8 (47, 48) - Maximum Matrix Path Score #9 (49, 50) - Maximum Matrix Path Score #10 (51, 52) - Maximum Matrix Path Score #11 (53, 54) - Maximum Matrix Path Score #12 (55, 56) - Maximum Matrix Path Score #13 (57, 58) - String Util Longest Vowel Builder (59, 60)
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Sep 1, 2020
Bug Fixes/Re-organization: Samples: - String Util Longest Vowel #1 (1, 2) - String Util Longest Vowel #2 (3, 4) - String Util Longest Vowel #3 (5, 6) - String Util Longest Vowel #4 (7, 8) - String Util Longest Vowel #5 (9, 10) - String Util Longest Vowel #6 (11, 12) - String Util Longest Vowel #7 (13, 14) - String Util Longest Vowel #8 (15, 16) - String Util Longest Vowel #9 (17, 18) - String Util Longest Vowel #10 (19, 20) - String Util Longest Vowel #11 (21, 22) - String Util Longest Vowel #12 (23, 24) - String Util Longest Vowel #13 (25, 26) - String Util Longest Vowel #14 (27, 28) - String Util Longest Vowel #15 (29, 30) - String Util Longest Vowel #16 (31, 32) - List Util Nearest Offices #1 (33, 34) - List Util Nearest Offices #2 (35, 36) - List Util Nearest Offices #3 (37, 38) - List Util Nearest Offices #4 (39, 40) - List Util Nearest Offices #5 (41, 42) - List Util Nearest Offices #6 (43, 44) - List Util Nearest Offices #7 (45, 46) - List Util Nearest Offices #8 (47, 48) - List Util Nearest Offices #9 (49, 50) - List Util Nearest Offices #10 (51, 52) - Array Util Discounted Price #1 (53, 54) - Array Util Discounted Price #2 (55, 56) - Array Util Discounted Price #3 (57, 58) - Array Util Discounted Price #4 (59, 60)
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Sep 7, 2020
- Graph Connectivity and Connected Components (39) - Graph Connectivity Kosaraju SCC Shell (40, 41, 42) - Graph Core Network Transpose #1 (43, 44) - Graph Core Network Transpose #2 (45, 46) - Core Directed Graph Transpose #1 (47, 48) - Core Directed Graph Transpose #2 (49, 50) - Graph Connectivity Kosaraju SCC Network (51) - Graph Connectivity Kosaraju SCC Constructor (52, 53, 54) - Graph Connectivity Kosaraju Visitation #1 (55, 56) - Graph Connectivity Kosaraju Visitation #2 (57, 58) - Graph Connectivity Kosaraju Visitation #3 (59, 60) Bug Fixes/Re-organization: Samples: - Graph Util Critical Nodes #1 (1, 2) - Graph Util Critical Nodes #2 (3, 4) - Graph Util MSP Cost #1 (5, 6) - Graph Util MSP Cost #2 (7, 8) - Graph Util MSP Cost #3 (9, 10) - Graph Util MSP Cost #4 (11, 12) - Graph Util MSP Cost #5 (13, 14) - Graph Util MSP Cost #6 (15, 16) - Graph Util MSP Cost #7 (17, 18) - Graph Util MSP Cost #8 (19, 20) - Graph Util MSP Cost #9 (21, 22) - Graph Util MSP Cost #10 (23, 24) - Graph Util MSP Cost #11 (25, 26) - Graph Util MSP Cost #12 (27, 28) - Graph Util MSP Cost #13 (29, 30) - Graph Util MSP Cost #14 (31, 32) - Graph Util MSP Cost #15 (33, 34) - Graph Util MSP Cost #16 (35, 36) - Graph Util MSP Cost #17 (37, 38)
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Jan 8, 2023
Bug Fixes/Re-organization: - DROP Sample Entry Point Annotation #1 (1, 2, 3) - DROP Sample Entry Point Annotation #2 (4, 5, 6) - DROP Sample Entry Point Annotation #3 (7, 8, 9) - DROP Sample Entry Point Annotation #4 (10, 11, 12) - DROP Sample Entry Point Annotation #5 (13, 14, 15) - DROP Sample Entry Point Annotation #6 (16, 17, 18) - DROP Sample Entry Point Annotation #7 (19, 20, 21) - DROP Sample Entry Point Annotation #8 (22, 23, 24) - DROP Sample Entry Point Annotation #9 (25, 26, 27) - DROP Sample Entry Point Annotation #10 (28, 29, 30) - DROP Sample Entry Point Annotation #11 (31, 32, 33) - DROP Sample Entry Point Annotation #12 (34, 35, 36) - DROP Sample Entry Point Annotation #13 (37, 38, 39) - DROP Sample Entry Point Annotation #14 (40, 41, 42) - DROP Sample Entry Point Annotation #15 (43, 44, 45) - DROP Sample Entry Point Annotation #16 (46, 47, 48) - DROP Sample Entry Point Annotation #17 (49, 50, 51) - DROP Sample Entry Point Annotation #18 (52, 53, 54) - DROP Sample Entry Point Annotation #19 (55, 56, 57) - DROP Sample Entry Point Annotation #20 (58, 59, 60) Samples: IdeaDRIP:
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Jun 26, 2024
- Ryabenkii Tsynkov U Solution Array (5, 6) - Ryabenkii Tsynkov V Solution Array (9, 10) - Ryabenkii Tsynkov x1 Calculation #1 (11, 12) - Ryabenkii Tsynkov x1 Calculation #2 (13, 14) - Ryabenkii Tsynkov UV Solution #1 (15, 16) - Ryabenkii Tsynkov UV Solution #2 (17, 18, 19) - Sherman-Morrison Tridiagonal Periodic Solver (24, 25) - Sherman-Morrison Solver Square Matrix (26, 27) - Sherman-Morrison Solver RHS Matrix (28, 29) - Sherman-Morrison Solver Default Gamma (30) - Sherman-Morrison Tridiagonal Solver Gamma (31, 32) - Sherman-Morrison Tridiagonal Solver Constructor (33, 34, 35) - Sherman-Morrison Batista-Karawia Gamma (36) - Sherman-Morrison Batista-Karawia #1 (37, 38) - Sherman-Morrison Batista-Karawia #2 (39, 40) - Sherman-Morrison U RHS Array (45, 46, 47) - Sherman-Morrison V RHS Array (50, 51, 52) - Sherman-Morrison U Solution Array (55, 56) - Sherman-Morrison V Solution Array (57, 58) - Sherman-Morrison