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# Calculating credit risk capital charges with the one-factor model

## 1 Introduction

In the past two years, one-factor models111See Frey and McNeil (2004) for an overview of credit modeling methodologies. for credit portfolio risk have become popular. On the one side, they can rather readily be handled from a computational point of view, and, in particular, allow to avoid lengthy Monte Carlo simulations which in general are needed when dealing with more sophisticated credit risk models. On the other side, they are capable to incorporate simple dependence structures which are to a certain degree sufficient for a rudimentary form of credit risk management.

Often, one-factor models admit a decomposition of the portfolio loss variable into a monotonic function of the factor and a residual. The former part of the decomposition is called *systematic* risk whereas the latter part is called *specific* or *idiosyncratic* risk. Sometimes, the portfolio loss variable converges in some sense to a monotonic function of the factor. This observation can be used as point of departure for analytic approximations of important statistics of the portfolio like quantiles of the portfolio loss variable *(value-at-risk, VaR)*.

Gordy (2003) was the first to suggest this approach which he called *granularity adjustment* for the one-factor model credit portfolio that underlies the Basel II regulatory capital rules coming into force in 2007 (see BCBS, 2004). Then it was refined by Wilde (2001)222The authors thank Tom Wilde for stimulating the writing of this paper and for useful comments on its first version. and Pykhtin and Dev (2002). Only recently, Martin and Wilde (2002a) observed that the results by Gouriéroux et al. (2000) make feasible an easier and more systematic way to derive the adjustments. In the following (Section 2), we reexamine the granularity adjustment in the one-factor model and develop new formulae for computing adjustments at the transaction level (Corollary 2.4). Additionally, in Section 3 we present a new alternative *semi-asymptotic* approach to capital charges at transaction level which relies on a limiting procedure applied to a part of the portfolio only. In contrast to the granularity adjustment approach, the semi-asymptotic approach is able to capture fully the effects of exposure concentrations on the risk contributions of single transactions. Section 4 provides a numerical example. We conclude with a short summary in Section 5.

## 2 The granularity adjustment approach

In order to explain the approach we will follow, we consider two random variables $`L`$ and $`X`$. $`L`$ denotes the portfolio loss whereas $`X`$ reflects the value of an economic factor which causes the dependence between the different transactions building up the portfolio. The conditional expectation of $`L`$ given $`X`$, $`\mathrm{E}[L|X]`$, is considered the systematic part of the portfolio loss. This can be motivated by the decomposition

$$L=\mathrm{E}[L|X]+L\mathrm{E}[L|X]$$
(2.1)
which leads to

$`\begin{array}{cc}\hfill \mathrm{var}[L]& =\mathrm{E}\left[\mathrm{var}[L|X]\right]+\mathrm{var}\left[\mathrm{E}[L|X]\right]\hfill \\ & =\mathrm{E}\left[\mathrm{var}[L\mathrm{E}[L|X]|X]\right]+\mathrm{var}\left[\mathrm{E}[L|X]\right],\hfill \end{array}`$ (2.2)
where $`\mathrm{var}`$ denotes variance and $`\mathrm{var}[|X]`$ means conditional variance. Under the assumption that conditional on the value of the economic factor $`X`$ the elementary transactions in the portfolio are independent, the term $`\mathrm{E}\left[\mathrm{var}[L|X]\right]`$ in (2.2) is likely to converge to zero with a growing number of transactions in the portfolio. Therefore, the specific risk $`L\mathrm{E}[L|X]`$ of the portfolio may be considered *incremental* and small compared to the systematic risk $`\mathrm{E}[L|X]`$. Note that by the factorization lemma $`\mathrm{E}[L|X]`$ may be written as $`g(X)`$ with some appropriately chosen function $`g`$. This becomes interesting when $`g`$ turns out to be monotonic since in this case values for some statistics of $`\mathrm{E}[L|X]`$ like quantiles can be easily computed from the corresponding statistics of $`X`$. We fix this as a formal assumption.

###### Assumption 2.1

The conditional expectation of $`L`$ given the factor $`X`$ can be written as

$$\mathrm{E}[L|X]=g(X),$$

where $`g`$ is continuous and strictly increasing or decreasing. The distribution of $`X`$ is continuous, i.e. $`\mathrm{P}[X=x]=0`$ for all $`x`$.

For $`\alpha (0,1)`$ and any random variable $`Y`$, define the $`\alpha `$-quantile of $`Y`$ by

$$q_\alpha (Y)=inf\{y:\mathrm{P}[Yy]\alpha \}.$$
(2.3)
As $`L`$ is interpreted as a portfolio loss variable, we are interested in high quantiles of $`L`$, i.e. in the case of $`\alpha `$ being close to $`100\%`$ like $`\alpha =99.9\%`$ as in Basel II. Then the value of the quantile can be considered the amount of capital necessary to keep the portfolio holder solvent with a very high probability. In this context, $`q_\alpha (L)`$ is also called *value-at-risk* at level $`\alpha `$ of the portfolio loss.

The granularity adjustment approach to the calculation of the $`\alpha `$-quantile $`q_\alpha (L)`$ of the portfolio loss is essentially a second order Taylor expansion. Observing that $`L=\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])`$ for $`h=1`$, this can be seen with the following short calculation:

$`q_\alpha (L)`$ $`=q_\alpha \left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)|_{h=1}`$
$`q_\alpha \left(\mathrm{E}[L|X]\right)+{\displaystyle \frac{q_\alpha }{h}}\left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)|_{h=0}`$ (2.4)
$`+{\displaystyle \frac{1}{2}}{\displaystyle \frac{^2q_\alpha }{h^2}}\left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)|_{h=0}.`$
The derivatives of $`q_\alpha \left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)`$ with respect to $`h`$ can be calculated thanks to results by Gouriéroux et al. (2000) (see Martin and Wilde, 2002b, for the derivatives of arbitrary large orders). This way, we obtain

$`{\displaystyle \frac{q_\alpha }{h}}\left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)|_{h=0}`$ $`=\mathrm{E}[L\mathrm{E}[L|X]|\mathrm{E}[L|X]=q_\alpha (\mathrm{E}[L|X])]`$
$`=0,`$ (2.5)
where (2.5) follows from Assumption 2.1, since $`q_\alpha (\mathrm{E}[L|X])=g\left(q_\alpha (X)\right)`$ if $`g`$ is increasing, and $`q_\alpha (\mathrm{E}[L|X])=g\left(q_{1\alpha }(X)\right)`$ if $`g`$ is decreasing. Under Assumption 2.1, $`\mathrm{E}[L|X]`$ has a density if $`X`$ has a density $`h_X`$. If this density of $`\mathrm{E}[L|X]`$ is denoted by $`\gamma _L`$, it can be determined according to

$`\gamma _L(y)`$ $`=h_X(g^1(y))\left|g^{}(g^1(y))\right|^1.`$ (2.6)
With regard to the second derivative in (2.4), we obtain by means of the corresponding result of Gouriéroux et al. (2000)

$`{\displaystyle \frac{^2q_\alpha }{h^2}}\left(\mathrm{E}[L|X]+h(L\mathrm{E}[L|X])\right)|_{h=0}`$ $`={\displaystyle \frac{\mathrm{var}}{x}}\left(L|X=g^1(x)\right)|_{x=g(q_\beta (X))}`$ (2.7)
$`{\displaystyle \frac{\mathrm{var}\left[L|X=q_\beta (X)\right]}{\gamma _L\left(g(q_\beta (X))\right)}}{\displaystyle \frac{\gamma _L}{x}}(x)|_{x=g(q_\beta (X))},`$
with $`\beta =\alpha `$, if $`g`$ is increasing, and $`\beta =1\alpha `$ if $`g`$ is decreasing.

In order to be able to carry out numerical calculations by means of (2.4) and (2.7), we have to fix a stochastic model, the one-factor model in our case. Define the indicator variable $`\mathrm{𝟏}_D`$ of the event $`D`$ by

$$\mathrm{𝟏}_D(\omega )=\{\begin{array}{cc}1,\hfill & \omega D,\hfill \\ 0,\hfill & \omega D.\hfill \end{array}$$
(2.8)
We then define the portfolio loss $`L_n`$ by

$`L_n`$ $`=L_n(u_1,\mathrm{},u_n)={\displaystyle \underset{i=1}{\overset{n}{}}}u_i\mathbf{\hspace{0.17em}1}_{D_i},`$ (2.9a)
$`D_i`$ $`=\{\sqrt{\rho _i}X+\sqrt{1\rho _i}\xi _ic_i\},`$ (2.9b)
where $`u_i0`$, $`i=1,\mathrm{},n`$, denotes the weight or the exposure of asset $`i`$ in the portfolio, $`0<\rho _i<1`$ and $`c_i0`$, $`i=1,\mathrm{},n`$, are constants, and $`X,\xi _1,\mathrm{},\xi _n`$ are independent random variables with continuous distributions. As mentioned above, $`X`$ is interpreted as an economic factor that influences all the assets in the portfolio but to different extents. The so-called *asset correlation* $`\rho _i`$ measures the degree of the $`i`$-th asset’s exposure to the systematic risk expressed by $`X`$. The random variables $`\xi _i`$ are assumed to model the idiosyncratic (or specific) risk of the assets. The event $`D_i`$ given by (2.9b) can then be interpreted as the event that default occurs with the $`i`$-th asset because its value falls below some critical threshold.

