Class ForwardForwardMappings

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The mappings between forward rates of a multiple tenor and the forward rates of the curve state's: the Jacobian of the long forwards in the short ones, the Y matrix that switches a model's base from short to long forwards, and the curve state restricted to the long forwards' times.

public static class ForwardForwardMappings

Inheritance

object

ForwardForwardMappings

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The k-th long forward runs from rate time offset + k × multiplier over multiplier short forwards. QuantLib's Jacobian is 1/τ_long minus the long forward's derivative, and its Y matrix's long forward the negative of g/(1 + τ_long g); both are fixed here (Divergences/ForwardForwardMappingsTests.cs): the derivative (P_start/P_end) τ_m (P_{m+1}/P_m)/τ_long, and the long forward (P_start/P_end − 1)/τ_long, QuantLib's own RestrictCurveState(CurveState, int, int) forward, which central bumps of it check. A multiplier or an offset QuantLib's unsigned arithmetic wraps to an endless allocation (an offset past the rates) is refused.

Methods

ForwardForwardJacobian(CurveState, int, int)

The Jacobian dgᵢ/dfⱼ of the long forwards in the short ones.

public static Matrix ForwardForwardJacobian(CurveState cs, int multiplier, int offset)

Parameters

cs CurveState

The curve state, set from the first rate.

multiplier int

The short forwards each long one spans.

offset int

The first long forward's first short one, below the multiplier and at most the rates.

Returns

Matrix

A new matrix, long forwards by short ones.

Exceptions

ArgumentException

The offset isn't below the multiplier.

ArgumentOutOfRangeException

The offset is negative or past the rates.

RestrictCurveState(CurveState, int, int)

The curve state on the long forwards' times: every multiplier-th rate time from the offset.

public static LMMCurveState RestrictCurveState(CurveState cs, int multiplier, int offset)

Parameters

cs CurveState

The curve state, set from the first rate.

multiplier int

The short forwards each long one spans.

offset int

The first long forward's first short one, below the multiplier and at most the rates.

Returns

LMMCurveState

A new state, set on the restricted discount ratios.

Exceptions

ArgumentException

The offset isn't below the multiplier, or no long forward fits.

ArgumentOutOfRangeException

The offset is negative or past the rates.

YMatrix(CurveState, ReadOnlySpan<double>, ReadOnlySpan<double>, int, int)

The Y matrix switching a model's base from short to long forwards: the Jacobian in displaced logs.

public static Matrix YMatrix(CurveState cs, ReadOnlySpan<double> shortDisplacements, ReadOnlySpan<double> longDisplacements, int multiplier, int offset)

Parameters

cs CurveState

The curve state, set from the first rate.

shortDisplacements ReadOnlySpan<double>

The short forwards' displacements, one per rate.

longDisplacements ReadOnlySpan<double>

The long forwards' displacements, one per long forward.

multiplier int

The short forwards each long one spans.

offset int

The first long forward's first short one, below the multiplier and at most the rates.

Returns

Matrix

A new matrix, long forwards by short ones.

Exceptions

ArgumentException

The offset isn't below the multiplier, or a displacement count is wrong.

ArgumentOutOfRangeException

The offset is negative or past the rates.