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AAD sensitivities in the Bermudan swaption and CDS examples - #32
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Uses the implicit function theorem at the calibrated parameters instead of differentiating the optimizer.
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The Bermudan swaption and CDS examples gain a section that computes their sensitivities with AAD, through the model calibration and the hazard-rate bootstrap respectively.
Changes
Python/examples/bermudan-swaption.py: vegas of a Bermudan swaption to each calibration volatility through the Hull-White calibration, using the implicit function theorem at the calibrated parameters instead of differentiating the optimizer; the calibration runs to the optimum so the vegas are accuratePython/examples/cds.py: sensitivities of a CDS to the quoted spreads, risk-free rate, recovery, coupon and nominal through the hazard-rate bootstrap, next to central differencesCloses #17, closes #18.