It is easy to show that in this case Assumption 2.1 holds with decreasing $`g=g_n`$ where $`g_n(x)`$ is given by

$$g_n(x)=\underset{i=1}{\overset{n}{}}u_i\mathrm{P}[\xi _i\frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}].$$
(2.10)
(2.9a) implies that

$$\mathrm{var}[L_n|X=x]=\underset{i=1}{\overset{n}{}}u_i^2\mathrm{P}\left[\xi _i\frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}\right]\left(1\mathrm{P}\left[\xi _i\frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}\right]\right).$$
(2.11)
Under the additional assumption that $`inf_ic_i>\mathrm{}`$ and $`sup_i\rho _i<1`$, it follows from (2.11) that in case of i.i.d. $`\xi _1,\xi _2,\mathrm{}`$ and $`X`$ we have

$`\underset{n\mathrm{}}{lim}\mathrm{E}\left[\mathrm{var}[L_n|X]\right]`$ $`=0`$ (2.12a)
if and only if333Of course, here we admit an additional dependence of $`u_i`$ on $`n`$, i.e. $`u_i=u_{i,n}`$.
$`\underset{n\mathrm{}}{lim}{\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2`$ $`=0.`$ (2.12b)
We will see below (Remark 2.3) that small values of $`_{i=1}^nu_i^2`$ correspond to the case where the portfolio is well diversified in the sense that there are no essential exposure concentrations.

By (2.12a) and (2.12b), in case of large portfolios the systematic part $`\mathrm{var}\left[\mathrm{E}[L_n|X]\right]`$ of the loss variance $`\mathrm{var}[L_n]`$ (cf. (2.2)) is the essential part of the variance. Hence, in this case approximating $`L_n`$ by $`\mathrm{E}[L_n|X]`$ seems reasonable. This observation suggests approximating $`q_\alpha (L_n)`$ with the right-hand side of (2.4), where $`\mathrm{E}[L_n|X]`$ is given by $`g_n(X)`$ with $`g_n(x)`$ defined by (2.10).

Let us now specify the distributions of $`X,\xi _1,\xi _2,\mathrm{},\xi _n`$ as all being the standard normal distributions. This implies

$`g_n(x)`$ $`={\displaystyle \underset{i=1}{\overset{n}{}}}u_i\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}}\right)`$ (2.13a)
and
$`\mathrm{var}\left[L_n|X=x\right]`$ $`={\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2\left(\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}}\right)\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}x}{\sqrt{1\rho _i}}}\right)^2\right)`$ (2.13b)
where $`\mathrm{\Phi }`$ denotes the distribution function of the standard normal distribution.

Since $`g_n`$ is decreasing, we obtain from (2.6) and (2.13a) for the density $`\gamma _{L_n}`$ of $`\mathrm{E}[L_n|X]`$

$`\gamma _{L_n}(x)`$ $`={\displaystyle \frac{\varphi \left(g_n^1(x)\right)}{g_n^{}\left(g_n^1(x)\right)}}`$ (2.14a)
and
$`{\displaystyle \frac{\gamma _{L_n}}{x}}(x)`$ $`={\displaystyle \frac{\varphi \left(g_n^1(x)\right)g_n^{\prime \prime }\left(g_n^1(x)\right)\varphi ^{}\left(g_n^1(x)\right)g_n^{}\left(g_n^1(x)\right)}{g_n^{}\left(g_n^1(x)\right)^3}},`$ (2.14b)
with $`\varphi (x)=(\sqrt{2\pi })^1e^{1/2x^2}`$ denoting the density of the standard normal distribution.

We are now in a position to specialize (2.4) for the case of normally distributed underlying random variables. Plugging in the expressions from (2.13b), (2.14a), and (2.14b) into (2.7) and then the resulting expression for the second derivative of the quantile into (2.4) yields the following formula.

###### Proposition 2.2

Let $`L_n`$ be the portfolio loss variable as defined in (2.9a). Assume that the economic factor $`X`$ and the idiosyncratic risk factors $`\xi _1,\mathrm{},\xi _n`$ are independent and standard normally distributed. Fix a confidence level $`\alpha (0,1)`$. Then the second order Taylor approximation of the quantile $`q_\alpha (L_n)`$ in the sense of (2.4) can be calculated according to

$`q_\alpha (L_n)`$ $``$ $`g_n\left(q_{1\alpha }(X)\right)`$ (2.15)
$`+`$ $`({\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2\sqrt{\frac{\rho _i}{1\rho _i}}\varphi \left(\frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}\right)(12\mathrm{\Phi }\left(\frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}\right))`$
$`+(q_{1\alpha }(X)+\frac{g_n^{\prime \prime }\left(q_{1\alpha }(X)\right)}{g_n^{}\left(q_{1\alpha }(X)\right)}){\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2(\mathrm{\Phi }\left(\frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}\right)\mathrm{\Phi }\left(\frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}\right)^2))`$
$`\times \left(2g_n^{}(q_{1\alpha }(X))\right)^1,`$
with $`\varphi `$ and $`\mathrm{\Phi }`$ denoting the density and the distribution function respectively of the standard normal distribution.

###### Remark 2.3 (Herfindahl index)

Consider the following special case of (2.15):

$$\rho _i=\rho ,\text{and}c_i=c,i=1,\mathrm{},n,\underset{i=1}{\overset{n}{}}u_i=1.$$

Here the $`u_i`$ have to be interpreted as the relative weights of the assets in the portfolio. (2.15) then reads

$`q_\alpha (L_n)`$ $``$ $`\mathrm{\Phi }\left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right)\left(2\sqrt{\frac{\rho }{1\rho }}\varphi \left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right)\right)^1{\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2`$
$`\times (\sqrt{\frac{\rho }{1\rho }}\varphi \left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right)(12\mathrm{\Phi }\left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right))`$
$`+(q_{1\alpha }(X)\sqrt{\frac{\rho }{1\rho }}\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }})\mathrm{\Phi }\left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right)\mathrm{\Phi }\left(\frac{\sqrt{\rho }q_{1\alpha }(X)c}{\sqrt{1\rho }}\right)).`$
The case $`u_i=1/n`$ for all $`i`$ is particularly important as it describes a completely homogeneous portfolio without concentrations. If the $`u_i`$ are not all equal, $`\left(_{i=1}^nu_i^2\right)^1`$ is approximately the equivalent portfolio size that would render the portfolio completely homogeneous. Assume that the $`i`$-th asset has absolute exposure $`v_i`$. Then its relative weight $`u_i`$ is given by

$$u_i=\frac{v_i}{_{j=1}^nv_j}.$$

In this case the above introduced equivalent portfolio size reads $`{\displaystyle \frac{\left(_{j=1}^nv_j\right)^2}{_{j=1}^nv_j^2}}`$. This quantity is known as *Herfindahl index*. Gordy (2003) suggested the Herfindahl index as a key constituent for constructing equivalent homogeneous portfolios. (2.3) yields strong support for this suggestion.

Recall that in Proposition 2.2 not only $`q_\alpha (L_n)=q_\alpha \left(L_n(u_1,\mathrm{},u_n)\right)`$ is a function of the weights $`u_1,\mathrm{},u_n`$ but that also the function $`g_n`$ depends on $`u_1,\mathrm{},u_n`$ via (2.13a). A closer inspection of (2.15) reveals that the right-hand side of the equation (as function of the weight vector $`(u_1,\mathrm{},u_n)`$) is positively homogeneous of order 1. By Euler’s theorem on the representation of homogeneous functions as a weighted sum of the partial derivatives, we can obtain canonical approximate capital charges on transaction or sub-portfolio level which add up to the approximate value-at-risk (cf. Litterman, 1996; Tasche, 1999). The capital charges will thus be approximations to the terms $`u_j\frac{q_\alpha (L_n)}{u_j}`$, $`j=1,\mathrm{},n`$.

These approximate capital charges do not enjoy the portfolio invariance which is the great advantage of the asymptotic capital charges suggested by Gordy (2003). Portfolio invariance in Gordy’s sense means that the capital charges of the single assets depend upon the characteristics of the assets under consideration only but not upon the portolio composition. In particular, when dealing with portfolio invariant capital charges, it does not really matter whether an asset takes on $`50\%`$ of the total portfolio exposure or $`0.05\%`$ only, because the capital charge would increase only linearly. However, in order to capture exposure concentration effects, the capital charge of an asset should grow more than linearly with the exposure as soon as the relative weight of the asset in the portfolio exceeds some critical value. Therefore, as portfolio invariance has the effect to entail capital charges which are not sensitive to concentrations in the portfolio, the partial derivatives approach has got its own attractiveness.

