Class MarketModelDifferencesFunctions

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The differences between two market models on the same initial rates and evolution: their rates' volatilities and instantaneous volatilities. QuantLib's free functions in marketmodeldifferences.hpp.

public static class MarketModelDifferencesFunctions

Inheritance

object

MarketModelDifferencesFunctions

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

RateInstVolDifferences(MarketModel, MarketModel, int)

A rate's instantaneous volatility difference at each step, √((C₁ − C₂)ᵢᵢ / Δt): the two models' covariances of the step, the rate's variance difference over the step's length.

public static ImmutableArray<double> RateInstVolDifferences(MarketModel marketModel1, MarketModel marketModel2, int index)

Parameters

marketModel1 MarketModel

The first model.

marketModel2 MarketModel

The second model.

index int

The rate's index.

Returns

ImmutableArray<double>

The differences, one a step.

Remarks

The rate's index is checked against the number of rates (a documented divergence): QuantLib checks it against the number of steps (marketmodeldifferences.cpp:68), refusing valid rates on coarse steps and reading past the covariance on fine ones.

Exceptions

NanoQLException

The models' initial rates or evolution times differ, or the index is past the rates.

RateVolDifferences(MarketModel, MarketModel)

Each rate's volatility difference over its life, √((Σ₁ − Σ₂)ᵢᵢ / min(Tᵢ, tₙ)): the two models' total covariances to their last steps, the rate's variance difference over the time it accrues, to its reset time Tᵢ or to the evolution's last time tₙ, whichever comes first.

public static ImmutableArray<double> RateVolDifferences(MarketModel marketModel1, MarketModel marketModel2)

Parameters

marketModel1 MarketModel

The first model.

marketModel2 MarketModel

The second model.

Returns

ImmutableArray<double>

The differences, one a rate.

Remarks

A rate's variance is divided by the time it accrues over (a documented divergence): QuantLib divides rate i's by the i-th evolution time (marketmodeldifferences.cpp:50), √2 too high on quarterly steps over semi-annual rates and a read past the evolution times where the rates outnumber the steps. The total covariance accrues nothing past the evolution's last time, so on an evolution ending before a rate resets, the rate's reset time alone would read it low (Divergences/MarketModelDifferencesTests.cs). Where the evolution times are the rate times, QuantLib's value.

Exceptions

NanoQLException

The models' initial rates or evolution times differ.