Q Solution Array (65, 66) - Sherman-Morrison Y Solution (67) - Sherman-Morrison Q Y #1 (70, 71, 72) - Sherman-Morrison Q Y #2 (73, 74, 75) - Standard Sherman-Morrison Tridiagonal Solver (99, 100, 101) - Sherman-Morrison Batista-Karawia #1 (102, 103) - Sherman-Morrison Batista-Karawia #2 (104, 105) - Ryabenkii Tsynkov UV Solution Robustness (112, 113) - Forward Sweep Back Substitution Robustness (116) Bug Fixes/Re-organization: - Ryabenkii Tsynkov V Array Fix (4) - Ryabenkii Tsynkov UV Array Fix (23) - RHS V Solution Array Fix (63, 64) - Sherman Morrison Batista-Karawia B (90, 91) - Regular/Periodic Tridiagonal Solver Schemes (115) Samples: - Ryabenkii Tsynkov Tridiagonal Run #1 (1, 2, 3) - Ryabenkii Tsynkov Tridiagonal Run #2 (7, 8) - Ryabenkii Tsynkov Tridiagonal Run #3 (11, 12) - Ryabenkii Tsynkov Tridiagonal Run #4 (20, 21, 22) - Batista-Karawia Tridiagonal Periodic #1 (41, 42) - Batista-Karawia Tridiagonal Periodic #2 (43, 44) - Batista-Karawia Tridiagonal Periodic #3 (48, 49) - Batista-Karawia Tridiagonal Periodic #4 (53, 54) - Batista-Karawia Tridiagonal Periodic #5 (59, 60) - Batista-Karawia Tridiagonal Periodic #6 (61, 62) - Batista-Karawia Tridiagonal Periodic #7 (68, 69) - Batista-Karawia Tridiagonal Periodic #8 (76, 77) - Batista-Karawia Tridiagonal Periodic #9 (78, 79) - Batista-Karawia Tridiagonal Periodic #10 (80, 81, 82) - Batista-Karawia Tridiagonal Periodic #11 (83, 84) - Batista-Karawia Tridiagonal Periodic #12 (85, 86) - Batista-Karawia Tridiagonal Periodic #13 (87, 88, 89) - Batista-Karawia Tridiagonal Periodic #14 (92, 93, 94) - Batista-Karawia Tridiagonal Periodic #15 (95, 96, 97) - Batista-Karawia Tridiagonal Periodic #16 (98) - Batista-Karawia Tridiagonal Periodic #17 (106, 107, 108) - Batista-Karawia Tridiagonal Periodic #18 (109, 110, 111) - Ryabenkii Tsynkov Tridiagonal Run #5 (114) - Forward Sweep Back Substitution Run (117) - Non-period Tridiagonal Solver Shell (118, 119, 120) IdeaDRIP:
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Jul 1, 2024
- Add State Response Snapshot #1 (1, 2) - Add State Response Snapshot #2 (3, 4) - CN Discretized Evolver 1D Solve #1 (13, 14) - CN Discretized Evolver 1D Solve #2 (15, 16) - R^1 State Response Snapshot - Shell (19, 20, 21) - R^1 State Response Snapshot - Array (22, 23, 24) - R^1 State Response Snapshot - Constructor (25, 26, 27) - R^1 Evolution Snapshot State Response (28, 29, 30) - R^1 State Response Snapshot Diagnostics #1 (34, 35, 36) - R^1 State Response Snapshot Diagnostics Time-shift Jacobian (37, 38, 39) - R^1 State Response Snapshot Diagnostics von-Neumann Stability Metric Array (40, 41) - R^1 State Response Snapshot Diagnostics Weighted Node Value Constraint Array (42, 43, 44) - R^1 State Response Snapshot Diagnostics - Constructor #1 (45, 46) - R^1 State Response Snapshot Diagnostics - Constructor #2 (47, 48) - R^1 State Response Snapshot Diagnostics #2 (49, 50, 51) - CN Discretized Evolver 1D Diagnostics On #1 (52, 53) - CN Discretized Evolver 1D Diagnostics On #2 (55, 56, 57) - CN Discretized Evolver 1D Diagnostics On #3 (58, 59, 60) - CN Discretized Evolver 1D Diagnostics On #4 (94, 95, 96) Bug Fixes/Re-organization: Samples: - Diffusion 1D Discretized Evolver #1 (5, 6, 7) - Diffusion 1D Discretized Evolver #2 (8, 9, 10) - Diffusion 1D Discretized Evolver #3 (11, 12) - Diffusion 1D Discretized Evolver #4 (17, 18) - Diffusion 1D Discretized Evolver #5 (31, 32, 33) - Diffusion 1D Discretized Evolver #6 (54) - Diffusion 1D Discretized Evolver #7 (61, 62, 63) - Diffusion 1D Discretized Evolver #8 (64, 65, 66) - Diffusion 1D Discretized Evolver #9 (67, 68, 69) - Diffusion 1D Discretized Evolver #10 (70, 71, 72) - Diffusion 1D Discretized Evolver #11 (73, 74, 75) - Diffusion 1D Discretized Evolver #12 (76, 77, 78) - Diffusion 1D Discretized Evolver #13 (79, 80, 81) - Diffusion 1D Discretized Evolver #14 (82, 83, 84) - Diffusion 1D Discretized Evolver #15 (85, 86, 87) - Diffusion 1D Discretized Evolver #16 (88, 89, 90) - Diffusion 1D Discretized Evolver #17 (91, 92, 93) - Diffusion 1D Discretized Evolver #18 (97, 98, 99) - Diffusion 1D Discretized Evolver #19 (100, 101, 102) - Diffusion 1D Discretized Evolver #20 (103, 104, 105) - Diffusion 1D Discretized Evolver #21 (106, 107, 108) - Diffusion 1D Discretized Evolver #22 (109, 110, 111) - Diffusion 1D Discretized Evolver #23 (112, 113, 114) - Diffusion 1D Discretized Evolver #24 (115, 116, 117) - Diffusion 1D Discretized Evolver #25 (118, 119, 120) IdeaDRIP:
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Jul 7, 2024
