Class MarkovFunctionalModelOutputs

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The Markov-functional model's diagnostics: per calibration point in date order, its expiry, tenor, at-the-money level and annuity, the numeraire's adjustment factors, the yield curve's fit and the smile's fit on the moneyness grid, and the calibration's messages.

public sealed class MarkovFunctionalModelOutputs

Inheritance

object

MarkovFunctionalModelOutputs

Inherited Members

object.GetType()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable, computed per call of ModelOutputs(EvaluationContext). QuantLib's model keeps its outputs and a dirty flag; its at-the-money levels and annuities are appended to at every computation, so a second one after a recalculation holds stale entries before the fresh ones (markovfunctional.cpp:618-648). Here each call gives the model's own outputs once, and there is no dirty flag.

Properties

AdjustmentFactors

Gets the numeraire's adjustment factors to the yield curve, 1 without the adjustment.

public ImmutableArray<double> AdjustmentFactors { get; }

Property Value

ImmutableArray<double>

Annuity

Gets the calibration points' annuities on the model's curve.

public ImmutableArray<double> Annuity { get; }

Property Value

ImmutableArray<double>

Atm

Gets the calibration points' at-the-money levels on the model's curve.

public ImmutableArray<double> Atm { get; }

Property Value

ImmutableArray<double>

DigitalsAdjustmentFactors

Gets the digitals' adjustment factors, 1 without the adjustment.

public ImmutableArray<double> DigitalsAdjustmentFactors { get; }

Property Value

ImmutableArray<double>

Expiries

Gets the calibration points' expiries.

public ImmutableArray<Date> Expiries { get; }

Property Value

ImmutableArray<Date>

MarketCallPremium

Gets each point's market call premia, from its pretreated smile.

public ImmutableArray<ImmutableArray<double>> MarketCallPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

MarketPutPremium

Gets each point's market put premia, from its pretreated smile.

public ImmutableArray<ImmutableArray<double>> MarketPutPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

MarketRawCallPremium

Gets each point's market call premia, from its smile before pretreatment; 0 where that smile prices none.

public ImmutableArray<ImmutableArray<double>> MarketRawCallPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

MarketRawPutPremium

Gets each point's market put premia, from its smile before pretreatment; 0 where that smile prices none.

public ImmutableArray<ImmutableArray<double>> MarketRawPutPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

MarketVega

Gets each point's market vegas, from its pretreated smile.

public ImmutableArray<ImmutableArray<double>> MarketVega { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

MarketZerorate

Gets the yield curve's continuous zero rates at the points' expiries.

public ImmutableArray<double> MarketZerorate { get; }

Property Value

ImmutableArray<double>

Messages

Gets the calibration's messages and warnings.

public ImmutableArray<string> Messages { get; }

Property Value

ImmutableArray<string>

ModelCallPremium

Gets each point's model call premia.

public ImmutableArray<ImmutableArray<double>> ModelCallPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

ModelPutPremium

Gets each point's model put premia.

public ImmutableArray<ImmutableArray<double>> ModelPutPremium { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

ModelZerorate

Gets the model's continuous zero rates at the points' expiries.

public ImmutableArray<double> ModelZerorate { get; }

Property Value

ImmutableArray<double>

Settings

Gets the model's settings, as validated.

public MarkovFunctionalModelSettings Settings { get; }

Property Value

MarkovFunctionalModelSettings

SmileStrikes

Gets each point's strikes on the moneyness grid.

public ImmutableArray<ImmutableArray<double>> SmileStrikes { get; }

Property Value

ImmutableArray<ImmutableArray<double>>

Tenors

Gets the calibration points' tenors.

public ImmutableArray<Period> Tenors { get; }

Property Value

ImmutableArray<Period>

Methods

ToString()

The outputs as QuantLib's operator<< writes them: the settings, the messages, the yield curve's fit and the smile's fit, separated by semicolons.

public override string ToString()

Returns

string

The text.