wegamekinglc / Derivatives-Algorithms-Lib / 27506050320

80%

master: 79%

Build Type

Pull #106

github

Committed by wegamekinglc

Commit Message

Add analytic chain-rule Jacobian for LOG_DISCOUNT curve calibration (CP1)

Factor the calibration Jacobian as J[i,j] = sum_t (dRate_i/dDF(t)) * DF(t) * b_j(t)
in plain double, avoiding templatization of the pricing path or use of the AAD
Number_ tape. The critic (B1) found the pricing stack hard-bound to double through
three abstract interfaces with no templated analogue, so the original Phase A was
dropped in favour of this Counter-Proposal CP1.

New surface:
- DiscountLogDF_::InterpBasisWeights(yf): sparse (free-node solver column, basis
  weight) pairs covering yf. Per scheme -- LOG_LINEAR returns 2 pairs, LOG_CUBIC_NATURAL
  up to 4, MIXED 2-or-4 across the cutoff. Storage node 0 (anchor) never appears.
- YCInstrument_::Rate_::DRateDDiscount(yc, target): default-empty virtual with analytic
  quotient-rule overrides on DepositRate_, ForwardRate_, SwapRate_, BasisSwapRate_.
  Empty return triggers a silent per-instrument DF-bump fallback.
- YieldCurveCalibrationFunc_::Gradient(x, f): sparse-Jacobian override, gated by
  CurveJacobianMode_::ANALYTIC_LOG_DISCOUNT AND parameterization_ == LOG_DISCOUNT.
  Non-LOG_DISCOUNT silently falls back to bumped with a NOTICE. Storage is dense
  (XCurveJacobian_ mirrors XJDense_); banded storage is a future optimization.
- CurveJacobianMode_ Machinist enum (BUMPED default, ANALYTIC_LOG_DISCOUNT opt-in)
  on CurveCalibrationSpec_, threaded through CalibrateYieldCurve.

Scope: LOG_DISCOUNT only. PWL_FWD / PWC_FWD retain the bumped path. The default
BUMPED selector keeps pre-CP1 behaviour byte-for-byte (the override returns nullptr).

Tests: 21 new tests across three files cover all three required categories --
analytic-vs-bumped agreement, solve equivalence (LOG_LINEAR / LOG_CUBIC_NATURAL /
MIXED), and structural-zero sparsity -- plus per-component coverage of the basis
weights and the per-instrument derivatives. Full suite 712 tests green.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

Pull Request Pull Request #106: feat: analytic LOG_DISCOUNT curve Jacobian (CP1)

Coverage Stats

330 of 359 new or added lines in 5 files covered. (91.92%)

25 existing lines in 5 files now uncovered.

5781 of 7247 relevant lines covered (79.77%)

3443380.34 hits per line