wegamekinglc / Derivatives-Algorithms-Lib / 36131645535

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: add retrained-policy LSMC AAD sensitivities (#432)

* Add retrained-policy LSMC sensitivities

Expose an opt-in common-path policy secant alongside the existing frozen-policy AAD derivative. Refit model and script-constant bumps on the same disjoint training stream, replay their policies without extra tape recordings, and document the estimator and cross-backend validation.

* Reduce policy sensitivity analysis complexity

* Address LSMC policy risk review feedback

* Keep Excel simulation setting dispatch simple

* Keep generated Excel settings help within registration limit

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