Class HistoricalRatesAnalysis

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The statistical analysis of historical rates, run at construction: the relative changes of the indexes' fixings between successive dates, added to the statistics it is given (HistoricalRatesAnalysis(SequenceStatistics, Date, Date, Period, ReadOnlySpan<InterestRateIndex>, EvaluationContext)).

public sealed class HistoricalRatesAnalysis

Inheritance

object

HistoricalRatesAnalysis

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable once built: it holds the caller's statistics, filled by its constructor, as QuantLib's holds the shared pointer it is given.

Constructors

HistoricalRatesAnalysis(SequenceStatistics, Date, Date, Period, ReadOnlySpan<InterestRateIndex>, EvaluationContext)

Initializes a new instance of the HistoricalRatesAnalysis class and runs the analysis.

public HistoricalRatesAnalysis(SequenceStatistics stats, Date startDate, Date endDate, Period step, ReadOnlySpan<InterestRateIndex> indexes, EvaluationContext context)

Parameters

stats SequenceStatistics

The statistics filled, and held.

startDate Date

The start date.

endDate Date

The end date.

step Period

The step between dates, positive.

indexes ReadOnlySpan<InterestRateIndex>

The indexes, at least one.

context EvaluationContext

The evaluation context, holding the fixings.

Exceptions

ArgumentException

No index is given, or the step isn't positive.

Properties

SkippedDates

Gets the dates skipped.

public ImmutableArray<Date> SkippedDates { get; }

Property Value

ImmutableArray<Date>

SkippedDatesErrorMessage

Gets each skipped date's error message.

public ImmutableArray<string> SkippedDatesErrorMessage { get; }

Property Value

ImmutableArray<string>

Stats

Gets the statistics given, filled by the analysis.

public SequenceStatistics Stats { get; }

Property Value

SequenceStatistics