build based on 9df98cb

dev/.documenter-siteinfo.json

@@ -1 +1 @@
-{"documenter":{"julia_version":"1.10.7","generation_timestamp":"2024-11-28T16:50:49","documenter_version":"1.8.0"}}
+{"documenter":{"julia_version":"1.10.7","generation_timestamp":"2024-11-28T17:41:04","documenter_version":"1.8.0"}}

dev/analytics/analytics/index.html

@@ -4,36 +4,36 @@
     term::ModelTime,
     mdl::Model,
     ctx::Context
-    )</code></pre><p>Return the scaling vector of a reference rate.</p><p>A reference rate is specified as a stochastic process random variable <code>Y = A&#39; X + b</code>. Here, <code>X</code> reprsents the model state variable, <code>A</code> is the resulting scaling vector and <code>b</code> is a deterministic function (not relevant for this purpose).</p><p>Reference rates are continuous compounded zero rates and FX rates (or asset prices). Reference rates are identified by a <code>context_key</code>. In addition, zero rates are specified by a positive <code>term</code>. For FX rates we require <code>term</code> equal to zero.</p><p>Reference rates for other asset classes are to be added.</p><p>The model context <code>ctx</code> is used to identify corresponding model parameters and state variables of the <code>model</code>.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L3-L27">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_scaling(
+    )</code></pre><p>Return the scaling vector of a reference rate.</p><p>A reference rate is specified as a stochastic process random variable <code>Y = A&#39; X + b</code>. Here, <code>X</code> reprsents the model state variable, <code>A</code> is the resulting scaling vector and <code>b</code> is a deterministic function (not relevant for this purpose).</p><p>Reference rates are continuous compounded zero rates and FX rates (or asset prices). Reference rates are identified by a <code>context_key</code>. In addition, zero rates are specified by a positive <code>term</code>. For FX rates we require <code>term</code> equal to zero.</p><p>Reference rates for other asset classes are to be added.</p><p>The model context <code>ctx</code> is used to identify corresponding model parameters and state variables of the <code>model</code>.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L3-L27">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_scaling(
     keys_and_terms::AbstractVector,
     mdl::Model,
     ctx::Context
-    )</code></pre><p>Return the scaling matrix of a reference rates. The scaling matrix represents a list of scaling vectors represented as matrix.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L103-L116">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="DiffFusion.reference_rate_covariance" href="#DiffFusion.reference_rate_covariance"><code>DiffFusion.reference_rate_covariance</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
+    )</code></pre><p>Return the scaling matrix of a reference rates. The scaling matrix represents a list of scaling vectors represented as matrix.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L103-L116">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="DiffFusion.reference_rate_covariance" href="#DiffFusion.reference_rate_covariance"><code>DiffFusion.reference_rate_covariance</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
     Y1::AbstractVecOrMat,
     Y2::AbstractVecOrMat,
     mdl::Model,
     ch::CorrelationHolder,
     s::ModelTime,
     t::ModelTime,
-    )</code></pre><p>Calculate the covariance matrix for two vector or matrices of reference rates.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L136-L148">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
+    )</code></pre><p>Calculate the covariance matrix for two vector or matrices of reference rates.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L136-L148">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
     Y1::Tuple,
     Y2::Tuple,
     mdl::Model,
     ch::CorrelationHolder,
     s::ModelTime,
     t::ModelTime,
-    )</code></pre><p>Calculate the scalar covariance for two reference rates.</p><p>Reference rates are encoded as tuples <code>Y1</code> and <code>Y2</code>. The first element of a tuple is the <code>context_key</code>. The second element of the tuple is the <code>term</code>.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L163-L178">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
+    )</code></pre><p>Calculate the scalar covariance for two reference rates.</p><p>Reference rates are encoded as tuples <code>Y1</code> and <code>Y2</code>. The first element of a tuple is the <code>context_key</code>. The second element of the tuple is the <code>term</code>.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L163-L178">source</a></section><section><div><pre><code class="language-julia hljs">reference_rate_covariance(
     keys_and_terms::AbstractVector,
     ctx::Context,
     mdl::Model,
     ch::CorrelationHolder,
     s::ModelTime,
     t::ModelTime,
-    )</code></pre><p>Calculate covariance matrix for a list of reference rates.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L195-L210">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="DiffFusion.reference_rate_volatility_and_correlation" href="#DiffFusion.reference_rate_volatility_and_correlation"><code>DiffFusion.reference_rate_volatility_and_correlation</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">reference_rate_volatility_and_correlation(
+    )</code></pre><p>Calculate covariance matrix for a list of reference rates.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L195-L210">source</a></section></article><article class="docstring"><header><a class="docstring-article-toggle-button fa-solid fa-chevron-down" href="javascript:;" title="Collapse docstring"></a><a class="docstring-binding" id="DiffFusion.reference_rate_volatility_and_correlation" href="#DiffFusion.reference_rate_volatility_and_correlation"><code>DiffFusion.reference_rate_volatility_and_correlation</code></a> — <span class="docstring-category">Function</span><span class="is-flex-grow-1 docstring-article-toggle-button" title="Collapse docstring"></span></header><section><div><pre><code class="language-julia hljs">reference_rate_volatility_and_correlation(
     keys_and_terms::AbstractVector,
     ctx::Context,
     mdl::Model,
     ch::CorrelationHolder,
     s::ModelTime,
     t::ModelTime,
-    )</code></pre><p>Calculate the volatility vector and correlation matrix for a list of reference rates.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/b6f6b0408151e34d5430e6cf6256f9224a648f3d/src/analytics/Covariances.jl#L225-L241">source</a></section></article></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../../sensitivities/sensitivities/">« Sensitivities</a><a class="docs-footer-nextpage" href="../../examples/examples/">Example Models and Portfolios »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 28 November 2024 16:50">Thursday 28 November 2024</span>. Using Julia version 1.10.7.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+    )</code></pre><p>Calculate the volatility vector and correlation matrix for a list of reference rates.</p><p><code>keys_and_terms</code> is a list of tuples. For each tuple, the first element represents the <code>context_key</code> of the reference rate. The second element represents the <code>term</code> of the reference rate.</p></div><a class="docs-sourcelink" target="_blank" href="https://github.com/frame-consulting/DiffFusion.jl/blob/9df98cb7665e33869c24dce71b0cdcbd3012c8ca/src/analytics/Covariances.jl#L225-L241">source</a></section></article></article><nav class="docs-footer"><a class="docs-footer-prevpage" href="../../sensitivities/sensitivities/">« Sensitivities</a><a class="docs-footer-nextpage" href="../../examples/examples/">Example Models and Portfolios »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 28 November 2024 17:41">Thursday 28 November 2024</span>. Using Julia version 1.10.7.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>

