Docs / nablatensor-quant / com.nablatensor.quant
final class
MultiCurveBootstrap
Two-stage bootstrap of a CurveSet: the OIS discount curve from OIS deposits and par swaps, then each tenor forecast curve from deposits and par swaps whose annuity and float legs discount on the OIS curve.
The whole recursion is recorded once against SDouble quotes and replayed through a MultiOutput, so alongside the curves it returns the exact d(zero rate) / d(quote) Jacobian from one adjoint sweep — the bucket-delta transformation a rates desk applies to turn instrument PV01s into zero-rate risk. The Jacobian is block lower-triangular by construction: OIS zeros depend only on OIS quotes; forecast zeros also depend on the OIS quotes that move their discounting.
Stylised annual construction (see CurveSet): OIS pillars are the integer years 1..N (an optional sub-year deposit is allowed but only used for its own pillar, not the annual annuity); each forecast curve is a 1-year deposit or 1-year swap followed by consecutive integer-year swaps.
Fields
OIS discount curve tenor key.
Methods
Records the bootstrap recursion once and keeps the compiled kernel open, so the curves and Jacobian can be re-evaluated at shifted quotes (a bump cross-check, a scenario) without re-recording. Close it when done.