Class PseudoRootFacade

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A market model given by its pseudo-roots, one per rate time but the last: its evolution the rate times', its initial rates and displacements given; the coterminal swap market model a caplet calibration builds.

public sealed class PseudoRootFacade : MarketModel

Inheritance

object

MarketModel

PseudoRootFacade

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: it copies the pseudo-roots given, and a read returns a copy. No pseudo-roots, where QuantLib reads the first of none, are refused.

Constructors

PseudoRootFacade(CTSMMCapletCalibration, CTSMMCapletCalibrationResults)

Initializes a new instance of the PseudoRootFacade class from a calibration's results.

public PseudoRootFacade(CTSMMCapletCalibration calibration, CTSMMCapletCalibrationResults results)

Parameters

calibration CTSMMCapletCalibration

The calibration: its curve state's coterminal swap rates and its displacements.

results CTSMMCapletCalibrationResults

The calibration's results: its swap rates' pseudo-roots.

Exceptions

ArgumentException

The results' pseudo-roots don't fit the calibration's rates.

PseudoRootFacade(IReadOnlyList<Matrix>, ReadOnlySpan<double>, ReadOnlySpan<double>, ReadOnlySpan<double>)

Initializes a new instance of the PseudoRootFacade class.

public PseudoRootFacade(IReadOnlyList<Matrix> covariancePseudoRoots, ReadOnlySpan<double> rateTimes, ReadOnlySpan<double> initialRates, ReadOnlySpan<double> displacements)

Parameters

covariancePseudoRoots IReadOnlyList<Matrix>

Each step's pseudo-root, one per rate, of the same factors; copied.

rateTimes ReadOnlySpan<double>

The rate times, at least two and increasing.

initialRates ReadOnlySpan<double>

The initial rates.

displacements ReadOnlySpan<double>

The displacements, one per rate.

Exceptions

ArgumentException

There are no pseudo-roots, the rate times are fewer than two or not increasing, or the pseudo-roots, rates and displacements don't fit.

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.