Class SwapBasisSystem

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The basis functions 1, the next forward rate and the coterminal swap rate after it, at each exercise; at an exercise on the last rate, 1 and the forward rate.

[WorkingType]
public sealed class SwapBasisSystem : MarketModelBasisSystem

Inheritance

object

MarketModelNodeDataProvider

MarketModelBasisSystem

SwapBasisSystem

Inherited Members

MarketModelBasisSystem.NumberOfData()

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type.

Each exercise's number of functions follows its own rate (a documented divergence): QuantLib adjusts only the last exercise's count (swapbasissystem.cpp:46), so an earlier exercise on the last rate reports 3 functions where Values(CurveState, Span<double>) gives 2 (Divergences/BasisSystemFunctionCountTests.cs).

Constructors

SwapBasisSystem(ReadOnlySpan<double>, ReadOnlySpan<double>)

Initializes a new instance of the SwapBasisSystem class.

public SwapBasisSystem(ReadOnlySpan<double> rateTimes, ReadOnlySpan<double> exerciseTimes)

Parameters

rateTimes ReadOnlySpan<double>

The rate times.

exerciseTimes ReadOnlySpan<double>

The exercise times, the basis system's evolution.

Exceptions

ArgumentException

The times don't make an evolution.

Properties

Evolution

Gets the evolution: its rate times and the times it is stepped at, its exercise times included.

public override EvolutionDescription Evolution { get; }

Property Value

EvolutionDescription

NumberOfExercises

Gets the number of exercises.

public override int NumberOfExercises { get; }

Property Value

int

Methods

Clone()

A deep copy of the basis system, its state included.

public override MarketModelBasisSystem Clone()

Returns

MarketModelBasisSystem

The copy.

IsExerciseTime()

Every evolution time is an exercise time.

public override ImmutableArray<bool> IsExerciseTime()

Returns

ImmutableArray<bool>

One flag an exercise, every one set.

NextStep(CurveState)

Moves to the next evolution time, in the given state.

public override void NextStep(CurveState currentState)

Parameters

currentState CurveState

The state.

NumberOfFunctions()

The number of basis functions at each exercise: 3, or 2 at an exercise on the last rate.

public override ImmutableArray<int> NumberOfFunctions()

Returns

ImmutableArray<int>

One count an exercise.

Reset()

Puts the provider at the start of a path.

public override void Reset()

Values(CurveState, Span<double>)

Writes the current exercise's data in the given state.

public override void Values(CurveState currentState, Span<double> results)

Parameters

currentState CurveState

The state.

results Span<double>

The data written, the current exercise's count of them.