- Square Matrix is Triangularizable (1, 2) - Numerical R^1 -> R^1 Eigenvalue Characteristic Polynomial (3, 4, 5) - Square Matrix Eigenvalue Characteristic Polynomial (6, 7, 8) - Triangular Matrix Remove R2 Array (9, 10) - Triangular Matrix Zero Diagonal Entries (13, 14) - Triangular Matrix Is Uni Check (15, 16) - Triangular Matrix Is Triangularizable Check (19, 20) - Triangular Matrix Determinant and Permanent (21, 22) - Square Matrix Triangular Entries #1 (23, 24) - Square Matrix Triangular Entries #2 (25, 26) - Triangular Matrix Eigenvalue Multiplicity Map (27, 28, 29) - Triangular Matrix Eigenvalue Characteristic Polynomial (30, 31, 32) - Triangular Matrix Is Unit Check (33, 34) - Triangular Matrix Is Normed Check (35, 36) - Triangular Matrix Is Upper Unitriangular (37, 38) - Triangular Matrix Is Lower Unitriangular (39, 40) - Triangular Matrix Atomic Lower #1 (41, 42) - Triangular Matrix Atomic Lower #2 (43, 44) - Triangular Matrix Atomic Lower #3 (45, 46) - Triangular Matrix Atomic Upper #1 (47, 48) - Triangular Matrix Atomic Upper #2 (49, 50) - Triangular Matrix Is Atomic Unitriangular (51, 52) - Triangular Matrix Is Frobenius Unitriangular (53, 54) - Triangular Matrix Is Gauss Unitriangular (55, 56) - Triangular Matrix Gauss Transformation Unitriangular (57, 58) - Linear Algebra Triangular Matrix Constructor (59, 60) - Linear Algebra Triangular Matrix Standard (61, 62, 63) - Linear Algebra Triangular Matrix Type (64) - CRNG Random Matrix Generator Shell (65, 66) - Random Matrix Generator Upper Triangular (67, 68, 69) - Random Matrix Generator Lower Triangular (70, 71, 72) Bug Fixes/Re-organization: - Linear Algebra Triangular Matrix Revamp (11, 12) - Triangular Matrix Determinant/Permanent Revamp (17, 18) - Triangular Matrix Variants and Solutions (73, 74) Samples: - Lower Triangular Matrix Shell #1 (75, 76) - Lower Triangular Matrix Shell #2 (77, 78) - Lower Triangular Matrix Shell #3 (79, 80, 81) - Lower Triangular Matrix Shell #4 (82, 83, 84) - Lower Triangular Matrix Shell #5 (85, 86, 87) - Lower Triangular Matrix Shell #6 (88, 89, 90) - Lower Triangular Matrix Shell #7 (91, 92, 93) - Lower Triangular Matrix Shell #8 (94, 95, 96) - Lower Triangular Matrix Shell #9 (97, 98, 99) - Lower Triangular Matrix Shell #10 (100, 101, 102) - Lower Triangular Matrix Shell #11 (103, 104, 105) - Lower Triangular Matrix Shell #12 (106, 107, 108) - Lower Triangular Matrix Shell #13 (109, 110, 111) - Lower Triangular Matrix Shell #14 (112, 113, 114) - Lower Triangular Matrix Shell #15 (115, 116, 117) - Lower Triangular Matrix Shell #16 (118, 119, 120) IdeaDRIP:
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Jul 7, 2024
- Random Matrix Generator Lower Unitriangular (82, 83, 84) - Random Matrix Generator Strictly Lower Triangular (106, 107, 108) - Random Matrix Generator Strictly Upper Triangular (109, 110, 111) Bug Fixes/Re-organization: - Upper/Lower Triangular Check #1 (64, 65, 66) - Upper/Lower Triangular Check #2 (67, 68, 69) - Upper/Lower Triangular Check #3 (70, 71, 72) Samples: - Lower Triangular Matrix Run #1 (1, 2, 3) - Lower Triangular Matrix Run #2 (4, 5, 6) - Lower Triangular Matrix Run #3 (7, 8, 9) - Lower Triangular Matrix Run #4 (10, 11, 12) - Lower Triangular Matrix Run #5 (13, 14, 15) - Lower Triangular Matrix Run #6 (16, 17, 18) - Lower Triangular Matrix Run #7 (19, 20, 21) - Lower Triangular Matrix Run #8 (22, 23, 24) - Lower Triangular Matrix Run #9 (25, 26, 27) - Lower Triangular Matrix Run #10 (28, 29, 30) - Lower Triangular Matrix Run #11 (31, 32, 33) - Lower Triangular Matrix Run #12 (34, 35, 36) - Lower Triangular Matrix Run #13 (37, 38, 39) - Lower Triangular Matrix Run #14 (40, 41, 42) - Lower Triangular Matrix Run #15 (43, 44, 45) - Lower Triangular Matrix Run #16 (46, 47, 48) - Lower Triangular Matrix Run #17 (49, 50, 51) - Lower Triangular Matrix Run #18 (52, 53, 54) - Lower Triangular Matrix Run #19 (55, 56, 57) - Lower Triangular Matrix Run #20 (58, 59, 60) - Lower Triangular Matrix Run #21 (61, 62, 63) - Lower Triangular Matrix Run #22 (73, 74, 75) - Lower Triangular Matrix Run #23 (76, 77, 78) - Lower Triangular Matrix Run #24 (79, 80, 81) - Lower Unitriangular Matrix Run #1 (82, 83, 84) - Lower Unitriangular Matrix Run #2 (85, 86, 87) - Lower Unitriangular Matrix Run #3 (88, 89, 90) - Lower Unitriangular Matrix Run #4 (91, 92, 93) - Upper Unitriangular Matrix Run #5 (94, 95, 96) - Upper Unitriangular Matrix Run #6 (97, 98, 99) - Upper Unitriangular Matrix Run #7 (100, 101, 102) - Upper Unitriangular Matrix Run #8 (103, 104, 105) - Upper Strictly Lower Triangular #1 (112, 113, 114) - Upper Strictly Lower Triangular #2 (115, 116, 117) - Upper Strictly Lower Triangular #3 (118, 119, 120) IdeaDRIP:
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Jul 9, 2024
