NISP Toolbox: Non Intrusive Spectral Projection Toolbox. This module allows to perform sensitivity analysis. This is the analysis of the uncertainty in the output of a given model, depending on the uncertainty in its inputs. The analysis is based on chaos polynomials, which are orthogonal polynomials which are used as an approximation of the original model. Once the coefficients of the chaos polynomial are computed, the associated sensitivity indices are straightforward to get. This toolbox has been created in the context of the OPUS project : http://opus-project.fr/
References in zbMATH (referenced in 1 article )
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- Di Persio, Luca; Pellegrini, Gregorio; Bonollo, Michele: Polynomial chaos expansion approach to interest rate models (2015)