Class VolatilityInterpolationSpecifierabcd

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The volatility interpolation of synthetic short rates on abcd curves: each long rate's a, b and d scaled, each short rate between two long ones on the mean of their a, b, c and d, those before the first and after the last on the nearest long rate's, the last rescaled to match the last caplet's volatility.

public sealed class VolatilityInterpolationSpecifierabcd : VolatilityInterpolationSpecifier

Inheritance

object

VolatilityInterpolationSpecifier

VolatilityInterpolationSpecifierabcd

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable: WithScalingFactors(ReadOnlySpan<double>) and WithLastCapletVol(double) return a new specifier, where QuantLib's setters change it in place.

One departure from QuantLib (Divergences/VolatilityInterpolationSpecifierOffsetTests.cs): a short rate between two long rates resets at its own index, i + j·period + offset, where QuantLib's resets at i + j·period, an earlier rate's, at an offset other than 0 (volatilityinterpolationspecifierabcd.cpp:169-170). A period of 0, which QuantLib divides by, no long rates, whose last QuantLib reads, no short rate times, and long rates' times past the short ones, which QuantLib reads past, are refused.

Constructors

VolatilityInterpolationSpecifierabcd(int, int, ReadOnlySpan<PiecewiseConstantAbcdVariance>, ReadOnlySpan<double>, double)

Initializes a new instance of the VolatilityInterpolationSpecifierabcd class.

public VolatilityInterpolationSpecifierabcd(int period, int offset, ReadOnlySpan<PiecewiseConstantAbcdVariance> originalVariances, ReadOnlySpan<double> timesForSmallRates, double lastCapletVol = 0)

Parameters

period int

The short rates each long rate spans, at least 1.

offset int

The short rates before the first long rate.

originalVariances ReadOnlySpan<PiecewiseConstantAbcdVariance>

The long rates' abcd variances, at least one, on every period-th short rate time.

timesForSmallRates ReadOnlySpan<double>

The short rates' rate times.

lastCapletVol double

The last caplet's volatility; 0 for the last long rate's own total volatility.

Exceptions

ArgumentException

The counts of long and short rates don't match the period and offset, a long rate's times aren't the short ones, or there are no long rates or short rate times.

ArgumentOutOfRangeException

period is below 1 or offset negative.

Properties

InterpolatedVariances

Gets the short rates' interpolated variances, one per short rate.

public override ImmutableArray<PiecewiseConstantVariance> InterpolatedVariances { get; }

Property Value

ImmutableArray<PiecewiseConstantVariance>

NoBigRates

Gets the number of long rates.

public override int NoBigRates { get; }

Property Value

int

NoSmallRates

Gets the number of short rates.

public override int NoSmallRates { get; }

Property Value

int

Offset

Gets the short rates before the first long rate.

public override int Offset { get; }

Property Value

int

OriginalVariances

Gets the long rates' variances, one per long rate.

public override ImmutableArray<PiecewiseConstantVariance> OriginalVariances { get; }

Property Value

ImmutableArray<PiecewiseConstantVariance>

Period

Gets the short rates each long rate spans.

public override int Period { get; }

Property Value

int

Methods

WithLastCapletVol(double)

A specifier whose last short rate matches the caplet volatility given.

public override VolatilityInterpolationSpecifier WithLastCapletVol(double vol)

Parameters

vol double

The last caplet's volatility.

Returns

VolatilityInterpolationSpecifier

The new specifier.

WithScalingFactors(ReadOnlySpan<double>)

A specifier whose long rates' variances are scaled by the factors given.

public override VolatilityInterpolationSpecifier WithScalingFactors(ReadOnlySpan<double> scales)

Parameters

scales ReadOnlySpan<double>

The scaling factors, one per long rate.

Returns

VolatilityInterpolationSpecifier

The new specifier.

Exceptions

ArgumentException

The factors aren't one per long rate.