###### Corollary 2.4

The partial derivative with respect to $`u_j`$ of the approximate quantile
$`q_\alpha (L_n)=q_\alpha \left(L_n(u_1,\mathrm{},u_n)\right)`$ as provided by the right-hand side of (2.15) is given by

$`{\displaystyle \frac{q_\alpha (L_n)}{u_j}}`$ $``$ $`\mathrm{\Phi }\left({\displaystyle \frac{c_j\sqrt{\rho _j}q_{1\alpha }(X)}{\sqrt{1\rho _j}}}\right)`$
$`+`$ $`\left(2g_n^{}(q_{1\alpha }(X))^2\right)^1(2u_jA_jg_n^{}(q_{1\alpha }(X))B_j{\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2A_i`$
$`+\left(E_j{\displaystyle \frac{B_jg_n^{\prime \prime }(q_{1\alpha }(X))}{g_n^{}(q_{1\alpha }(X))}}\right){\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2D_i`$
$`+(q_{1\alpha }(X)+{\displaystyle \frac{g_n^{\prime \prime }(q_{1\alpha }(X))}{g_n^{}(q_{1\alpha }(X))}})(2u_jD_jg_n^{}(q_{1\alpha }(X))B_j{\displaystyle \underset{i=1}{\overset{n}{}}}u_i^2D_i)),`$
with

$`A_i`$ $`=\sqrt{{\displaystyle \frac{\rho _i}{1\rho _i}}}\varphi \left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right)\left(12\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right)\right),`$
$`B_i`$ $`=\varphi \left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right)\sqrt{{\displaystyle \frac{\rho _i}{1\rho _i}}},`$
$`D_i`$ $`=\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right)\mathrm{\Phi }\left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right)^2,`$
$`E_i`$ $`=\varphi \left({\displaystyle \frac{c_i\sqrt{\rho _i}q_{1\alpha }(X)}{\sqrt{1\rho _i}}}\right){\displaystyle \frac{\rho _i}{1\rho _i}}{\displaystyle \frac{\sqrt{\rho _i}q_{1\alpha }(X)c_i}{\sqrt{1\rho _i}}}.`$
Proposition 2.2 and Corollary 2.4 provide a way for the simultaneous determination of economic capital charges in a top-down approach. First, by means of Proposition 2.2 an approximation for the portfolio value-at-risk is calculated. Then, by means of Corollary 2.4 approximations for the partial derivatives of the portfolio value-at-risk can be found. The derivatives are related to the capital charges via

$$\text{Capital charge of asset }j=u_j\frac{q_\alpha (L_n)}{u_j}.$$
(2.18)
However, there is a caveat in using this approach. Its accuracy is subject to the validity of (2.12b) which will be questionable if there are very large exposures in the portfolio. In this case, the semi-asymptotic approach we will explain in Section 3 might be more appropriate.

## 3 The semi-asymptotic approach

We consider here a special case of (2.9a) where $`\rho _1=\tau `$, $`c_1=a`$ but $`\rho _i=\rho `$ and $`c_i=c`$ for $`i>1`$, and $`_{i=1}^nu_i=1`$. Additionally, we assume that $`u_1=u`$ is a constant for all $`n`$ but that $`u_2,u_3,\mathrm{}`$ fulfills (2.12b).

In this case, the portfolio loss can be represented by

$$L_n(u,u_2,\mathrm{},u_n)=u\mathbf{\hspace{0.17em}1}_{\{\sqrt{\tau }X+\sqrt{1\tau }\xi a\}}+(1u)\underset{i=2}{\overset{n}{}}u_i\mathrm{\hspace{0.17em}1}_{\{\sqrt{\rho }X+\sqrt{1\rho }\xi _ic\}}$$
(3.1)
with $`_{i=2}^nu_i=1`$. Transition to the limit for $`n\mathrm{}`$ in (3.1) in the sense of (2.12b) leads to the *semi-asymptotic* percentage loss function

$$L(u)=u\mathbf{\hspace{0.17em}1}_D+(1u)Y$$
(3.2)
with $`D=\{\sqrt{\tau }X+\sqrt{1\tau }\xi a\}`$ and $`Y=\mathrm{P}\left[\xi \frac{c\sqrt{\rho }x}{\sqrt{1\rho }}\right]|_{x=X}`$. Note that the transition from (3.1) to (3.2) is *semi*-asymptotic only as we keep the first term on the right-hand side of (3.1) unchanged such that it reappears in (3.2). Of course, a natural choice for $`\tau `$ might be $`\tau =\rho `$, the mean portfolio asset correlation.

###### Definition 3.1

The quantity

$$u\mathrm{P}[D|L(u)=q_\alpha (L(u))]$$

is called *semi-asymptotic capital charge* (at level $`\alpha `$) of the loan with exposure $`u`$ (as percentage of total portfolio exposure) and default event $`D`$ as in (3.1).

The capital charges we suggest in Definition 3.1 have to be calculated separately, i.e. for each asset an own model of type (3.2) has to be regarded. This corresponds to a bottom-up approach since the total capital requirement for the portfolio must be determined by adding up all the capital charges of the assets. Note that the capital charges of Definition 3.1 are not portfolio invariant in the sense of Gordy (2003). However, in contrast to the portfolio invariant charges, the semi-asymptotic charges take into account concentration effects. In particular, their dependence on the exposure $`u`$ is not merely linear since also the factor $`\mathrm{P}[D|L(u)=q_\alpha (L(u))]`$ depends upon $`u`$. Definition 3.1 is in line with the general definition of VaR contributions (cf. Litterman, 1996; Tasche, 1999) since (3.2) can be considered a two-assets portfolio model.

In the following, we will assume that the conditional distribution functions $`F_0`$ and $`F_1`$ of $`Y`$ given $`\mathrm{𝟏}_D=0`$ and $`\mathrm{𝟏}_D=1`$ respectively have densities which are continuous and concentrated on the interval $`(0,1)`$. Call these densities $`f_0`$ and $`f_1`$, i.e.

$$\mathrm{P}[Yy|\mathbf{\hspace{0.17em}1}_D=i]=F_i(y)=_{\mathrm{}}^yf_i(t)𝑑t,y,i=0,1.$$
(3.3)
In this case, the distribution function and the density of $`L(u)`$ are given by

$`\mathrm{P}[L(u)z]`$ $`=pF_1({\displaystyle \frac{zu}{1u}})+(1p)F_0\left({\displaystyle \frac{z}{1u}}\right)`$ (3.4a)
and
$`{\displaystyle \frac{\mathrm{P}[L(u)z]}{z}}`$ $`=(1u)^1(pf_1({\displaystyle \frac{zu}{1u}})+(1p)f_0({\displaystyle \frac{z}{1u}}\left)\right)`$ (3.4b)
respectively, where $`p=\mathrm{P}[D]`$ is the *default probability* of the loan under consideration. By means of (3.4a) and (3.4b), the quantile $`q_\alpha (L(u))`$ can be numerically computed. For the conditional probability which is part of Definition 3.1, we obtain

$$\mathrm{P}[D|L(u)=z]=\frac{pf_1\left(\frac{zu}{1u}\right)}{pf_1(\frac{zu}{1u})+(1p)f_0\left(\frac{z}{1u}\right)}.$$
(3.5)
If, similarly to the situation of (2.13a), we assume that $`X`$ and $`\xi `$ are independent and both standard normally distributed, we obtain for the conditional densities in (3.3)

$`f_1(z)`$ $`=\{\begin{array}{cc}\frac{f\left(z\right)}{p}\mathrm{\Phi }\left(\left(\sqrt{1\tau }\right)^1\left(\mathrm{\Phi }^1(p)+\sqrt{\tau }\left(\frac{\sqrt{1\rho }\mathrm{\Phi }^1(z)c}{\sqrt{\rho }}\right)\right)\right),\hfill & z(0,1)\hfill \\ 0,\hfill & \text{otherwise}\hfill \end{array}`$ (3.6c)
and
$`f_0(z)`$ $`=\{\begin{array}{cc}\frac{f\left(z\right)}{1p}\mathrm{\Phi }\left(\left(\sqrt{1\tau }\right)^1\left(\mathrm{\Phi }^1(p)+\sqrt{\tau }\left(\frac{\sqrt{1\rho }\mathrm{\Phi }^1(z)c}{\sqrt{\rho }}\right)\right)\right),\hfill & z(0,1)\hfill \\ 0,\hfill & \text{otherwise,}\hfill \end{array}`$ (3.6f)
with
$`f(z)`$ $`=\{\begin{array}{cc}\sqrt{\rho /(1\rho )}\mathrm{exp}\left(1/2\left(\mathrm{\Phi }^1(z)^2\left(\frac{\sqrt{1\rho }\mathrm{\Phi }^1(z)c}{\sqrt{\rho }}\right)^2\right)\right),\hfill & z(0,1)\hfill \\ 0,\hfill & \text{otherwise.}\hfill \end{array}`$ (3.6i)
Note that $`p=\mathrm{\Phi }(a)`$ in (3.6c) and (3.6f). Denote by $`\mathrm{\Phi }_2(,;\theta )`$ the distribution function of the bivariate standard normal distribution with correlation $`\theta `$. Then, for the conditional distribution functions corresponding to (3.6c) and (3.6f), we have

