# Glossary
| **AAD / AD** | Algorithmic (adjoint) differentiation. `Dual<T>` records a tape; one reverse sweep yields all sensitivities. |
| **Aggregator** | `PfeAggregator` implementor turning an `NpvCube` into a scalar measure (CVA, DVA, FVA, PFE quantile). |
| **Annuity** | \\(\sum_i N\tau_i P(T_i)\\) over fixed coupons; denominator of the fair swap rate. |
| **Claim** (`ContingentClaim`) | Atomic future cashflow with an evaluation strategy; the unit of exposure simulation. |
| **Collateral curve** | `MarketIndex::Collateral(ccy, coll_ccy)`: discount curve for `ccy` cashflows under `coll_ccy` collateral, bootstrapped from cross-currency basis quotes. |
| **CSA** (`CsaTerms`) | Credit Support Annex parameters: collateral index/currency, credit spread or credit curve, recovery, funding spread or curve. |
| **CVA / DVA / FVA** | Credit, debit and funding valuation adjustments computed from EPE/ENE profiles. |
| **Discount policy** | `DiscountPolicy` trait selecting the discount curve per leg (`SingleCurveCSADiscountPolicy`, `FixedIncomeDiscountPolicy`). |
| **DualFwd** | `Dual<Fwd2>`: default AD scalar (reverse over second-order forward). |
| **EE / EPE / ENE** | Expected exposure, expected positive/negative exposure per date from an `NpvCube`. |
| **Event / EventStream** | Dated script code blocks (`CodedEvent`) and their parsed, validated sequence. |
| **Evaluator** | Type-erased dispatcher from `TypeId` to `ErasedPricer`. |
| **Fixing** | Historical index observation stored in `FixingStore`; used for coupons whose accrual already started. |
| **FuzzyEvaluator** | Script evaluator that smooths `if` conditions with call spreads so payoffs are differentiable. |
| **Hull-White** | One-factor Gaussian short-rate model \\(dr=(\theta-\alpha r)dt+\sigma dW\\); closed forms for ZCBs, caplets, swaptions. |
| **IFT** | Implicit function theorem; converts pillar sensitivities into quote sensitivities after bootstrapping. |
| **LGM** | Linear Gaussian Markov model; state \\(z_t\\), functions \\(H(t)\\), \\(\zeta(t)\\); basis of `LgmMarketModel`. |
| **Level** | `Bid`, `Mid`, `Ask` — which side of a quote to use. |
| **MarketIndex** | Curve identifier: `SOFR`, `ICP`, `TermSOFR3m`, `Collateral(..)`, `Credit(..)`, `Equity(..)`. |
| **Netting set** | Claims valued together under one CSA; positive exposure is taken on the netted sum. |
| **NpvCube** | `npvs[path][date]` matrix per trade produced by the exposure evaluator. |
| **Numeraire** | Bank-account value along a path used to deflate cashflows in LGM. |
| **Pillar** | Curve node created by one quote; sensitivities are reported per pillar quote identifier. |
| **PricingContext** | Owner of quotes, configurations, bootstrapped elements and the AD tape; entry point for evaluation. |
| **Quote identifier** | Underscore-separated string such as `OIS_USD_SOFR_5Y` parsed into `QuoteDetails`. |
| **Request** | `Value`, `FairRate`, `Cashflows`, `Sensitivities` (plus unimplemented `YieldToMaturity`, `ModifiedDuration`). |
| **Scenario** | Quote shock (`Absolute`/`Relative`) applied before bootstrapping; segment-based target matching. |
| **ScriptEngine** | Compiles an `EventStream` into an evaluable product and prices it on a `MarketModel`. |
| **Side** | `LongReceive` / `PayShort` sign convention for trades and claims. |
| **Strike** | `Absolute(K)`, `Atm`, `Relative(spread)` resolved against the forward. |
| **Tape** | Thread-local recorder of `Dual` operations; supports marks and rewinds between trades. |
| **Vol surface / cube** | Bilinear (expiry × strike) or trilinear (expiry × tenor × strike) interpolated implied volatilities. |