Add bermudan regression based on exercise trigger #60
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Codecov ReportAll modified and coverable lines are covered by tests ✅
Additional details and impacted files@@ Coverage Diff @@
## main #60 +/- ##
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Coverage 98.17% 98.17%
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Files 61 61
Lines 3287 3296 +9
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+ Hits 3227 3236 +9
Misses 60 60 ☔ View full report in Codecov by Sentry. |
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This PR amends the AMC regression strategy for Bermudan swaptions. The new (default) methodology uses regression on exercise trigger. This improves sensitivity calculation.