Update documentation for new methods

docs/Project.toml

@@ -7,6 +7,7 @@ ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 Interpolations = "a98d9a8b-a2ab-59e6-89dd-64a1c18fca59"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
+LsqFit = "2fda8390-95c7-5789-9bda-21331edee243"
 OrderedCollections = "bac558e1-5e72-5ebc-8fee-abe8a469f55d"
 Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 ProgressBars = "49802e3a-d2f1-5c88-81d8-b72133a6f568"

docs/make.jl

@@ -28,6 +28,7 @@ makedocs(
         "analytics/analytics.md",
         "examples/examples.md",
         "models/models.md",
+        "models/rates_models.md",
         "paths/paths.md",
         "payoffs/payoffs.md",
         "products/products.md",

docs/src/examples/examples.md

@@ -2,6 +2,10 @@
 
 In this section we document data and functions to work with the product and model examples.
 
+```@docs
+DiffFusion.Examples._csv_path
+```
+
 ```@docs
 DiffFusion.Examples.examples
 ```

docs/src/models/models.md

@@ -33,7 +33,14 @@ DiffFusion.GaussianHjmModel
 ```
 
 ```@docs
-DiffFusion.gaussian_hjm_model
+DiffFusion.gaussian_hjm_model(
+    alias::String,
+    delta::DiffFusion.ParameterTermstructure,
+    chi::DiffFusion.ParameterTermstructure,
+    sigma_f::DiffFusion.BackwardFlatVolatility,
+    correlation_holder::Union{DiffFusion.CorrelationHolder, Nothing},
+    quanto_model::Union{DiffFusion.AssetModel, Nothing},
+    )
 ```
 
 ```@docs
@@ -120,6 +127,10 @@ DiffFusion.log_future
 DiffFusion.forward_rate_variance
 ```
 
+```@docs
+DiffFusion.swap_rate_variance
+```
+
 ## Model Functions for Simulation
 
 ```@docs
@@ -188,64 +199,3 @@ DiffFusion.quanto_drift
 DiffFusion.asset_variance
 ```
 
-## Additional Rates Model Functions
-
-```@docs
-DiffFusion.func_y
-```
-
-```@docs
-DiffFusion.chi_hjm
-```
-
-```@docs
-DiffFusion.benchmark_times
-```
-
-```@docs
-DiffFusion.H_hjm
-```
-
-```@docs
-DiffFusion.G_hjm
-```
-
-```@docs
-DiffFusion.benchmark_times_scaling
-```
-
-```@docs
-DiffFusion.func_Theta_x
-```
-
-```@docs
-DiffFusion.func_Theta_x_integrate_y
-```
-
-```@docs
-DiffFusion.func_Theta_s
-```
-
-```@docs
-DiffFusion.func_Theta
-```
-
-```@docs
-DiffFusion.func_H_T
-```
-
-```@docs
-DiffFusion.func_H_T_dense
-```
-
-```@docs
-DiffFusion.func_Sigma_T
-```
-
-```@docs
-DiffFusion.GaussianHjmModelVolatility
-```
-
-```@docs
-DiffFusion.swap_rate_variance
-```

docs/src/models/rates_models.md

@@ -0,0 +1,115 @@
+# Additional Rates Model Functions
+
+## Model Functions for Simulation
+
+```@docs
+DiffFusion.func_y
+```
+
+```@docs
+DiffFusion.chi_hjm
+```
+
+```@docs
+DiffFusion.benchmark_times
+```
+
+```@docs
+DiffFusion.H_hjm
+```
+
+```@docs
+DiffFusion.G_hjm
+```
+
+```@docs
+DiffFusion.benchmark_times_scaling
+```
+
+```@docs
+DiffFusion.func_Theta_x
+```
+
+```@docs
+DiffFusion.func_Theta_x_integrate_y
+```
+
+```@docs
+DiffFusion.func_Theta_s
+```
+
+```@docs
+DiffFusion.func_Theta
+```
+
+```@docs
+DiffFusion.func_H_T
+```
+
+```@docs
+DiffFusion.func_H_T_dense
+```
+
+```@docs
+DiffFusion.func_Sigma_T
+```
+
+## Swap Rate Volatility Calculation
+
+```@docs
+DiffFusion.GaussianHjmModelVolatility
+```
+
+```@docs
+DiffFusion.swap_rate_gradient
+```
+
+```@docs
+DiffFusion.swap_rate_instantaneous_covariance
+```
+
+```@docs
+DiffFusion.swap_rate_volatility²
+```
+
+```@docs
+DiffFusion.swap_rate_covariance
+```
+
+```@docs
+DiffFusion.swap_rate_correlation
+```
+
+```@docs
+DiffFusion.model_implied_volatilties
+```
+
+## Model Calibration
+
+```@docs
+DiffFusion.gaussian_hjm_model(
+    alias::String,
+    ch::Union{DiffFusion.CorrelationHolder, Nothing},
+    option_times::AbstractVector,
+    swap_maturities::AbstractVector,
+    swap_rate_volatilities::AbstractMatrix,
+    yts::DiffFusion.YieldTermstructure;
+    max_iter::Integer = 5,
+    volatility_regularisation::ModelValue = 0.0,
+    )
+```
+
+```@docs
+DiffFusion.gaussian_hjm_model(
+    alias::String,
+    delta::DiffFusion.ParameterTermstructure,
+    chi::DiffFusion.ParameterTermstructure,
+    ch::Union{DiffFusion.CorrelationHolder, Nothing},
+    option_times::AbstractVector,
+    swap_maturities::AbstractVector,
+    swap_rate_volatilities::AbstractMatrix,
+    yts::DiffFusion.YieldTermstructure;
+    max_iter::Integer = 5,
+    volatility_regularisation::ModelValue = 0.0,
+    )
+```

docs/src/payoffs/payoffs.md

@@ -128,6 +128,40 @@ DiffFusion.CompoundedRate(
     )
 ```
 
+```@docs
+DiffFusion.Optionlet
+```
+
+```@docs
+DiffFusion.Optionlet(
+    obs_time_::ModelTime,
+    expiry_time::ModelTime,
+    forward_rate::Union{DiffFusion.LiborRate, DiffFusion.CompoundedRate},
+    strike_rate::DiffFusion.Payoff,
+    call_put::ModelValue,
+    gearing_factor::DiffFusion.Payoff = DiffFusion.Fixed(1.0),
+    )
+```
+
+```@docs
+DiffFusion.Swaption
+```
+
+```@docs
+DiffFusion.Swaption(
+    obs_time_::ModelTime,
+    expiry_time::ModelTime,
+    settlement_time::ModelTime,
+    forward_rates::AbstractVector,
+    fixed_times::AbstractVector,
+    fixed_weights::AbstractVector,
+    fixed_rate::ModelValue,
+    payer_receiver::ModelValue,
+    disc_key::String,
+    )
+```
+
+
 
 ## American Monte Carlo Payoffs