$`F_1(z)`$ $`=\{\begin{array}{cc}1p^1\mathrm{\Phi }_2(a,\frac{c\sqrt{1\rho }\mathrm{\Phi }^1(z)}{\sqrt{\rho }};\sqrt{\tau }),\hfill & z(0,1)\hfill \\ 0,\hfill & \text{otherwise,}\hfill \end{array}`$ (3.7a)
and
$`F_0(z)`$ $`=\{\begin{array}{cc}(1p)^1\mathrm{\Phi }_2(a,\frac{c\sqrt{1\rho }\mathrm{\Phi }^1(z)}{\sqrt{\rho }};\sqrt{\tau }),\hfill & z(0,1)\hfill \\ 0,\hfill & \text{otherwise.}\hfill \end{array}`$ (3.7b)
Unfortunately, the capital charges from Definition 3.1 do not yield reasonable values in all cases. Indeed, considering the relation of the default probability $`p`$ and the confidence level $`\alpha `$, we easily arrive at the following result.

###### Proposition 3.2

For $`L(u)`$ defined by (3.2) with $`F_1(0)=0`$, we have

$$\underset{u1}{lim}q_\alpha (L(u))=\{\begin{array}{cc}1,\hfill & p>1\alpha \hfill \\ 0,\hfill & p1\alpha .\hfill \end{array}$$

The proof of Proposition 3.2 is presented in Appendix A. Under slightly stronger assumptions than in Proposition 3.2, the limiting behavior of $`q_\alpha (L(u))`$ is inherited by $`\mathrm{P}[D|L(u)=q_\alpha (L(u))]`$.

###### Proposition 3.3

Assume that the densities in (3.3) are positive in $`(0,1)`$. Then for $`L(u)`$ defined by (3.2), we have

$$\underset{u1}{lim}\mathrm{P}[D|L(u)=q_\alpha (L(u))]=\{\begin{array}{cc}1,\hfill & p>1\alpha \hfill \\ 0,\hfill & p<1\alpha .\hfill \end{array}$$

The proof of Proposition 3.3 is also given in Appendix A. In addition, Remark A.2 explains why there is no statement on the case $`\alpha =1p`$ in Proposition 3.3.

By Proposition 3.3, we see that in case $`p<1\alpha `$ it would be worthwhile to concentrate all the exposure to one loan. This is another appearance of a well-known deficiency of value-at-risk. Under value-at-risk portfolio risk measurement, putting all the risk into an event with very small probability can quite drastically reduce capital charges. In order to avoid this phenomenon, other risk measures like Expected Shortfall (cf. Acerbi and Tasche, 2002) have to be used. For Expected Shortfall, in Definition 3.1 the conditional probability $`\mathrm{P}[D|L(u)=q_\alpha (L(u))]`$ has to be replaced by $`\mathrm{P}[D|L(u)q_\alpha (L(u))]`$. See Tasche and Theiler (2004) for details of this approach.

## 4 Numerical example

For the purpose of illustrating the previous sections, we consider a numerical example in the framework of Section 3. This means that there is a portfolio driven by systematic risk only (the variable $`Y`$ in (3.2)) which is enlarged with an additional loan (the indicator $`\mathrm{𝟏}_D`$ in (3.2)).

The portfolio modeled by $`Y`$ has a quite moderate credit standing which is expressed by its expected loss $`\mathrm{E}[Y]=0.025=\mathrm{\Phi }(c)`$. However, we assume that the additional loan enjoys a quite high credit-worthiness as we set $`p=\mathrm{P}[D]=0.002=\mathrm{\Phi }(a)`$. The asset correlation $`\rho `$ of the portfolio with the systematic factor and the asset correlation $`\tau `$ of the additional loan with the systematic factor are chosen according to the current Basel II proposal for corporate loan portfolios (BCBS, 2004), namely $`\rho =0.154`$ and $`\tau =0.229`$.

In order to draw Figure 4, the risk of the portfolio loss variable $`L(u)`$, as defined by (3.2), is regarded as a function of the relative weight $`u`$ of the new loan in the portfolio. Risk then is calculated as true Value-at-Risk (VaR) at level 99.9% (i.e. $`q_{0.999}(L(u))`$), as the granularity adjustment approximation to $`q_{0.999}(L(u))`$ according to (2.4), and in the manner444Actually, the regulatory capital requirements according to Basel II are to be calculated as *unexpected losses*, i.e. as differences of quantiles and loss expectations. In this example, risk is calculated as the quantile only, i.e. as sum of expected and unexpected loss in the Basel II sense.  of the Basel II Accord (cf. BCBS, 2004). The values of VaR are computed by solving numerically for $`z`$ the equation

$$\mathrm{P}[L(u)z]=\alpha ,$$
(4.1)
with $`\mathrm{P}[L(u)z]`$ given by (3.4a), (3.7a), and (3.7b). The granularity adjustment approximation is computed by applying (2.15) to (3.1) and taking the limit with $`n\mathrm{}`$. The Basel II risk weight function can be interpreted as the first order version of (2.4) which yields the straight line

$$uu\mathrm{\Phi }\left(\frac{a\sqrt{\tau }q_{1\alpha }(X)}{\sqrt{1\tau }}\right)+(1u)\mathrm{\Phi }\left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right).$$
(4.2)
Note that for (4.2) we make use of a stylized version of the Basel II risk weight function as we chose arbitrarily the correlation $`\rho `$. The Basel I risk weight function is a constant at 8% that should not be compared to the afore-mentioned functions since it was defined without recourse to mathematical methods. For that reason it has been omitted from Figure 4.

From Figure 4, we see that, up to a level of 2% relative weight of the new loan, both the granularity adjustment approach and the Basel II approach yield precise approximations to the true portfolio VaR. Beyond that level the approximations lose quality very fast. Of course, this observation does not surprise since both the granularity adjustment approach and the Basel II are based on the assumption that there is no concentration in the portfolio. Intuitively, this condition should be violated when the concentration of the additional loan increases too much.

Figure 4 illustrates the relative contribution of the new loan to the risk of the portfolio loss variable $`L(u)`$. The contribution is considered a function of the relative weight $`u`$ of the new loan in the portfolio and calculated according to four different methods. The first method relates to the relative contribution to true portfolio VaR, defined as the ratio of the contribution to VaR according to Definition 3.1 and portfolio VaR, i.e. the function

$$u\frac{u\mathrm{P}[D|L(u)=q_\alpha (L(u))]}{q_\alpha (L(u))},$$
(4.3)
where the conditional probability has to be evaluated by means of (3.5), (3.6c), and (3.6f). Secondly, the relative contribution is calculated as the fraction with the granularity adjustment contribution according to Corollary 2.4 applied to (3.1) (with $`n\mathrm{}`$) in the numerator and the granularity adjustment approximation to VaR as for Figure 4 in the denominator. Moreover, curves are drawn for the Basel II approach, i.e. the function

$$u\frac{u\mathrm{\Phi }\left(\frac{a\sqrt{\tau }q_{1\alpha }(X)}{\sqrt{1\tau }}\right)}{u\mathrm{\Phi }\left(\frac{a\sqrt{\tau }q_{1\alpha }(X)}{\sqrt{1\tau }}\right)+(1u)\mathrm{\Phi }\left(\frac{c\sqrt{\rho }q_{1\alpha }(X)}{\sqrt{1\rho }}\right)},$$
(4.4)
and the Basel I approach. The latter approach just entails the diagonal as risk contribution curve since it corresponds to purely volume-oriented capital allocation.

Note that in Figure 4 the true VaR curve intersects the diagonal (Basel I curve) just at the relative weight $`u^{}`$ that corresponds to the minimum risk portfolio $`L(u^{})`$. Whereas the granularity adjustment curve yields, up to a relative risk weight of 2% of the additional loan, a satisfying approximation to the true contribution curve, the Basel II curve loses reliability much earlier. Both these approximation curves are completely situated below the diagonal. This fact could yield the misleading impression that an arbitrarily high exposure to the additional loan still improves the risk of portfolio. However, as the true VaR curve in Figure 4 shows, the diversification effect from pooling with the new loan stops at 7% relative weight. From Figure 4 we see that beyond 7% relative weight of the additional loan the portfolio risk grows dramatically.