- Matrix Util Graham Schmidt #1 (1, 2, 3) - Matrix Util Graham Schmidt #2 (4, 5, 6) - Matrix Util Graham Schmidt #3 (7, 8, 9) - Matrix Util Modulus Internal Unchecked (10, 11, 12) - Matrix Util Graham Schmidt #4 (13, 14, 15) Bug Fixes/Re-organization: - Matrix Graham Schmidt Process Run (16, 17) - Matrix Util QR Decomposition Fix (37, 38, 39) Samples: - Bartels Stewart Sylvester Solver #1 (18, 19, 20) - Bartels Stewart Sylvester Solver #2 (21, 22) - Matrix Graham Schmidt Process #1 (23, 24) - Matrix Graham Schmidt Process #2 (25, 26) - Matrix Graham Schmidt Process #3 (27, 28) - Bartels Stewart Sylvester Solver #3 (29, 30) - Matrix Graham Schmidt Process #4 (31, 32) - Matrix Graham Schmidt Process #5 (33, 34) - Bartels Stewart Sylvester Solver #4 (35, 36) - Matrix Graham Schmidt Process #6 (40, 41, 42) - Matrix Graham Schmidt Process #7 (43, 44, 45) - Matrix Graham Schmidt Process #8 (46, 47, 48) - Matrix Graham Schmidt Process #9 (49, 50, 51) - Matrix Graham Schmidt Process #10 (52, 53, 54) - Matrix Graham Schmidt Process #11 (55, 56, 57) - Matrix Graham Schmidt Process #12 (58, 59, 60) - Matrix Graham Schmidt Process #13 (61, 62, 63) - Matrix Graham Schmidt Process #14 (64, 65, 66) - Matrix Graham Schmidt Process #15 (67, 68, 69) - Matrix Graham Schmidt Process #16 (70, 71, 72) - Matrix Graham Schmidt Process #17 (73, 74, 75) - Matrix Graham Schmidt Process #18 (76, 77, 78) - Matrix Graham Schmidt Process #19 (79, 80, 81) - Bartels Stewart Sylvester Solver #5 (85, 86, 87) - Bartels Stewart Sylvester Solver #6 (88, 89, 90) IdeaDRIP: - Bartels-Stewart Algorithm (91-97) - Bartels-Stewart Algorithm The (98-117) - Bartels-Stewart Algorithm The - Computational Cost (118) - Bartels-Stewart Algorithm The - Simplifications and Special Cases (119, 120)
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Jul 13, 2024
- Bartels-Stewart Algorithm Diagnostics #1 (63, 64) - Bartels-Stewart Algorithm Diagnostics #2 (65, 66) - Sylvester Equation Solution Annotated Shell (67, 68, 69) Bug Fixes/Re-organization: - Numerical Analyzer Bartels-Stewart Algorithm (62) Samples: - QR Decomposition Matrix Util (63, 64) - Graham Schmidt Matrix Orthonormalization Process (70, 71, 72) - Bartels-Stewart Algorithm Run #1 (73, 74, 75) - Bartels-Stewart Algorithm Run #2 (76, 77, 78) - Bartels-Stewart Algorithm Run #3 (79, 80) - Bartels-Stewart Algorithm Run #4 (81, 82) - Bartels-Stewart Algorithm Run #5 (83, 84) - Bartels-Stewart Algorithm Run #6 (85, 86, 87) - Bartels-Stewart Algorithm Run #7 (88, 89, 90) - Bartels-Stewart Algorithm Run #8 (91, 92, 93) - Bartels-Stewart Algorithm Run #9 (94, 95, 96) - Bartels-Stewart Algorithm Run #10 (97, 98, 99) - Bartels-Stewart Algorithm Run #11 (100, 101, 102) - Bartels-Stewart Algorithm Run #12 (103, 104, 105) - Bartels-Stewart Algorithm Run #13 (106, 107, 108) - Bartels-Stewart Algorithm Run #14 (109, 110, 111) - Bartels-Stewart Algorithm Run #15 (112, 113, 114) - Bartels-Stewart Algorithm Run #16 (115, 116, 117) - Bartels-Stewart Algorithm Run #17 (118, 119, 120) IdeaDRIP: - Alternating-direction Implicit Method Fundamental ADI (FADI) - Relations to other methods (1) - Bartels-Stewart Algorithm #1 (2-7) - The Bartels-Stewart Algorithm #1 (8-27) - Bartels-Stewart Algorithm Hessenberg-Schur #1 (28-31) - Bartels-Stewart Algorithm #2 (32-37) - The Bartels-Stewart Algorithm #2 (38-57) - Bartels-Stewart Algorithm Hessenberg-Schur #2 (58-61)
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Dec 22, 2024
Bug Fixes/Re-organization: - Service State Bond Replicator - Constructor #1 (1, 2, 3) - Service State Bond Replicator - Constructor #2 (4, 5, 6) - Service State Bond Replicator - Constructor #3 (7, 8, 9) - Service State Bond Replicator - Constructor #4 (10, 11, 12) - Service State Bond Replicator - Constructor #5 (13, 14, 15) - Service State Bond Replicator - Constructor #6 (16, 17, 18) - Service State Bond Replicator - Constructor #7 (19) - Service State Bond Replicator - Generate Run #1 (20, 21, 22) - Service State Bond Replicator - Generate Run #2 (23, 24, 25) - Service State Bond Replicator - Generate Run #3 (26, 27, 28) - Service State Bond Replicator - Generate Run #4 (29, 30, 31) - Service State Bond Replicator - Generate Run #5 (32, 33, 34) - Service State Bond Replicator - Generate Run #6 (35, 36, 37) - Service State Bond Replicator - Generate Run #7 (38, 39, 40) - Service State Bond Replicator - Generate Run #8 (41, 42, 43) - Service State Bond Replicator - Generate Run #9 (44, 45, 46) - Service State Bond Replicator - Generate Run #10 (47, 48, 49) - Service State Bond Replicator - Generate Run #11 (50, 51, 52) - Service State Bond Replicator - Generate Run #12 (53, 54, 55) - Service State Bond Replicator - Generate Run #13 (56, 57, 58) - Service State Bond Replicator - Generate Run #14 (59, 60, 61) - Service State Bond Replicator - Generate Run #15 (62, 63, 64) - Service State Bond Replicator - Generate Run #16 (65, 66, 67) - Service State Bond Replicator - Generate Run #17 (68, 69, 70) - Service State Bond Replicator - Generate Run #18 (71, 72, 73) - Service State Bond Replicator - Generate Run #19 (74, 75, 76) - Service State Bond Replicator - Generate Run #20 (77, 78, 79) - Service State Bond Replicator - Generate Run #21 (80, 81, 82) - Service State Bond Replicator - Generate Run #22 (83, 84, 85) - Service State Bond Replicator - Generate Run #23 (86, 87, 88) - Service State Bond Replicator - Generate Run #24 (89, 90, 91) - Service State Bond Replicator - Generate Run #25 (92, 93, 94) - Service State Bond Replicator - Generate Run #26 (95, 96, 97) - Service State Bond Replicator - Generate Run #27 (98, 99, 100) - Service State Bond Replicator - Stubs #1 (101, 102) - Service State Bond Replicator - Stubs #2 (103, 104, 105) - Service State Bond Replicator - Stubs #3 (106, 107, 108) - Service State Bond Replicator - Stubs #4 (109, 110, 111) - Service State Bond Replicator - Stubs #5 (112, 113, 114) - Service State Bond Replicator - Stubs #6 (115, 116, 117) - Service State Bond Replicator - Stubs #7 (118, 119, 120) Samples: IdeaDRIP:
