Class CTSMMCapletCalibrationResults

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A coterminal swap market model caplet calibration's results: QuantLib's inspectors of a calibrated CTSMMCapletCalibration, the fit's errors, the swap rates' pseudo-roots and the model's caplet and swaption volatilities.

public sealed class CTSMMCapletCalibrationResults

Inheritance

object

CTSMMCapletCalibrationResults

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable: a pseudo-root read returns a copy. The deformation size is null where the calibration doesn't compute it, where QuantLib returns its initializer's 987654321 (ctsmmcapletcalibration.cpp:199).

Constructors

CTSMMCapletCalibrationResults(int, double, double, double, double, IEnumerable<Matrix>, ImmutableArray<double>, ImmutableArray<double>, ImmutableArray<double>, ImmutableArray<ImmutableArray<double>>, double?, ImmutableArray<double>?)

Initializes a new instance of the CTSMMCapletCalibrationResults class.

public CTSMMCapletCalibrationResults(int failures, double capletRmsError, double capletMaxError, double swaptionRmsError, double swaptionMaxError, IEnumerable<Matrix> swapPseudoRoots, ImmutableArray<double> mdlCapletVols, ImmutableArray<double> mktSwaptionVols, ImmutableArray<double> mdlSwaptionVols, ImmutableArray<ImmutableArray<double>> timeDependentCalibratedSwaptionVols, double? deformationSize, ImmutableArray<double>? alpha)

Parameters

failures int

The last pass's failures.

capletRmsError double

The caplet volatilities' root-mean-square error.

capletMaxError double

The caplet volatilities' largest error.

swaptionRmsError double

The swaption volatilities' root-mean-square error.

swaptionMaxError double

The swaption volatilities' largest error.

swapPseudoRoots IEnumerable<Matrix>

Each step's swap-rate pseudo-root; copied.

mdlCapletVols ImmutableArray<double>

The model's caplet volatilities.

mktSwaptionVols ImmutableArray<double>

The market's swaption volatilities.

mdlSwaptionVols ImmutableArray<double>

The model's swaption volatilities.

timeDependentCalibratedSwaptionVols ImmutableArray<ImmutableArray<double>>

Each swap rate's calibrated volatility over the steps.

deformationSize double?

The deformation size, or null where the calibration doesn't compute it.

alpha ImmutableArray<double>?

The alpha form's α of each rate, or null for the other calibrations.

Properties

Alpha

Gets the alpha form's α of each rate, null for the other calibrations.

public ImmutableArray<double>? Alpha { get; }

Property Value

ImmutableArray<double>?

CapletMaxError

Gets the caplet volatilities' largest error.

public double CapletMaxError { get; }

Property Value

double

CapletRmsError

Gets the caplet volatilities' root-mean-square error.

public double CapletRmsError { get; }

Property Value

double

Converged

Gets a value indicating whether the last pass had no failure, QuantLib's calibrate result.

public bool Converged { get; }

Property Value

bool

DeformationSize

Gets the deformation size, null where the calibration doesn't compute it.

public double? DeformationSize { get; }

Property Value

double?

Failures

Gets the last pass's failures.

public int Failures { get; }

Property Value

int

MdlCapletVols

Gets the model's caplet volatilities.

public ImmutableArray<double> MdlCapletVols { get; }

Property Value

ImmutableArray<double>

MdlSwaptionVols

Gets the model's swaption volatilities.

public ImmutableArray<double> MdlSwaptionVols { get; }

Property Value

ImmutableArray<double>

MktSwaptionVols

Gets the market's swaption volatilities.

public ImmutableArray<double> MktSwaptionVols { get; }

Property Value

ImmutableArray<double>

SwaptionMaxError

Gets the swaption volatilities' largest error.

public double SwaptionMaxError { get; }

Property Value

double

SwaptionRmsError

Gets the swaption volatilities' root-mean-square error.

public double SwaptionRmsError { get; }

Property Value

double

Methods

SwapPseudoRoot(int)

The i-th step's swap-rate pseudo-root.

public Matrix SwapPseudoRoot(int i)

Parameters

i int

The step.

Returns

Matrix

A copy of the pseudo-root.

Exceptions

ArgumentOutOfRangeException

i isn't a step.

SwapPseudoRoots()

Each step's swap-rate pseudo-root.

public ImmutableArray<Matrix> SwapPseudoRoots()

Returns

ImmutableArray<Matrix>

Copies of the pseudo-roots.

TimeDependentCalibratedSwaptionVols(int)

The i-th swap rate's calibrated volatility over the steps.

public ImmutableArray<double> TimeDependentCalibratedSwaptionVols(int i)

Parameters

i int

The rate.

Returns

ImmutableArray<double>

The volatilities.

Exceptions

ArgumentOutOfRangeException

i isn't a rate.