Class FwdToCotSwapAdapter

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A forward-rate market model as a coterminal swap-rate one, in the frozen-coefficient approximation: its initial rates the coterminal swap rates of the forward model's curve, each step's pseudo-root the coterminal Z matrix times the forward model's, the expired rates' rows zero.

public sealed class FwdToCotSwapAdapter : MarketModel

Inheritance

object

MarketModel

FwdToCotSwapAdapter

Inherited Members

MarketModel.Covariance(int)

MarketModel.TotalCovariance(int)

MarketModel.TimeDependentVolatility(int)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable: its pseudo-roots are computed at construction, and a read returns a copy. Its displacements, evolution and counts are the forward model's. A pseudo-root read past the steps, which QuantLib reads unchecked, is refused.

Constructors

FwdToCotSwapAdapter(MarketModel)

Initializes a new instance of the FwdToCotSwapAdapter class.

public FwdToCotSwapAdapter(MarketModel fwdModel)

Parameters

fwdModel MarketModel

The forward-rate model, its displacements equal and every rate time to its last evolution time an evolution time.

Exceptions

ArgumentException

The displacements differ, or the evolution skips a rate time.

Properties

Displacements

Gets the rates' displacements.

public override ImmutableArray<double> Displacements { get; }

Property Value

ImmutableArray<double>

Evolution

Gets the evolution the model is built on.

public override EvolutionDescription Evolution { get; }

Property Value

EvolutionDescription

InitialRates

Gets the rates at time zero.

public override ImmutableArray<double> InitialRates { get; }

Property Value

ImmutableArray<double>

NumberOfFactors

Gets the number of factors.

public override int NumberOfFactors { get; }

Property Value

int

NumberOfRates

Gets the number of rates.

public override int NumberOfRates { get; }

Property Value

int

NumberOfSteps

Gets the number of evolution steps.

public override int NumberOfSteps { get; }

Property Value

int

Methods

PseudoRoot(int)

The pseudo-square root of the i-th step's covariance, rates by factors.

public override Matrix PseudoRoot(int i)

Parameters

i int

The step, below the number of steps.

Returns

Matrix

A copy of the step's pseudo-root.

Exceptions

ArgumentOutOfRangeException

i isn't a step.