8.3.4 Practical Examples
The example of this section was somewhat contrived. We were given a specific portfolio on a specific current date, which meant we could design a minimalist portfolio mapping based upon only the key factors necessary for that portfolio and based upon day counts applicable to that specific date. When we design a mapping procedure, we must be more general. The procedure must be able to specify a primary mapping for any portfolio that may be encountered. It must be able to apply day counts for any date.
In the remaining sections of this chapter, we consider practical, scalable examples. Because the emphasis is practicality, these entail much “bookkeeping”—with numerous day counts, asset values, risk factors, and mappings carefully defined. The examples offer a clear sense of what it is like to specify practical primary mappings.