## 5 Conclusions

In the present paper we have extended the granularity approach introduced by Gordy (2003) in a way that takes care of the exact weights of the assets in the portfolio. By calculating the partial derivatives of the resulting approximate portfolio loss quantile and multiplying the results with the asset weights, we can arrive at an approximate capital charge for every asset in the portfolio. In addition, we have introduced the semi-asymptotic approach to one-factor portfolio loss modeling. This approach provides an alternative way to capital charges that accounts for concentrations. By a numerical comparison of these both approaches we have shown that the granularity approach to risk contributions may come up with misleading results if there is a non-negligible concentration in the portfolio. However, also the semi-asymptotic approach yields counter-intuitive results if the probability of default of the loan under consideration is very small. In order to avoid this drawback which is caused by the very nature of value-at-risk, sounder risk measures like Expected Shortfall have to be used.

## A Appendix

The proofs of Propositions 3.2 and 3.3 are based on the following simple inequalities for $`q_\alpha \left(L(u)\right)`$.

###### Lemma A.1

Assume $`F_1(0)=0`$. Then for $`L(u)`$ defined by (3.2), we have

$$q_\alpha \left(L(u)\right)\{\begin{array}{cc}1u,\hfill & \text{if }\alpha 1p,\hfill \\ >u,\hfill & \text{if }\alpha >1p.\hfill \end{array}$$

Proof. In case $`\alpha 1p`$ we obtain by means of (3.4a)

$$\mathrm{P}[L(u)1u]=(1p)F_0\left(\frac{1u}{1u}\right)+pF_1\left(\frac{12u}{1u}\right)\mathrm{\hspace{0.17em}1}p\alpha .$$
(A.1)
By the definition of quantiles (see (2.3)), (A.1) implies the first part of the assertion. Assume now $`\alpha >1p`$. Analogously to (A.1), then we calculate

$$\mathrm{P}[L(u)u]=(1p)F_0\left(\frac{u}{1u}\right)+pF_1(0)\mathrm{\hspace{0.17em}1}p<\alpha .$$
(A.2)
Again by the definition of quantiles, (A.2) yields $`q_\alpha (L(u))>u`$ as stated above. $`\mathrm{}`$

Proof of Proposition 3.2. In case $`\alpha 1p`$, Lemma A.1 implies

$$\underset{u1}{lim\; sup}q_\alpha \left(L(u)\right)\mathrm{\hspace{0.17em}0},$$
(A.3a)
in case $`\alpha >1p`$ we deduce from Lemma A.1
$$\underset{u1}{lim\; inf}q_\alpha \left(L(u)\right)\mathrm{\hspace{0.17em}1}.$$
(A.3b)
Since $`0q_\alpha \left(L(u)\right)1`$, (A.3a) and (A.3b) imply the assertion. $`\mathrm{}`$

Proof of Proposition 3.3. By Lemma A.1, in case $`\alpha 1p`$ we have $`q_\alpha \left(L(u)\right)1/2`$ for $`u>1/2`$ and hence $`q_\alpha \left(L(u)\right)u<0`$. This implies

$$f_1\left(\frac{q_\alpha (L(u))u}{1u}\right)=\mathrm{\hspace{0.17em}0}$$
(A.4)
for $`u>1/2`$. A closer inspection of the proof of Lemma A.1 reveals that in case $`\alpha <1p`$ even $`0<q_\alpha (L(u))<1u`$ obtains if $`f_0`$ is positive. This observation implies $`f_0\left(\frac{q_\alpha (L(u))}{1u}\right)>0`$. Hence, $`lim_{u1}\mathrm{P}[D|L(u)=q_\alpha (L(u))]=0`$ follows from (3.5) and (A.4). Assume now $`\alpha >1p`$. Then by the positivity assumption on $`f_1`$, Lemma A.1 implies $`1>q_\alpha \left(L(u)\right)>u`$. Since $`u/(1u)>1`$ for $`u>1/2`$ we may deduce that

$$f_0\left(\frac{q_\alpha (L(u))}{1u}\right)=\mathrm{\hspace{0.17em}0}\text{and}f_1\left(\frac{q_\alpha (L(u))u}{1u}\right)>\mathrm{\hspace{0.17em}0}.$$
(A.5)
This implies $`\mathrm{P}[D|L(u)=q_\alpha (L(u))]=1`$ for $`u`$ enough close to $`1`$. $`\mathrm{}`$

###### Remark A.2

By inspection of the proof of Proposition 3.3, one can observe that

$$q_{1p}(L(u))=\mathrm{\hspace{0.17em}1}u,u>1/2.$$
(A.6)
As a consequence, $`f_1\left(\frac{q_{1p}(L(u))u}{1u}\right)`$ and $`f_0\left(\frac{q_{1p}(L(u))}{1u}\right)`$ may equal zero at the same time. Hence, in case $`\alpha =1p`$ according to (3.5) the conditional probability $`\mathrm{P}[D|L(u)=q_{1p}(L(u))]`$ may be undefined for $`u>1/2`$. For this reason, Proposition 3.3 does not provide a limit statement for the case $`\alpha =1p`$.


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# 1 Introduction.

## 1 Introduction.

It is well known that spectra of quantum integrable models are defined by solutions of Baxter equations . To our mind most naturally these equations appear in the method of separation of variables developed by Sklyanin . In the classical case the separation of variables is closely related with algebra-geometrical methods based on spectral curves and their Jacobi varieties.One can think of Baxter equations as of definition of “quantum spectral curves”.

The averages of observables in the quantum case are written in terms of rather peculiar integrals. In this paper we shall consider the case related to $`U_q(sl_2)`$ in which all these integrals can be expressed in terms of one-fold deformed hyper-elliptic integrals. In classical case this statement corresponds to rather non-trivial property of cohomologies of affine hyper-elliptic Jacobian which was conjectured in  and proved in . These deformed hyper-elliptic integrals in are considered in the paper , but the details of proof of their properties have never been given. This will be done in the present paper because we believe them to be interesting and instructive.

Let us be more specific in discussion of Baxter equations. If one considers a quantum integrable system with finitely many degrees of freedom related to $`U_q(sl_2)`$ the generating function of its integrals of motion is given by a polynomial:

$`t(z)={\displaystyle \underset{k=0}{\overset{g+1}{}}}z^kt_k`$ (1)
where $`z`$ is the spectral parameter and the number of degrees of freedom equals $`g`$ and $`t_0=1`$. If we consider a system of $`U_q(sl_2())`$ type the spectrum is defined by solutions to Baxter equations:

$`𝒬(\zeta +i\gamma )+𝒬(\zeta i\gamma )=t(z)𝒬(\zeta )`$ (2)
where $`\gamma `$ is the coupling constant (or Plank constant), $`\zeta =\frac{1}{2}\mathrm{log}(z)`$, $`𝒬(\zeta )`$ is an entire function with certain requirements on position of its zeros and the following asymptotic:

$`𝒬(\zeta )=e^{\frac{g+1}{2\gamma }((\pi +\gamma )\zeta \pm 2i\zeta ^2)}`$ (3)
if $`\zeta \mathrm{}`$ being not too far in upper (lower) half-planes.

There is a nice argument due to Al. Zamolodchikov  which explains the appearance of duality in this situation. Notice that $`𝒬(\zeta +\pi i)`$ is also solution to the same equation (2). The quantum Wronskian of these two solutions must be entire $`i\gamma `$-periodical function, but due to the asymptotic (3) it equals one:

$`𝒬\left(\zeta +{\displaystyle \frac{\pi +\gamma }{2}}i\right)𝒬\left(\zeta {\displaystyle \frac{\pi +\gamma }{2}}i\right)𝒬\left(\zeta +{\displaystyle \frac{\pi \gamma }{2}}i\right)𝒬\left(\zeta {\displaystyle \frac{\pi \gamma }{2}}i\right)=1`$ (4)
It is easy to see that (4) together with the asymptotic (3) actually imply the existence of polynomial $`t(z)`$ with which the Baxter equation (2) holds. Indeed, take a function $`𝒬(\zeta )`$ satisfying (4) and define

$$t(z)=\frac{𝒬(\zeta +i\gamma )+𝒬(\zeta i\gamma )}{𝒬(\zeta )}$$

from (4) it is easy to see that this is indeed a function of $`z`$ ($`\pi i`$-periodical function of $`\zeta `$) without singularities, and (3) allows to show that $`t(z)`$ is in fact a polynomial of degree $`g+1`$.

But two periods: $`i\gamma `$ and $`i\pi `$ enter (4) in completely symmetric way. So, the same kind of reasonings proves existence of another polynomial of degree $`g+1`$ which we denote by $`T(Z)`$ and with which the dual Baxter equation is satisfied:

$`𝒬(\zeta +i\pi )+𝒬(\zeta i\pi )=T(Z)𝒬(\zeta )`$ (5)
here $`Z=\mathrm{exp}\left(\frac{2\pi }{\gamma }\zeta \right)`$. The pair of dual equations (2) and (2) and mathematical structures related to the is subject of this paper.

