Class MarketModelDiscounter

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The number of numeraire bonds a unit paid at a time is worth on a curve state: the discount ratio of the rate times bracketing the payment, log-linearly interpolated between them.

public sealed class MarketModelDiscounter

Inheritance

object

MarketModelDiscounter

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable: a pure function of a curve state.

The bracket (a documented divergence): the period's start is the last rate time at or before the payment, clamped to the periods, so a payment inside a period interpolates its own period's bonds. QuantLib's lower_bound takes the first rate time at or after the payment (discounter.cpp:31), so a payment strictly inside a period but the last is extrapolated from the next period, against its own weight's [0, 1] form (Divergences/MarketModelDiscounterBracketTests.cs). A payment on a rate time, before the first or after the last gives QuantLib's bits.

Constructors

MarketModelDiscounter(double, ReadOnlySpan<double>)

Initializes a new instance of the MarketModelDiscounter class.

public MarketModelDiscounter(double paymentTime, ReadOnlySpan<double> rateTimes)

Parameters

paymentTime double

The payment time.

rateTimes ReadOnlySpan<double>

The rate times, at least two, increasing.

Exceptions

ArgumentException

There are fewer than two rate times, or they aren't increasing.

Methods

NumeraireBonds(CurveState, int)

The number of numeraire bonds a unit paid at the payment time is worth.

public double NumeraireBonds(CurveState curveState, int numeraire)

Parameters

curveState CurveState

The curve state.

numeraire int

The numeraire's index.

Returns

double

The number of numeraire bonds.