Analytics

reference_rate_scaling(
    context_key::String,
    term::ModelTime,
    mdl::Model,
    ctx::Context
    )

Return the scaling vector of a reference rate.

A reference rate is specified as a stochastic process random variable Y = A' X + b. Here, X reprsents the model state variable, A is the resulting scaling vector and b is a deterministic function (not relevant for this purpose).

Reference rates are continuous compounded zero rates and FX rates (or asset prices). Reference rates are identified by a context_key. In addition, zero rates are specified by a positive term. For FX rates we require term equal to zero.

Reference rates for other asset classes are to be added.

The model context ctx is used to identify corresponding model parameters and state variables of the model.

reference_rate_scaling(
    keys_and_terms::AbstractVector,
    mdl::Model,
    ctx::Context
    )

Return the scaling matrix of a reference rates. The scaling matrix represents a list of scaling vectors represented as matrix.

keys_and_terms is a list of tuples. For each tuple, the first element represents the context_key of the reference rate. The second element represents the term of the reference rate.

reference_rate_covariance(
    Y1::AbstractVecOrMat,
    Y2::AbstractVecOrMat,
    mdl::Model,
    ch::CorrelationHolder,
    s::ModelTime,
    t::ModelTime,
    )

Calculate the covariance matrix for two vector or matrices of reference rates.

reference_rate_covariance(
    Y1::Tuple,
    Y2::Tuple,
    mdl::Model,
    ch::CorrelationHolder,
    s::ModelTime,
    t::ModelTime,
    )

Calculate the scalar covariance for two reference rates.

Reference rates are encoded as tuples Y1 and Y2. The first element of a tuple is the context_key. The second element of the tuple is the term.

reference_rate_covariance(
    keys_and_terms::AbstractVector,
    ctx::Context,
    mdl::Model,
    ch::CorrelationHolder,
    s::ModelTime,
    t::ModelTime,
    )

Calculate covariance matrix for a list of reference rates.

keys_and_terms is a list of tuples. For each tuple, the first element represents the context_key of the reference rate. The second element represents the term of the reference rate.

reference_rate_volatility_and_correlation(
    keys_and_terms::AbstractVector,
    ctx::Context,
    mdl::Model,
    ch::CorrelationHolder,
    s::ModelTime,
    t::ModelTime,
    )

Calculate the volatility vector and correlation matrix for a list of reference rates.

keys_and_terms is a list of tuples. For each tuple, the first element represents the context_key of the reference rate. The second element represents the term of the reference rate.