The duality considered in this paper has much in common with the duality for representations of $`U_q(sl_2())`$ . Actually, the type of real form for integrable models that we have in mind is similar in the classical case to taking $`SL_2()`$ as real form of $`SL_2()`$.
Acknowledgments. This work is partly supported by INTAS grant 00-00055. The author is grateful to organizing committee of ”6th International Workshop Conformal Field Theory and Integrable Models ” in Chernogolovka for warm hospitality.

## 2 Deformed Abelian differentials.

In this section we give formal definition concerning deformed Abelian differentials. The properties of these differentials are discussed in next sections.

Consider a solution $`𝒬(\zeta )`$ to Baxter equation:

$`𝒬(\zeta +i\gamma )+𝒬(\zeta i\gamma )=t(z)𝒬(\zeta )`$ (6)
Asymptotically it behaves as follows:

$`𝒬(\zeta )=𝒬_+(\zeta )+𝒬_{}(\zeta ),`$
$`𝒬_\pm (\zeta )=e^{\pm (g+1)\frac{\zeta ^2}{i\gamma }}(zZ)^{\frac{g+1}{2}}f_\pm (z)F_\pm (Z)`$
In this section we shall consider:

$$\phi _\pm (\zeta )=e^{\pm (g+1)\frac{\zeta ^2}{i\gamma }}z^{\frac{g+1}{2}}f_\pm (z)$$

which are formal solutions to the equations

$$\phi _\pm (\zeta +i\gamma )+\phi _\pm (\zeta i\gamma )=(1)^{g+1}t(z)\phi _\pm (\zeta )$$

These asymptotic solutions satisfy the q-Wronskian relation:

$`\phi _+(\zeta +i\gamma )\phi _{}(\zeta )\phi _{}(\zeta +i\gamma )\phi _+(\zeta )=1`$ (7)
In this section we shall use the space w of semi-infinite Laurent series of the form

$$a(z)=\underset{k=\mathrm{}}{\overset{N}{}}a_kz^k$$

where $`N`$ is arbitrary but finite. Let us give some definitions.
Definition 1. For Laurent series $`a(z)`$ define:

$`(u)=\text{res}\left(z^1a(z)\phi _+(\zeta )\phi _{}(z)\right)`$ (8)
The expression in RHS is Laurent series in $`z`$, so, the residue is well defined. Our next goal is to define a pairing between Laurent series without residues.
Definition 2. Consider $`a,b\text{w}`$ such that $`(a)=(a)=0`$ then

$`ab=i\gamma \text{res}(a(z)z^1(2`$ $`\phi _+(\zeta )\phi _{}(\zeta )\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _{}(\zeta ))`$
$``$ $`\phi _+(\zeta )\phi _+(\zeta )\delta _\gamma ^1(b(z)\phi _{}(\zeta )\phi _{}(\zeta ))`$
$``$ $`\phi _{}(\zeta )\phi _{}(\zeta )\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _+(\zeta ))))`$ (9)
Where we introduced the following notation: $`\eta `$ define

$$\delta _\eta (f(\zeta ))=f(\zeta +i\eta )f(\zeta )$$

Definition 2 requires some comments.

First, since $`b(z)\phi _+(\zeta )\phi _{}(\zeta )`$ is Laurent series and $`(b)=0`$ the expression $`\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _{}(\zeta ))`$ is well-defined as Laurent series up to a constant. The latter ambiguity does not affect the definition since $`(a)=0`$.

Second, the meaning of $`\delta _\gamma ^1(b(z)\phi _{}(\zeta )\phi _{}(\zeta ))`$ and $`\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _+(\zeta ))`$ must be clarified. Notice that

$$b(z)\phi _\pm (\zeta )\phi _\pm (\zeta )=e^{\pm 2(g+1)\frac{\zeta ^2}{i\gamma }}v_\pm (z)$$

where $`v_\pm (z)`$ are Laurent series. We define

$$\delta _\gamma ^1(b(z)\phi _\pm (\zeta )\phi _\pm (\zeta ))=e^{\pm 2(g+1)\frac{\zeta ^2}{i\gamma }}u_\pm (z)$$

where

$$(qz)^{2(g+1)}u_+(zq^2)u_+(z)=v_+(z),(qz)^{2(g+1)}u_{}(zq^2)u_{}(z)=v_{}(z)$$

Obviously the $`u_\pm (z)`$ are well-defined as Laurent series.

It is easy to see that the pairing (9) is skew-symmetric:

$$ab=ba$$

Our next definition introduces ”exact forms”.
Definition 3. For any $`a(z)\text{w}`$ define

$`(𝒟a)(z)`$ $`={\displaystyle \frac{1}{i\gamma }}\left(t(z)\pi _q(t(z)a(z))+a(zq^2)a(zq^2)\right)`$ (10)
where

$$\pi _q\left(b_kz^k\right)=\frac{q^{2k}1}{q^{2k}+1}b_kz^k$$

The importance of the definition of $`𝒟`$ is due to the following fact:

$`(𝒟a)(z)\phi _ϵ(\zeta )\phi _ϵ^{}(\zeta )=\delta _\gamma (x_{ϵ,ϵ^{}}(z))`$ (11)
for any $`ϵ`$, $`ϵ^{}`$ equal $`+`$ or $``$, the function $`x_{ϵ,ϵ^{}}(z)`$ is given by

$`x_{ϵ,ϵ^{}}(z)={\displaystyle \frac{1}{2i\gamma }}`$ $`((1)^g(\pi _q(a(z)t(z))a(z)t(z))`$
$`\times (\phi _ϵ(\zeta i\gamma )\phi _ϵ^{}(\zeta )+\phi _ϵ(\zeta )\phi _ϵ^{}(\zeta i\gamma ))`$
$`2a(zq^2)\phi _ϵ(\zeta )\phi _ϵ^{}(\zeta )2a(z)\phi _ϵ(\zeta i\gamma )\phi _ϵ^{}(\zeta i\gamma ))`$
Since $`x_{+,}(z)`$ are Laurent series we have, in particular,

$$(𝒟(a))=0$$

Now we introduce important object: the space of deformed Abelian differentials. Consider the space v of polynomials of one variable $`a(z)`$ such that $`a(0)=0`$. These polynomials will define deformed Abelian differentials on the affine hyper-elliptic curve.

Consider a polynomial $`u(z)`$ which does not necessarily vanishes at $`z=0`$. It is easy to see that $`b=𝒟u\text{v}`$. Let us calculate $`ab`$ for $`a\text{v}`$. Simple calculation gives:

$`ab=`$ $`\text{res}\left(z^1a(z)u(z)\left(\phi _+(\zeta )\phi _{}(\zeta i\gamma )\phi _{}(\zeta )\phi _+(\zeta i\gamma )\right)^2\right)=`$
$`=`$ $`\text{res}\left(z^1a(z)u(z)\right)=0`$ (12)
So the pairing between v and exact form vanishes.

Let us introduce the following basis in the space v:

$`r_k(z)=z^k,\text{for}k=1,\mathrm{}g+1,`$
$`s_k(z)={\displaystyle \frac{1}{i\gamma }}\left(t(z)\pi _q\left(\left[t(z)z^k\right]_>\right)+[z^k]_>(q^{2k}q^{2k})\right),\text{for}\mathrm{}<kg+1`$
where $`[\mathrm{}]_>`$ means the positive degree part of Laurent series in brackets. Obviously,

$$\text{deg}(r_k)=k,\text{deg}(s_k)=2g+2k$$

so, all the degrees are taken into account. Notice also that there is only one polynomial of degree $`g+1`$ (this is $`r_{g+1}(z)`$) because $`s_{g+1}(z)=0`$. We shall call the polynomials $`r_k`$ for $`k=1,\mathrm{},g`$ first kind, $`s_k`$ for $`k=1,\mathrm{},g`$ second kind, $`r_{g+1}`$ \- third kind. The polynomials $`s_k`$ for $`k0`$ are exact forms.