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Dec 30, 2024
- Buy Only Allocation - Random Holdings #1 (1, 2) - Buy Only Allocation - Random Holdings #2 (3, 4) - Holdings Container - Marker Cash Value (5) - Buy Only Allocator - Run #1 (6) - Buy Only Allocator - Run #2 (7, 8, 9) - Buy Only Allocator - Run #3 (10, 11, 12) - Buy Only Allocator - Run #4 (13, 14, 15) - Buy Only Allocator - Run #5 (16, 17, 18) - Buy Only Allocator - Run #6 (19, 20, 21) - Buy Only Allocator - Run #7 (22, 23, 24) - Buy Only Allocator - Run #8 (25) - Holdings Container - Cash Weight #1 (26, 27) - Holdings Container - Cash Weight #2 (28, 29, 30) - Holdings Container - Cash Weight #3 (31, 32) - Buy Only Allocator - Run #9 (33, 34) - Buy Only Allocator - Run #10 (35, 36) - Buy Only Allocator - Run #11 (37, 38, 39) - Buy Only Allocator - Run #12 (40, 41, 42) - Buy Only Allocator - Run #13 (43, 44, 45) - Buy Only Allocator - Run #14 (46, 47, 48) - Buy Only Allocator - Run #15 (49, 50, 51) - Buy Only Allocator - Run #16 (52, 53, 54) - Buy Only Allocator - Run #17 (55, 56, 57) - Buy Only Allocator - Run #18 (58, 59, 60) - Buy Only Allocator - Run #19 (61, 62, 63) - Buy Only Allocator - Run #20 (64, 65, 66) - Buy Only Allocator - Run #21 (67, 68, 69) - Buy Only Allocator - Run #22 (70, 71, 72) - Buy Only Allocator - Run #23 (73, 74, 75) - Buy Only Allocator - Run #24 (76, 77, 78) - Buy Only Allocator - Run #25 (79, 80, 81) - Buy Only Allocator - Run #26 (82, 83, 84) - Buy Only Allocator - Run #27 (85, 86, 87) - Service Env Invocation Manager 2025 (88) - Lean Portfolio Construction - Full Sequence Allocation (89, 90, 91) - Full Sequence Allocation - Starting Holdings #1 (92, 93) - Full Sequence Allocation - Starting Holdings #2 (94, 95, 96) - Full Sequence Allocation - Ending Holdings #1 (97, 98, 99) - Full Sequence Allocation - Ending Holdings #2 (100, 101) - Full Sequence Allocation - Constructor #1 (102, 103) - Full Sequence Allocation - Constructor #2 (104, 105) - Full Sequence Allocation - Constructor #3 (106, 107, 108) - Lean Portfolio Construction - Full Sequence Allocator (109, 110, 111) - Full Sequence Allocator - Post-processor Settings #1 (112, 113, 114) - Full Sequence Allocator - Post-processor Settings #2 (115, 116) - Full Sequence Allocator - Constructor #1 (117, 118) - Full Sequence Allocator - Constructor #2 (119, 120) Bug Fixes/Re-organization: Samples: IdeaDRIP:
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Jan 12, 2025
- Full Sequence Allocator - Diagnostics On (1, 2, 3) - Full Sequence Allocation - Trades Container #1 (10, 11) - Full Sequence Allocation - Trades Container #2 (12, 13) Bug Fixes/Re-organization: Samples: - Buy Only Allocation - Run #1 (4, 5, 6) - Buy Only Allocation - Run #2 (7, 8, 9) - Buy Only Allocation - Run #3 (14, 15) - Buy Only Allocation - Run #4 (16, 17, 18) - Buy Only Allocation - Run #5 (19, 20, 21) - Buy Only Allocation - Run #6 (22, 23, 24) - Buy Only Allocation - Run #7 (25, 26, 27) - Buy Only Allocation - Run #8 (28, 29, 30) - Buy Only Allocation - Run #9 (31, 32, 33) - Buy Only Allocation - Run #10 (34, 35, 36) - Buy Only Allocation - Run #11 (37, 38, 39) - Buy Only Allocation - Run #12 (40, 41, 42) - Buy Only Allocation - Run #13 (43, 44, 45) - Buy Only Allocation - Run #14 (46, 47, 48) - Buy Only Allocation - Run #15 (49, 50, 51) - Buy Only Allocation - Run #16 (52, 53, 54) - Buy Only Allocation - Run #17 (55, 56, 57) - Buy Only Allocation - Run #18 (58, 59, 60) - Buy Only Allocation - Run #19 (61, 62, 63) - Buy Only Allocation - Run #20 (64, 65, 66) - Buy Only Allocation - Run #21 (67, 68, 69) - Buy Only Allocation - Run #22 (70, 71, 72) - Buy Only Allocation - Run #23 (73, 74, 75) - Buy Only Allocation - Run #24 (76, 77, 78) - Buy Only Allocation - Run #25 (79, 80, 81) - Buy Only Allocation - Run #26 (82, 83, 84) - Buy Only Allocation - Run #27 (85, 86, 87) - Buy Only Allocation - Run #28 (88, 89, 90) - Buy Only Allocation - Run #29 (91, 92, 93) - Buy Only Allocation - Run #30 (94, 95) - Sell Only Allocation - Run #1 (96) - Sell Only Allocation - Run #2 (97, 98, 99) - Sell Only Allocation - Run #3 (100, 101, 102) - Sell Only Allocation - Run #4 (103, 104, 105) - Sell Only Allocation - Run #5 (106, 107, 108) - Sell Only Allocation - Run #6 (109, 110, 111) - Sell Only Allocation - Run #7 (112, 113, 114) - Sell Only Allocation - Run #8 (115, 116, 117) - Sell Only Allocation - Run #9 (118, 119, 120) IdeaDRIP:
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Jan 18, 2025
