Update and refactor documentation

docs/make.jl

@@ -22,24 +22,56 @@ makedocs(
     ),
     modules = [DiffFusion],
     pages = [
-        "index.md",
-        "pages/overview.md",
-        "pages/simulation_framework.md",
+        "Home" => "index.md",
+        "Introduction" => Any[
+            "introduction/overview.md",
+            "introduction/simulation_framework.md",
+        ],
+        "Term Structures" => Any[
+            "termstructures/termstructures.md",
+            "termstructures/yield_curves.md",
+            "termstructures/volatilities.md",
+            "termstructures/parameters.md",
+            "termstructures/correlations.md",
+            "Others" => "termstructures/others.md",
+        ],
+        "Models" => Any[
+            "models/rates_models.md",
+            "models/asset_models.md",
+            "models/futures_models.md",
+            "models/credit_models.md",
+            "models/cross_asset_models.md",
+            "models/models.md",
+        ],
         #
-        "termstructures/termstructures.md",
-        "models/models.md",
-        "models/rates_models.md",
         "simulations/simulations.md",
-        "paths/paths.md",
-        "payoffs/payoffs.md",
-        "products/products.md",
+        "Pricing Configuration" => Any[
+            "pricing_configuration/context.md",
+            "pricing_configuration/paths.md",
+        ],
+        "Products" => Any[
+            "products/cash_flows.md",
+            "products/products.md",
+            "products/swaptions.md",
+        ],
+        "Scenarios" => Any[
+            "scenarios/scenario_generation.md",
+            "scenarios/exposure_calculation.md",
+            "scenarios/collateral_simulation.md",
+        ],
+        "Payoffs" => Any[
+            "payoffs/payoffs.md",
+            "payoffs/rates_payoffs.md",
+            "payoffs/asset_payoffs.md",
+            "payoffs/amc_payoffs.md",
+        ],
+        "sensitivities/sensitivities.md",
         "analytics/analytics.md",
-        #
         "examples/examples.md",
         "serialisation/serialisation.md",
         "utils/utils.md",
-        "pages/additional_functions.md",
-        "pages/function_index.md",
+        "additional_functions/additional_functions.md",
+        "function_index/function_index.md",
     ],
     warnonly = [:missing_docs, ],
 )

docs/src/analytics/analytics.md

@@ -1,88 +1,17 @@
-# Analytics Functions
+# Analytics
 
-In this section we document methods for instrument pricing, exposure and collateral simulation.
+In this section we document additional analytic modelling functions.
 
-```@docs
-DiffFusion.ScenarioCube
-```
-
-```@docs
-DiffFusion.scenarios
-```
-
-```@docs
-DiffFusion.join_scenarios
-```
-
-```@docs
-DiffFusion.interpolate_scenarios
-```
-
-```@docs
-DiffFusion.concatenate_scenarios
-```
-
-```@docs
-DiffFusion.aggregate
-```
-
-```@docs
-DiffFusion.expected_exposure
-```
-
-```@docs
-DiffFusion.potential_future_exposure
-```
-
-```@docs
-DiffFusion.valuation_adjustment
-```
-
-## Collateral Modelling
-
-This section contains methods for collateralised exposure calculation.
-
-We follow the approaches in A. Green, XVA, 2016.
-
-
-```@docs
-DiffFusion.collateral_call_times
-```
-
-```@docs
-DiffFusion.market_values_for_csa
-```
-
-```@docs
-DiffFusion.collateral_values_for_csa
-```
-
-```@docs
-DiffFusion.effective_collateral_values
-```
-
-```@docs
-DiffFusion.collateralised_portfolio
-```
-
-## Pricing Analytics
-
-```@docs
-DiffFusion.model_price
-```
-
-```@docs
-DiffFusion.model_price_and_deltas
-```
+## Reference Rate Covariance Calculations
 
 ```@docs
-DiffFusion.model_price_and_vegas
+DiffFusion.reference_rate_scaling
 ```
 
 ```@docs
-DiffFusion.model_price_and_deltas_vector
+DiffFusion.reference_rate_covariance
 ```
 
 ```@docs
-DiffFusion.model_price_and_vegas_vector
+DiffFusion.reference_rate_volatility_and_correlation
 ```

docs/src/examples/examples.md

@@ -1,4 +1,6 @@
-# Examples (Module) Functions
+# Example Models and Portfolios
+
+We add example models, term structures, pricing context and product configurations in an `Examples` sub-module. The examples are encoded as YAML files. They should help users to easily set up simulations for ad-hoc testing and analysis.
 
