Class CTSMMCapletCalibrationStep

Namespace

NanoQL.Models

Assembly

NanoQL.dll

One pass of a coterminal swap market model's caplet calibration: the swap rates' pseudo-roots and the failures, and what the calibration computes besides (the alpha form's α, a and b; the max-homogeneity calibration's deformation size and swaption error). CTSMMCapletCalibration's hook returns it, and the calibrations' static functions return it in place of QuantLib's out-parameters.

public sealed class CTSMMCapletCalibrationStep

Inheritance

object

CTSMMCapletCalibrationStep

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.

Constructors

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

Initializes a new instance of the CTSMMCapletCalibrationStep class.

public CTSMMCapletCalibrationStep(int failures, IEnumerable<Matrix> swapCovariancePseudoRoots, ImmutableArray<double>? alpha = null, ImmutableArray<double>? a = null, ImmutableArray<double>? b = null, double? deformationSize = null, double? totalSwaptionError = null)

Parameters

failures int

The pass's failures.

swapCovariancePseudoRoots IEnumerable<Matrix>

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

alpha ImmutableArray<double>?

The alpha form's α of each rate, or null.

a ImmutableArray<double>?

The alpha form's a of each rate, or null.

b ImmutableArray<double>?

The alpha form's b of each rate, or null.

deformationSize double?

The squared deformation of the volatilities from the homogeneous ones, or null.

totalSwaptionError double?

The sum of the squared swaption errors, or null.

Properties

A

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

public ImmutableArray<double>? A { get; }

Property Value

ImmutableArray<double>?

Alpha

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

public ImmutableArray<double>? Alpha { get; }

Property Value

ImmutableArray<double>?

B

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

public ImmutableArray<double>? B { get; }

Property Value

ImmutableArray<double>?

DeformationSize

Gets the squared deformation from the homogeneous volatilities, null where the calibration doesn't compute it.

public double? DeformationSize { get; }

Property Value

double?

Failures

Gets the pass's failures.

public int Failures { get; }

Property Value

int

TotalSwaptionError

Gets the sum of the squared swaption errors, null where the calibration doesn't compute it.

public double? TotalSwaptionError { get; }

Property Value

double?

Methods

SwapCovariancePseudoRoots()

Each step's swap-rate pseudo-root.

public ImmutableArray<Matrix> SwapCovariancePseudoRoots()

Returns

ImmutableArray<Matrix>

Copies of the pseudo-roots.