wegamekinglc / Derivatives-Algorithms-Lib / 27509989911

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Build Type

Pull #106

github

Committed by wegamekinglc

Commit Message

Phase A Step 5: working AAD-tape Jacobian for LOG_DISCOUNT/swap path

- Implement BuildDiscountCurveT<T_> (LOG_DISCOUNT only; REQUIRE-false on
  others). The Number_-typed curve is constructed directly with the tape-
  registered logDF vector (bypassing FittableCurve_::ApplyDX).
- Add TapeGuard_ RAII (Clear on entry/exit, exception-safe) and ZeroAllAdjoints
  helper (walks the node blocklist, sets every adjoint to 0 between single-
  result reverse sweeps).
- Implement PhaseAJacobian_NativeAAD: one forward recording per Gradient call,
  nRows reverse sweeps via the single-result loop. Column map: solver col j =
  storage node j+1, so Adjoint(logDF[j+1]) reads dResidual_i/dx_j. Reuses
  XCurveJacobian_ (dense storage, sparse-by-row assembly) from CP1.
- Flip EligibleForPhaseA to its real implementation: returns true iff
  LOG_DISCOUNT + DISCOUNT-target + every instrument is Deposit/FRA/Future/Swap
  with useProjectionCurve_==false and starting at the curve anchor. Every fall-
  through emits a NOTICE naming the offending condition; the predicate never
  throws.
- Fix StorageBasisWeightsAt to return RAW storage-node weights (no
  RemapStorageToSolver); InterpBasisWeightsByScheme applies the remap and was
  producing solver-column weights, which broke the Number_-typed LogDfAt
  accumulation.
- Add FloatConvention() accessors on Deposit_/FRA_/Future_/Swap_ for the
  eligibility check.
- Explicit instantiation of DiscountLogDFT_<Number_> in yclogdf.cpp and
  PrecomputeT<Number_> on each Phase A instrument so the linker finds them.
- New tests in test_phase_a_jacobian.cpp (6 tests): AAD-tape Jacobian matches
  two-sided central differences within 1e-9 on non-zero entries; structural
  zeros are exactly 0.0; AAD-tape solve matches bumped node-by-node within 1e-8;
  ineligible parameterization falls back to bumped; FORECAST-target falls
  through to CP1 (matrix matches ANALYTIC_LOG_DISCOUNT); tape isolation across
  two consecutive Gradient calls. All 720 te... (continued)

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

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