Bug Fixes/Re-organization: Samples: - Sell Only Allocation - Run #1 (1, 2, 3) - Sell Only Allocation - Run #2 (4, 5, 6) - Sell Only Allocation - Run #3 (7, 8, 9) - Sell Only Allocation - Run #4 (10, 11, 12) - Sell Only Allocation - Run #5 (13, 14, 15) - Sell Only Allocation - Run #6 (16, 17, 18) - Sell Only Allocation - Run #7 (19, 20, 21) - Sell Only Allocation - Run #8 (22, 23, 24) - Sell Only Allocation - Run #9 (25, 26, 27) - Sell Only Allocation - Run #10 (28, 29, 30) - Sell Only Allocation - Run #11 (31, 32, 33) - Sell Only Allocation - Run #12 (34, 35, 36) - Sell Only Allocation - Run #13 (37) - Service Product Overnight Index Swap API #1 (38, 39, 40) - Service Product Overnight Index Swap API - Valuation Matrics (41, 42, 43) - Service Product Overnight Index Swap API #2 (44) - Service Product Treasury API #1 (45, 46, 47) - Service Product Treasury API - Horizon Change Attribution #1 (48) - Service Product Treasury API - Horizon Change Attribution #2 (49, 50, 51) - Service Product Treasury API - Horizon Change Attribution #3 (52, 53, 54) - Service Product Treasury API - Horizon Change Attribution #4 (55, 56, 57) - Service Product Treasury API - Horizon Change Attribution #5 (58, 59, 60) - Service Product Treasury API - Horizon Change Attribution #6 (61, 62, 63) - Service Product Treasury API - Horizon Change Attribution #7 (64, 65, 66) - Service Product Treasury API - Horizon Change Attribution #8 (67, 68, 69) - Service Product Treasury API - Horizon Change Attribution #9 (70, 71, 72) - Service Product Treasury API - Horizon Change Attribution #10 (73, 74, 75) - Service Product Treasury API - Horizon Change Attribution #11 (76, 77, 78) - Service Product Treasury API - Horizon Change Attribution #12 (79, 80, 81) - Service Product Treasury API - Horizon Change Attribution #13 (82, 83, 84) - Service Product Treasury API - Horizon Change Attribution #14 (85, 86, 87) - Service Product Treasury API - Horizon Change Attribution #15 (88, 89, 90) - Service Product Treasury API - Horizon Change Attribution #16 (91, 92, 93) - Service Product Treasury API - Horizon Change Attribution #17 (94, 95, 96) - Service Product Treasury API - Horizon Change Attribution #18 (97, 98, 99) - Service Product Treasury API - Horizon Change Attribution #19 (100, 101, 102) - Service Product Treasury API - Horizon Change Attribution #20 (103, 104, 105) - Service Product Treasury API - Horizon Change Attribution #21 (106, 107, 108) - Service Product Treasury API - Horizon Change Attribution #22 (109) - Service Product Treasury API #2 (110, 111, 112) - Service Product Treasury Futures API #1 (113, 114, 115) - Service Product Treasury Futures API - Valuation Metrics #1 (116, 117) - Service Product Treasury Futures API - Valuation Metrics #2 (118, 119, 120) IdeaDRIP:
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Jan 18, 2025
Bug Fixes/Re-organization: Samples: - Service Product Treasury Futures API - Horizon Change Attribution #1 (1, 2, 3) - Service Product Treasury Futures API - Horizon Change Attribution #2 (4, 5, 6) - Service Product Treasury Futures API - Horizon Change Attribution #3 (7, 8) - Service Product Treasury Futures API - Horizon Key Rate Attribution #1 (9, 10, 11) - Service Product Treasury Futures API - Horizon Key Rate Attribution #2 (12, 13, 14) - Service Product Treasury Futures API - Horizon Key Rate Attribution #3 (15, 16, 17) - Service Product Treasury Futures API - Horizon Key Rate Attribution #4 (18, 19, 20) - Service Product Treasury Futures API - Horizon Key Rate Attribution #5 (21, 22, 23) - Service Product Treasury Futures API - Horizon Key Rate Attribution #6 (24, 25, 26) - Service Product Treasury Futures API - Horizon Key Rate Attribution #7 (27, 28, 29) - Service Product Treasury Futures API - Horizon Key Rate Attribution #8 (30, 31, 32) - Service Product Treasury Futures API - Horizon Key Rate Attribution #9 (33, 34, 35) - Service Product Treasury Futures API - Horizon Key Rate Attribution #10 (36, 37, 38) - Service Product Treasury Futures API - Horizon Key Rate Attribution #11 (39, 40, 41) - Service Product Treasury Futures API - Horizon Key Rate Attribution #12 (42, 43, 44) - Service Product Treasury Futures API - Horizon Key Rate Attribution #13 (45, 46, 47) - Service Product Treasury Futures API - Horizon Key Rate Attribution #14 (48, 49, 50) - Service Product Treasury Futures API - Horizon Key Rate Attribution #15 (51, 52, 53) - Service Product Treasury Futures API - Horizon Key Rate Attribution #16 (54, 55, 56) - Service Product Treasury Futures API - Horizon Key Rate Attribution #17 (57, 58, 59) - Service Product Treasury Futures API - Horizon Key Rate Attribution #18 (60, 61, 62) - Service Product Treasury Futures API #1 (63, 64) - Service Product Treasury Futures API #2 (65, 66) - Service JSON Parser Container Factory #1 (67, 68, 69) - Service JSON Parser Container Factory - Create Object Container (70) - Service JSON Parser Container Factory - Create Array Container (71) - Service JSON Parser Container Factory #2 (72, 73) - Service JSON Parser Content Handler #1 (74, 75, 76) - Service JSON Parser Content Handler - Start (77) - Service JSON Parser Content Handler - End (78) - Service JSON Parser Content Handler - Start Object (79) - Service JSON Parser Content Handler - End Object (80) - Service JSON Parser Content Handler - Start Object Entry (81) - Service JSON Parser Content Handler - End Object Entry (82) - Service JSON Parser Content Handler - Start Array (83) - Service JSON Parser Content Handler - End Array (84) - Service JSON Parser Content Handler - Primitive (85) - Service JSON Parser Content Handler #2 (86, 87, 88) - Service JSON Parser Content Handler #3 (89, 90, 91) - Service JSON Parser Content Handler #4 (92, 93, 94) - Service JSON Parser Converter #1 (95, 96, 97) - Service JSON Parser Converter - String Entry #1 (98, 99) - Service JSON Parser Converter - String Entry #2 (100, 101, 102) - Service JSON Parser Converter - String Entry Array #1 (103, 104, 105) - Service JSON Parser Converter - String Entry Array #2 (106, 107, 108) - Service JSON Parser Converter - String Entry Array #3 (109, 110, 111) - Service JSON Parser Converter - Date Entry (112, 113) - Service JSON Parser Converter - Date Entry Array #1 (114, 115) - Service JSON Parser Converter - Date Entry Array #2 (116, 117) - Service JSON Parser Converter - Date Entry Array #3 (118, 119, 120) IdeaDRIP:
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Bug Fixes/Re-organization: Samples: - Service JSON Parser Lexical Processor - Peek Status (1, 2) - Service JSON Parser Lexical Processor - Reset #1 (3, 4, 5) - Service JSON Parser Lexical Processor - Reset #2 (6, 7) - Service JSON Parser Lexical Processor - Get Position (8) - Service JSON Parser Lexical Processor - Next Token (9, 10, 11) - Service JSON Parser Lexical Processor - Parse #1 (12, 13, 14) - Service JSON Parser Lexical Processor - Parse #2 (15, 16, 17) - Service JSON Parser Lexical Processor - Parse #3 (18, 19, 20) - Service JSON Parser Lexical Processor - Parse #4 (21, 22, 23) - Service JSON Parser Lexical Processor - Parse #5 (24, 25, 26) - Service JSON Parser Lexical Processor - Parse #6 (27, 28, 29) - Service JSON Parser Lexical Processor - Parse #7 (30, 31, 32) - Service JSON Parser Lexical Processor - Parse #8 (33, 34, 35) - Service JSON Parser Lexical Processor - Parse #9 (36, 37, 38) - Service JSON Parser Lexical Processor - Parse #10 (39, 40, 41) - Service JSON Parser Lexical Processor - Parse #11 (42, 43, 44) - Service JSON Parser Lexical Processor - Parse #12 (45, 46, 47) - Service JSON Parser Lexical Processor - Parse #13 (48, 49, 50) - Service JSON Parser Lexical Processor - Parse #14 (51, 52, 53) - Service JSON Parser Lexical Processor - Parse #15 (54, 55, 56) - Service JSON Parser Lexical Processor - Parse #16 (57, 58, 59) - Service JSON Parser Lexical Processor - Parse #17 (60, 61, 62) - Service JSON Parser Lexical Processor - Parse #18 (63, 64, 65) - Service JSON Parser Lexical Processor - Parse #19 (66, 67, 68) - Service JSON Parser Lexical Processor - Parse #20 (69, 70, 71) - Service JSON Parser Lexical Processor - Parse #21 (72, 73, 74) - Service JSON Parser Lexical Processor - Parse #23 (75, 76) - Service JSON Parser Lexical Processor - Create Object Container #1 (77, 78) - Service JSON Parser Lexical Processor - Create Object Container #2 (79, 80, 81) - Service JSON Parser Lexical Processor - Create Array Container #1 (82, 83, 84) - Service JSON Parser Lexical Processor - Create Array Container #2 (85, 86) - Service JSON Parser Lexical Processor - Parse #24 (87, 88) - Service JSON Parser Lexical Processor - Parse #25 (89, 90) - Service JSON Parser Lexical Processor - Parse #26 (91, 92, 93) - Service JSON Parser Lexical Processor - Parse #27 (94, 95, 96) - Service JSON Parser Lexical Processor - Parse #28 (97, 98, 99) - Service JSON Parser Lexical Processor - Parse #29 (100, 101, 102) - Service JSON Parser Lexical Processor - Parse #30 (103, 104, 105) - Service JSON Parser Lexical Processor - Parse #31 (106, 107, 108) - Service JSON Parser Lexical Processor - Parse #32 (109, 110, 111) - Service JSON Parser Lexical Processor - Parse #33 (112, 113, 114) - Service JSON Parser Lexical Processor - Parse #34 (115, 116, 117) - Service JSON Parser Lexical Processor - Parse #35 (118, 119, 120) IdeaDRIP:
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Bug Fixes/Re-organization: Samples: - Service JSON Parser YY Lex YY - Char At (1, 2) - Service JSON Parser YY Lex YY - Length (3, 4) - Service JSON Parser YY Lex YY - ZZ Scan Error (5, 6, 7) - Service JSON Parser YY Lex YY - Push Back (8, 9, 10) - Service JSON Parser YY Lex #1 (11, 12) - Service JSON Parser YY Lex #2 (13, 14, 15) - Service JSON Parser YY Lex #3 (16, 17, 18) - Service JSON Parser YY Lex #4 (19, 20, 21) - Service JSON Parser YY Lex #5 (22, 23, 24) - Service JSON Parser YY Lex #6 (25, 26, 27) - Service JSON Parser YY Lex #7 (28, 29, 30) - Service JSON Parser YY Lex #8 (31, 32, 33) - Service JSON Parser YY Lex #9 (34, 35, 36) - Service JSON Parser YY Lex #10 (37, 38, 39) - Service JSON Parser YY Lex #11 (40, 41, 42) - Service JSON Parser YY Lex #12 (43, 44, 45) - Service JSON Parser YY Lex #13 (46, 47, 48) - Service JSON Parser YY