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wegamekinglc / Derivatives-Algorithms-Lib
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Repo Added 16 Jan 2021 06:31AM UTC
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26 Jun 2026 05:13PM UTC coverage: 80.341%. Remained the same
28253635416

push

github

wegamekinglc
docs: address critic review of joint multi-curve Jacobian section

Close five content gaps the dal-critic flagged on PR #137 so more source
comments can be safely trimmed downstream. Each claim verified against the
cited source before writing.

- M1 (Eligibility): the joint path supports PIECEWISE_LINEAR_FWD and
  PIECEWISE_CONSTANT_FWD only; LOG_DISCOUNT and ZERO_RATE throw a hard REQUIRE
  at validation on BOTH the BUMPED and ANALYTIC paths -- not an eligibility
  gate. State this so the existing "ANALYTIC never throws" line cannot be read
  as blanket.
- Single-threaded note: CalibrateJointMultiCurve uses a thread-local AAD tape
  cleared by a TapeGuard_ on entry/exit, so concurrent calls would corrupt the
  tape.
- M2 (PWL integration): templated Tape::DiscountPWLF_<T_,B_> is non-storable
  (Write is REQUIRE(false)); only the anonymous-namespace double DiscountPWLF_
  in ycimp.cpp is serializable, and that is what the bumped path and any
  persistent result curve use.
- M3 (PWL integration): the Number_-typed curve is built directly from
  tape-registered forward parameters; ApplyDX is never invoked on the AAD path
  -- the reason the class holds flat Vector_<T_> members rather than a
  templated interpolator.
- M4 (sparse-by-row): the joint smoother is block-diagonal (one per-slot
  SelfCouplePWC call at paramOffset, no cross-declaration entries), so it adds
  no coupling beyond what the residual map's routing establishes. Reworded the
  earlier "every parameter of every other declaration is zero" overstatement:
  a forward-declaration residual does touch OIS-discount params via the leg and
  via base layering, so those cross-declaration entries are genuinely nonzero;
  the zeros sit only at parameters no residual reaches by any route.

PR body (M6) also corrected separately via gh api: the migration covers 5 joint
curve headers + 2 .cpp files, not 8 -- yclogdf.hpp, ycctx.hpp, discount.hpp are
single-curve and covered by aad.md's Tape-Layer Primi... (continued)

6318 of 7864 relevant lines covered (80.34%)

3189287.03 hits per line

Relevant lines Covered
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Build:
7864 RELEVANT LINES 6318 COVERED LINES
3189287.03 HITS PER LINE
Source Files on docs/simplify-comments-phase7
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Recent builds

Builds Branch Commit Type Ran Committer Via Coverage
28253635416 docs/simplify-comments-phase7 docs: address critic review of joint multi-curve Jacobian section Close five content gaps the dal-critic flagged on PR #137 so more source comments can be safely trimmed downstream. Each claim verified against the cited source before writing. - ... push 26 Jun 2026 05:32PM UTC wegamekinglc github
80.34
28253637530 docs/simplify-comments-phase7 Merge a67dc63a7 into 885d08704 Pull #137 26 Jun 2026 05:28PM UTC web-flow github
80.34
28253043839 docs/simplify-comments-phase7 docs: migrate joint multi-curve AAD-Jacobian methodology into yield_curve_jacobian The joint multi-curve AAD analytic Jacobian for CalibrateJointMultiCurve shipped its narrative in source comments across eight curve headers (jointcalibration.hpp,... push 26 Jun 2026 05:26PM UTC wegamekinglc github
80.34
28253061260 docs/simplify-comments-phase7 Merge cc2aa369a into 885d08704 Pull #137 26 Jun 2026 05:20PM UTC web-flow github
80.34
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