 In this section we document data and functions to work with the product and model examples.
 

docs/src/index.md

@@ -70,7 +70,7 @@ A basic one-factor Gaussian interest rate model can be set up as follows:
 model = DiffFusion.gaussian_hjm_model("mdl/HJM1F", δ, χ, σ, nothing, nothing)
 ```
 
-Details on the setup of model parameters are documented in the [Term Structures Functions](@ref) section. Available models are documented in the [Models Functions](@ref) section.
+Details on the setup of model parameters are documented in the [Interest Rates Models](@ref) section. Available models are documented in the Models section.
 
 ### Monte Carlo Simulation
 
@@ -83,7 +83,7 @@ n_paths = 2^10  # number of simulated paths
 sim = DiffFusion.simple_simulation(model, ch, times, n_paths)
 ```
 
-Further details on Monte Carlo simulation methods are documented in the [Simulations Functions](@ref) section.
+Further details on Monte Carlo simulation methods are documented in the [Monte Carlo Simulations](@ref) section.
 
 ### Monte Carlo *Path* Construction
 
@@ -123,7 +123,7 @@ And a path combines simulation, term structures and context.
 path = DiffFusion.path(sim, ts, ctx)
 ```
 
-`Context` and `Path` objects are further documented in the [Monte Carlo Paths Functions](@ref) section.
+`Context` and `Path` objects are further documented in the [Pricing Context](@ref) section and the [Simulated Paths](@ref) section.
 
 ### Financial Instrument Setup
 
@@ -186,7 +186,7 @@ fixed_leg = DiffFusion.cashflow_leg(
 
 A financial instrument is a list of one or more cash flow legs.
 
-More details on available cash flows and cash flow legs are documented in the [Products Functions](@ref) section.
+More details on available cash flows and cash flow legs are documented in the [Cash Flow and Coupons](@ref) section.
 
 ### Scenario Valuation
 
@@ -229,7 +229,7 @@ display(ee)
 #  0.0  7.98524  9.44371  147.817  148.527  0.0  0.0
 ```
 
-Scenario valuations are further documented in the [Analytics Functions](@ref) section.
+Scenario valuations are further documented in the [Scenarios](@ref) section.
 
 ## Further Examples
 

docs/src/models/asset_models.md

@@ -0,0 +1,56 @@
+# Asset Models (FX/Equity/Inflation)
+
+## Asset Model Types
+
+```@docs
+DiffFusion.AssetModel
+```
+
+### Lognormal Model
+
+```@docs
+DiffFusion.LognormalAssetModel
+```
+
+```@docs
+DiffFusion.lognormal_asset_model
+```
+
+### CEV Model
+
+```@docs
+DiffFusion.CevAssetModel
+```
+
+```@docs
+DiffFusion.cev_asset_model
+```
+
+## Model Functions for Payoff Evaluation
+
+```@docs
+DiffFusion.log_asset
+```
+
+```@docs
+DiffFusion.log_asset_convexity_adjustment
+```
+
+## Additional Asset Model Functions
+
+```@docs
+DiffFusion.asset_volatility
+```
+
+```@docs
+DiffFusion.correlation_holder(m::DiffFusion.AssetModel)
+```
+
+```@docs
+DiffFusion.quanto_drift
+```
+
+```@docs
+DiffFusion.asset_variance
+```
+

docs/src/models/credit_models.md

@@ -0,0 +1,42 @@
+# Credit Spread Models
+
+## Model Types
+
+```@docs
+DiffFusion.CoxIngersollRossModel
+```
+
+```@docs
+DiffFusion.cox_ingersoll_ross_model
+```
+
+## Model Functions for Simulation
+
+```@docs
+DiffFusion.cir_z0
+```
+
+```@docs
+DiffFusion.cir_chi
+```
+
+```@docs
+DiffFusion.cir_theta
+```
+
+```@docs
+DiffFusion.cir_sigma
+```
+
+```@docs
+DiffFusion.cir_moments
+```
+
+```@docs
+DiffFusion.cir_lognormal_approximation
+```
+
+```@docs
+DiffFusion.func_Theta_Sigma
+```
+

docs/src/models/cross_asset_models.md

@@ -0,0 +1,23 @@
+# Cross Asset Hybrid Models
+
+## Cross Asset Hybrid Model Types
+
+```@docs
+DiffFusion.CompositeModel
+```
+
+```@docs
+DiffFusion.SimpleModel
+```
+
+```@docs
+DiffFusion.simple_model
+```
+
+```@docs
+DiffFusion.DiagonalModel
+```
+
+```@docs
+DiffFusion.diagonal_model
+```

docs/src/models/futures_models.md

@@ -0,0 +1,18 @@
+# Future Price Models
+
+## Future Price Model Types
+
+```@docs
+DiffFusion.MarkovFutureModel
+```
+
+```@docs
+DiffFusion.markov_future_model
+```
+
+## Model Functions for Payoff Evaluation
+
+```@docs
+DiffFusion.log_future
+```
+