Lex #14 (49, 50, 51) - Service JSON Parser YY Lex #15 (52, 53, 54) - Service JSON Parser YY Lex #16 (55, 56, 57) - Service JSON Parser YY Lex #17 (58, 59, 60) - Service JSON Parser YY Lex #18 (61, 62, 63) - Service JSON Parser YY Lex #19 (64, 65, 66) - Service JSON Parser YY Lex #20 (67, 68, 69) - Service JSON Parser YY Lex #21 (70, 71, 72) - Service JSON Parser YY Lex #22 (73, 74, 75) - Service JSON Parser YY Lex #23 (76, 77, 78) - Service JSON Parser YY Lex #24 (79, 80, 81) - Service JSON Parser YY Lex #25 (82, 83, 84) - Service JSON Parser YY Lex #26 (85, 86, 87) - Service JSON Parser YY Lex #27 (88, 89, 90) - Service JSON Parser YY Lex #28 (91, 92) - Service JSON Bond Processor (93, 94, 95) - Service JSON Bond Processor - Secular Metrics #1 (96, 97) - Service JSON Bond Processor - Secular Metrics #2 (98, 99) - Service JSON Bond Processor - Secular Metrics #3 (100, 101, 102) - Service JSON Bond Processor - Secular Metrics #4 (103, 104, 105) - Service JSON Bond Processor - Secular Metrics #5 (106, 107, 108) - Service JSON Bond Processor - Secular Metrics #6 (109, 110, 111) - Service JSON Bond Processor - Secular Metrics #7 (112, 113, 114) - Service JSON Bond Processor - Secular Metrics #8 (115, 116, 117) - Service JSON Bond Processor - Secular Metrics #9 (118, 119, 120) IdeaDRIP:
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Bug Fixes/Re-organization: Samples: - Service JSON Date Processor #1 (1, 2) - Service JSON Date Processor - Is Holiday #1 (3, 4) - Service JSON Date Processor - Is Holiday #2 (5, 6) - Service JSON Date Processor - Is Holiday #3 (7, 8, 9) - Service JSON Date Processor - Adjust Business Days #1 (10, 11, 12) - Service JSON Date Processor - Adjust Business Days #2 (13, 14, 15) - Service JSON Date Processor - Adjust Business Days #3 (16, 17) - Service JSON Date Processor - Adjust Days #1 (18, 10) - Service JSON Date Processor - Adjust Days #2 (20, 21) - Service JSON Date Processor - Adjust Days #3 (22, 23, 24) - Service JSON Date Processor #2 (25, 26, 27) - Service JSON Deposit Processor #1 (28, 29, 30) - Service JSON Deposit Processor - Curve Metrics #1 (31, 32, 33) - Service JSON Deposit Processor - Curve Metrics #2 (34, 35, 36) - Service JSON Deposit Processor - Curve Metrics #3 (37, 38, 39) - Service JSON Deposit Processor - Curve Metrics #4 (40, 41, 42) - Service JSON Deposit Processor - Curve Metrics #5 (43, 44, 45) - Service JSON Deposit Processor - Curve Metrics #6 (46, 47, 48) - Service JSON Deposit Processor - Curve Metrics #7 (49, 50, 51) - Service JSON Deposit Processor - Curve Metrics #8 (52, 53) - Service JSON Deposit Processor #2 (54) - Service JSON Fixed Asset Backed Processor #1 (55, 56, 57) - Service JSON Fixed Asset Backed Processor - Secular Metrics #1 (58, 59, 60) - Service JSON Fixed Asset Backed Processor - Secular Metrics #2 (61, 62, 63) - Service JSON Fixed Asset Backed Processor - Secular Metrics #3 (64, 65, 66) - Service JSON Fixed Asset Backed Processor - Secular Metrics #4 (67, 68, 69) - Service JSON Fixed Asset Backed Processor - Secular Metrics #5 (70, 71, 72) - Service JSON Fixed Asset Backed Processor - Secular Metrics #6 (73, 74, 75) - Service JSON Fixed Asset Backed Processor - Secular Metrics #7 (76, 77, 78) - Service JSON Fixed Asset Backed Processor - Secular Metrics #8 (79, 80, 81) - Service JSON Fixed Asset Backed Processor - Secular Metrics #9 (82, 83, 84) - Service JSON Fixed Asset Backed Processor - Secular Metrics #10 (85, 86, 87) - Service JSON Fixed Asset Backed Processor - Secular Metrics #11 (88, 89, 90) - Service JSON Fixed Asset Backed Processor - Secular Metrics #12 (91, 92, 93) - Service JSON Fixed Asset Backed Processor - Secular Metrics #13 (94, 95, 96) - Service JSON Fixed Asset Backed Processor - Secular Metrics #14 (97, 98, 99) - Service JSON Fixed Asset Backed Processor - Secular Metrics #15 (100, 101, 102) - Service JSON Fixed Asset Backed Processor - Secular Metrics #16 (103, 104, 105) - Service JSON Fixed Asset Backed Processor - Secular Metrics #17 (106, 107, 108) - Service JSON Fixed Asset Backed Processor - Secular Metrics #18 (109, 110, 111) - Service JSON Fixed Asset Backed Processor - Secular Metrics #19 (112, 113) - Service JSON Fixed Asset Backed Processor - Secular Metrics #20 (114, 115) - Service JSON Fixed Asset Backed Processor #2 (116) - Service JSON Fixed Float Processor (117, 118, 119) - Service JSON Fixed Float Processor - Curve Metrics (120) IdeaDRIP:
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BurgardKjaerEdge holds the Underlier Stochastic and the Credit Risk Free Components of the XVA Derivative Value Growth, as laid out in Burgard and Kjaer (2014). The References are:
Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
Cesari, G., J. Aquilina, N. Charpillon, X. Filipovic, G. Lee, and L. Manda (2009): Modeling, Pricing, and Hedging Counter-party Credit Exposure - A Technical Guide Springer Finance New York
Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102
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