Introduce the Laurent polynomial

$`s_k^{}(z)={\displaystyle \frac{1}{i\gamma }}\left(t(z)\pi _q\left(\left[t(z)z^k\right]_<\right)+[z^k]_<(q^{2k}q^{2k})\right)`$ (13)
Where $`[\mathrm{}]_<`$ means that only negative part of Laurent series is taken. Evidently,

$`s_k(z)+s_k^{}(z)=𝒟(r_k)(z),r_k(z)=z^k`$ (14)
Consider the residues of our polynomials. It is clear that for $`z\mathrm{}`$

$$r_k(z)\phi _+(\zeta )\phi _{}(\zeta )=o(1),\text{for}k=1,\mathrm{},g$$

so, these $`r_k`$ have no residues. It is equally clear that

$$(r_{g+1})=1$$

as it should be for the third king differential. Finally, notice that

$$s_k^{}(z)\phi _+(\zeta )\phi _{}(\zeta )=o(1)$$

so, from (14) it follows that

$$(s_k)=0$$

Consider the pairing between those polynomials whose residues vanish. It is easy to show that

$$r_kr_l=0$$

for $`k,l=1,\mathrm{},g`$ just because $`r_k`$ do not grow sufficiently fast. Now let us calculate $`as_k`$ for arbitrary $`a`$. Using the formula (14) one finds

$`as_k=\text{res}\left(a(z)z^{k1}\right)as_k^{}`$ (15)
If $`a=r_l`$ the second term in (15) vanishes because $`a(z)`$ and $`s_k(z)`$ do not grow sufficiently fast. So, one finds

$$r_ls_k=\delta _{kl}$$

Consider the case $`a=s_l`$. Using

$$s_ls_k^{}=s_k^{}s_l$$

find

$`s_ls_k=\text{res}\left(s_l(z)z^{k1}+s_k^{}(z)z^{l1}\right)+s_l^{}s_k^{}`$ (16)
The last term in the RHS vanishes because $`s_l^{},s_k^{}`$ do not grow fast enough. It is a nice exercise to show that the first term in the RHS of (16) vanishes using explicit formulae for $`s_l`$ and $`s_k^{}`$.

## 3 Deformed Abelian integrals.

In this section we shall define deformed Abelian integrals. Let us start from the simplest case. Consider the polynomials

$$R_l(Z)=Z^l$$

for $`l=1,\mathrm{},g`$. Take a polynomial $`a(z)\text{v}`$. Suppose that $`\gamma `$ is sufficiently small, more precisely, we assume that

$$\text{deg}(a(z))<\frac{\pi }{\gamma }$$

Then the following integral is well defined:

$`a,R_l{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}a(z)R_l(Z)𝒬(\zeta )^2𝑑\zeta `$ (17)
Our first goal is to define $`a,R_l`$ for arbitrary $`\gamma `$. We shall use the basis $`r_k`$ ($`k=0,\mathrm{},g`$), $`s_k`$ ($`kg+1`$) introduced in the previous section.

If we substitute $`a=r_k`$ into (17) the integral converges for any $`\gamma `$, but for $`a=s_k`$ a regularization is needed.

In what follows we shall use the operators $`w`$, $`w^{}`$ which act as usual:

$`w𝒬(\zeta )=𝒬(\zeta i\gamma ),𝒬(\zeta )w^{}=𝒬(\zeta i\gamma ),`$
The following important identity holds:

$`s_k(z)𝒬(\zeta )^2=𝒬(\zeta )\stackrel{~}{s}_k(z,w)𝒬(\zeta )+\delta _\gamma \left({\displaystyle \frac{1}{i\gamma }}(id\pi _q)([t(z)z^k]_>)𝒬(\zeta )w𝒬(\zeta )\right)`$
where we have introduced new object:

$`\stackrel{~}{s}_k(z,w)={\displaystyle \frac{1}{i\gamma }}\left([z^k]_>(q^{2k}q^{2k})+\left[z^kt(z)\right]_>\left(2wt(z)\right)\right)`$
Notice that if $`\gamma `$ is sufficiently small the integral (17) can be rewritten in the following way

$$s_k,R_l=\underset{\mathrm{}}{\overset{\mathrm{}}{}}𝒬(\zeta )R_l(Z)\stackrel{~}{s}_k(z,w)𝒬(\zeta )𝑑\zeta $$

because $`s_k𝒬^2`$ and $`𝒬\stackrel{~}{s}_k𝒬`$ differ by ”total difference” and $`R_l(Z)`$ is $`i\gamma `$-periodical, the ”boundary term” does not contribute for small enough $`\gamma `$. Let us use this form of integral in order to define the regularization for arbitrary $`\gamma `$.

For $`l=1,\mathrm{},g`$ consider the integral

$`s_k,R_l={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )R_l(Z)\stackrel{~}{s}_k(z,w)𝒬(\zeta )𝑑\zeta +`$ (18)
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}}𝒬(\zeta )R_l(Z)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}}𝒬(\zeta )R_l(Z)\stackrel{~}{s}_k^{}(z,w)𝒬(\zeta )𝑑\zeta `$
where

$`\stackrel{~}{s}_k^{}(z,w)={\displaystyle \frac{1}{i\gamma }}\left([z^k]_<(q^{2k}q^{2k})+\left[z^kt(z)\right]_<\left(2wt(z)\right)\right),`$
$`p_k(z,w^{},w)={\displaystyle \frac{1}{i\gamma }}\left(z^k\left(w^{}w+q^{2k}\right)t_kw\right)`$
The properties of the integrals in the RHS of (18) are:
1. The third integral in (18) converges $`\gamma `$. Indeed, it is easy to show that the integrant decreases exponentially as $`\zeta \mathrm{}`$ for all $`1lg+1`$.

2. The RHS of (18) does not depend on $`\mathrm{\Lambda }`$ due to the identity:

$`\delta _\gamma (`$ $`𝒬(\zeta )p_k(z,w^{},w)𝒬(\zeta ))=𝒬(\zeta )(\stackrel{~}{s}_k(z,w)+\stackrel{~}{s}_k^{}(z,w))𝒬(\zeta )`$
3. When $`\gamma `$ is sufficiently small and $`1lg`$ one can take the limit $`\mathrm{\Lambda }\mathrm{}`$ reproducing the original definition. In the case $`l=g+1`$ the regularization is needed for any $`\gamma `$, so, our definition is not founded independently, however, an important evidence of self-consistency will follow from Riemann bilinear relation.
4. In the original definition $`s_{g+1}(z)=0`$. Consider, however, the definition of regularized integral. It does not vanish because of contributions $`\underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}`$ and $`\underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}`$. The integrals can be easily evaluated:

$`s_{g+1},R_l=\delta _{l,g+1}`$
Thus the formula (18) provides an analytical continuation of the original definition (17) for arbitrary $`\gamma `$. Certainly to affirm that we have to assume that the solution to Baxter equations $`𝒬(\zeta )`$ allow analytical continuation with respect to $`\gamma `$.

Similarly to $`s_k`$ consider

$`S_k(Z)={\displaystyle \frac{1}{i\pi }}\left(T(z)\pi _Q\left([T(z)Z^k]_>\right)+\left[Z^k\right]_>(Q^{2k}Q^{2k})\right),`$
For these dual objects define:

$`r_l,S_k={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )r_l(z)\stackrel{~}{S}_k(Z,W)𝒬(\zeta )𝑑\zeta +`$ (19)
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )r_l(z)P_k(Z,W^{},W)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}}𝒬(\zeta )r_l(z)\stackrel{~}{S}_k^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
where

$`\stackrel{~}{S}_k(Z,W)={\displaystyle \frac{1}{i\pi }}\left(\left[Z^k\right]_>(Q^{2k}Q^{2k})+\left[Z^kT(Z)\right]_>\left(2WT(Z)\right)\right),`$
$`\stackrel{~}{S}_k^{}(Z,W)={\displaystyle \frac{1}{i\pi }}\left(\left[Z^k\right]_<(Q^{2k}Q^{2k})+\left[Z^kT(Z)\right]_<\left(2WT(Z)\right)\right),`$
$`P_k(Z,W^{},W)={\displaystyle \frac{1}{i\pi }}\left(Z^k\left(W^{}W+Q^{2k}\right)T_kW\right)`$
Now we want to define the pairing $`s_k,S_l`$. Notice that even in the region of small $`\gamma `$ corresponding integral is not defined in a simple way. So, we shall define this pairing by analogy, the real justification of our definition will be provided later by Riemann bilinear relation.

Define

$`s_k,S_l={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )\stackrel{~}{s}_k(z,w)\stackrel{~}{S}_l(Z,W)𝒬(\zeta )𝑑\zeta +`$ (20)
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}}𝒬(\zeta )\stackrel{~}{S}_l(Z,W)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }^{}}{}}}𝒬(\zeta )\stackrel{~}{s}_k^{}(z,w)\stackrel{~}{S}_l(Z,W)𝒬(\zeta )𝑑\zeta `$
$`{\displaystyle \underset{\mathrm{\Lambda }^{}}{\overset{\mathrm{\Lambda }^{}+i\pi }{}}}𝒬(\zeta )\stackrel{~}{s}_k^{}(z,w)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta +{\displaystyle \underset{\mathrm{\Lambda }^{}}{\overset{\mathrm{}}{}}}𝒬(\zeta )\stackrel{~}{s}_k^{}(z,w)\stackrel{~}{S}_l^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
By construction this definition does not really depend on $`\mathrm{\Lambda }`$, $`\mathrm{\Lambda }^{}`$. Duality requires that (20) is equivalent to the following one