dev/index.html

@@ -75,4 +75,4 @@
 # Output:
 # 1×7×1 Array{Float64, 3}:
 # [:, :, 1] =
-#  0.0  7.98524  9.44371  147.817  148.527  0.0  0.0</code></pre><p>Scenario valuations are further documented in the <a href="scenarios/scenario_generation/#Scenarios">Scenarios</a> section.</p><h2 id="Further-Examples"><a class="docs-heading-anchor" href="#Further-Examples">Further Examples</a><a id="Further-Examples-1"></a><a class="docs-heading-anchor-permalink" href="#Further-Examples" title="Permalink"></a></h2><p>The best way to become familiar with the DiffFusion framework is to have a look at the test suite.</p><p>An example for exposure simulation of a Vanilla swap portfolio is implemented in the <a href="https://github.com/frame-consulting/DiffFusion.jl/blob/main/test/componenttests/scenarios/scenarios.jl">scenario generation</a> component test.</p><p>Individual examples on model, simulation and product setup can be found in the <a href="https://github.com/frame-consulting/DiffFusion.jl/tree/main/test/unittests">unit tests</a>.</p></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="introduction/overview/">Overview »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 28 November 2024 16:50">Thursday 28 November 2024</span>. Using Julia version 1.10.7.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>
+#  0.0  7.98524  9.44371  147.817  148.527  0.0  0.0</code></pre><p>Scenario valuations are further documented in the <a href="scenarios/scenario_generation/#Scenarios">Scenarios</a> section.</p><h2 id="Further-Examples"><a class="docs-heading-anchor" href="#Further-Examples">Further Examples</a><a id="Further-Examples-1"></a><a class="docs-heading-anchor-permalink" href="#Further-Examples" title="Permalink"></a></h2><p>The best way to become familiar with the DiffFusion framework is to have a look at the test suite.</p><p>An example for exposure simulation of a Vanilla swap portfolio is implemented in the <a href="https://github.com/frame-consulting/DiffFusion.jl/blob/main/test/componenttests/scenarios/scenarios.jl">scenario generation</a> component test.</p><p>Individual examples on model, simulation and product setup can be found in the <a href="https://github.com/frame-consulting/DiffFusion.jl/tree/main/test/unittests">unit tests</a>.</p></article><nav class="docs-footer"><a class="docs-footer-nextpage" href="introduction/overview/">Overview »</a><div class="flexbox-break"></div><p class="footer-message">Powered by <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> and the <a href="https://julialang.org/">Julia Programming Language</a>.</p></nav></div><div class="modal" id="documenter-settings"><div class="modal-background"></div><div class="modal-card"><header class="modal-card-head"><p class="modal-card-title">Settings</p><button class="delete"></button></header><section class="modal-card-body"><p><label class="label">Theme</label><div class="select"><select id="documenter-themepicker"><option value="auto">Automatic (OS)</option><option value="documenter-light">documenter-light</option><option value="documenter-dark">documenter-dark</option><option value="catppuccin-latte">catppuccin-latte</option><option value="catppuccin-frappe">catppuccin-frappe</option><option value="catppuccin-macchiato">catppuccin-macchiato</option><option value="catppuccin-mocha">catppuccin-mocha</option></select></div></p><hr/><p>This document was generated with <a href="https://github.com/JuliaDocs/Documenter.jl">Documenter.jl</a> version 1.8.0 on <span class="colophon-date" title="Thursday 28 November 2024 17:41">Thursday 28 November 2024</span>. Using Julia version 1.10.7.</p></section><footer class="modal-card-foot"></footer></div></div></div></body></html>