$`s_k,S_l={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )\stackrel{~}{s}_k(z,w)\stackrel{~}{S}_l(Z,W)𝒬(\zeta )𝑑\zeta +`$ (21)
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )\stackrel{~}{s}_k(z,w)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }^{}}{}}}𝒬(\zeta )\stackrel{~}{s}_k(z,w)\stackrel{~}{S}_l^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
$`{\displaystyle \underset{\mathrm{\Lambda }^{}}{\overset{\mathrm{\Lambda }^{}+i\gamma }{}}}𝒬(\zeta )\stackrel{~}{S}_l^{}(Z,W)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta +{\displaystyle \underset{\mathrm{\Lambda }^{}}{\overset{\mathrm{}}{}}}𝒬(\zeta )\stackrel{~}{s}_k^{}(z,w)\stackrel{~}{S}_l^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
Let us show that the equivalence indeed holds. To this end consider
$`\mathrm{\Lambda }^{}\mathrm{\Lambda }`$. Then the equivalence in question requires:

$`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}}𝒬(\zeta )\stackrel{~}{S}_l(Z,W)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta `$
$``$ $`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )\stackrel{~}{s}_k^{}(z,w)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta =`$
$`=`$ $`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )\stackrel{~}{s}_k(z,w)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta `$
$``$ $`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}}𝒬(\zeta )\stackrel{~}{S}_l^{}(Z,W)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta `$
or, equivalently:

$`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}}𝒬(\zeta )\left(\stackrel{~}{S}_l(Z,W)+\stackrel{~}{S}_l^{}(Z,W)\right)p_k(z,w^{},w)𝒬(\zeta )𝑑\zeta =`$
$`=`$ $`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )\left(\stackrel{~}{s}_k(z,w)+\stackrel{~}{s}_k^{}(z,w)\right)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta `$ (22)
Consider the expression:

$$X_{k,l}(\zeta )=𝒬(\zeta )p_k(z,w^{},w)P_l(Z,W^{},W)𝒬(\zeta )$$

one has:

$`𝒬(\zeta )\left(\stackrel{~}{S}_l(Z,W)+\stackrel{~}{S}_l^{}(Z,W)\right)p_k(z,w^{},w)𝒬(\zeta )=\delta _\pi \left(X_{k,l}(\zeta )\right),`$
$`𝒬(\zeta )\left(\stackrel{~}{s}_k(z,w)+\stackrel{~}{s}_k^{}(z,w)\right)P_l(Z,W^{},W)𝒬(\zeta )=\delta _\gamma \left(X_{k,l}(\zeta )\right),`$
So, the equation (22) follows from the identity:

$$\left(\underset{\mathrm{\Lambda }+i\pi }{\overset{\mathrm{\Lambda }+i\gamma +i\pi }{}}\underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}\right)X_{k,l}(\zeta )=\left(\underset{\mathrm{\Lambda }+i\gamma }{\overset{\mathrm{\Lambda }+i\gamma +i\pi }{}}\underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}\right)X_{k,l}(\zeta )$$

Recall that $`s_k`$ for $`k0`$ are ”exact”, so, we must have

$$s_k,A=0,\text{for}k0$$

for any $`A`$ which can be either $`R_l`$ os $`S_l`$. In the integrals (18, 20) this property is transparent: corresponding $`\stackrel{~}{s}_k^{}0`$, hence one can move $`\mathrm{\Lambda }`$ to $`\mathrm{}`$, and to check that the integral $`\underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\gamma }{}}`$ vanishes. Indeed, $`p_k`$ is regular at $`z0`$ in this case while $`R_l`$ vanishes. Similarly $`S_k`$ for $`k0`$ are ”exact”.

Notice also that the integrals for $`s_{g+1},S_l`$ vanish. So, $`s_{g+1},R_{g+1}`$ remains the only non-zero pairing involving $`s_{g+1}`$. Certainly, similar fact holds for $`S_{g+1}`$: the only non-zero paring involving $`S_{g+1}`$ is

$$r_{g+1},S_{g+1}=1$$

Finally among $`r_k`$ ($`1kg+1`$), $`s_k`$ ($`\mathrm{}<kg+1`$) on the on hand and $`R_k`$ ($`1kg+1`$), $`S_k`$ ($`\mathrm{}<kg+1`$) on the other we have defined all the pairings except for $`r_{g+1},R_{g+1}`$. This pairing has no quasi-classical limit. Some regularization can be proposed in order to define it, but the definition is not unique. Anyway, one can avoid using this badly defined pairing in applications to integrable models.

## 4 Riemann bilinear relation for deformed Abelian integrals.

Riemann bilinear relation is the most important property of deformed Abelian differentials.
Theorem. Consider two polynomials $`a,b\text{v}`$ such that $`(a)=(b)=0`$. Then

$`{\displaystyle \underset{l=1}{\overset{g}{}}}\left(a,S_lb,R_la,R_lb,S_l\right)=ab`$ (23)
Proof. The polynomials $`s_k`$ for $`k0`$ are exact forms, so, LHS of (23) for them vanishes as it must be. The polynomial $`r_{g+1}`$ has residue. So, we shall chose $`a`$ and $`b`$ from $`r_1,\mathrm{}r_g`$ and $`s_1,\mathrm{},s_g`$. This means, in particular, $`\text{deg}(a)2g+1`$, $`\text{deg}(b)2g+1`$. It is easy to see that for such polynomials the formula (9) can be simplified:

$`ab`$ $`=i\gamma \text{res}(z^1a(z)(2\phi (\zeta )_+\phi _{}(\zeta )\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _{}(\zeta ))+`$
$`+b(z)\left(\phi _+(\zeta )\phi _{}(\zeta )\right)^2))`$ (24)
Obviously this expression is anti-symmetric with respect to $`ab`$.

For simplicity we consider the range of small $`\gamma `$. Namely, we shall require

$$\gamma <\frac{\pi }{2g+2}$$

Considering this range of $`\gamma `$ simplifies a lot the regularization for $`a,S_l`$. Recall that

$`\stackrel{~}{S}_l^{}(Z,W)={\displaystyle \frac{1}{i\pi }}\left(\left[Z^l\right]_<(Q^{2l}Q^{2l})+\left[Z^lT(Z)\right]_<\left(2WT(Z)\right)\right)`$
When $`\zeta +\mathrm{}`$ the function $`𝒬(\zeta )\stackrel{~}{S}_l^{}(Z,W)𝒬(\zeta )`$ decreases as $`Z^1`$, for small $`\gamma `$ this decreasing is very fast, so, the regularization of $`a,S_l`$ when $`a=s_k`$ can be seriously simplified. Consider the formula (21). For above reasons we can drop last two terms in (21) and put $`\mathrm{\Lambda }^{}=\mathrm{}`$. Also we can replace $`\stackrel{~}{s}_k`$ by $`s_k`$ because they differ by ”exact form” and corresponding boundary term vanishes for small $`\gamma `$. The result is:

$`s_k,S_l={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )s_k(z)\stackrel{~}{S}_l(Z,W)𝒬(\zeta )𝑑\zeta +`$ (25)
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )s_k(z)P_l(Z,W^{},W)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}}𝒬(\zeta )s_k(z)\stackrel{~}{S}_l^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
Hence for small $`\gamma `$ the formula for $`a,S_l`$ is absolutely the same for $`a=s_k`$ and for $`a=r_k`$. The integral $`\underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}`$ rapidly converges, so, we can consider the following formula for in the case of small $`\gamma `$:

$`a,S_l=\underset{\mathrm{\Lambda }\mathrm{}}{lim}`$ $`({\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )a(z)\stackrel{~}{S}_l(Z,W)𝒬(\zeta )d\zeta +`$
$`+`$ $`{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )a(z)P_l(Z,W^{},W)𝒬(\zeta )d\zeta )`$ (26)
Recall that $`R_l(Z)=Z^l`$, and for small $`\gamma `$ we do not need any regularization in $`b,R_l`$. Hence the first sum of $`ab`$ can be rewritten as follows:

$`\underset{\mathrm{\Lambda }\mathrm{}}{lim}{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}𝑑\zeta ^{}𝒬(\zeta )a(z)b(z^{}){\displaystyle \underset{l=1}{\overset{g}{}}}\stackrel{~}{S}_l(Z,W)R_l(Z^{})𝒬(\zeta )𝒬(\zeta ^{})^2`$
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}𝑑\zeta ^{}𝒬(\zeta )a(z)b(z^{}){\displaystyle \underset{l=1}{\overset{g}{}}}P_l(Z,W^{},W)R_l(Z^{})𝒬(\zeta )𝒬(\zeta ^{})^2`$ (27)
Let us evaluate the the sum in the first integrand using

$$\underset{l=1}{\overset{g}{}}(Z^{})^l\left[Z^lT(Z)\right]_>=\frac{Z^{}T(Z)ZT(Z^{})}{ZZ^{}}+T_0$$

In writing down the result we shall use the notation:

$$𝒬(ϵ_1ϵ_2ϵ_3ϵ_4)=𝒬(\zeta +iϵ_1\pi )𝒬(\zeta +iϵ_2\pi )𝒬(\zeta ^{}+iϵ_3\pi )𝒬(\zeta ^{}+iϵ_4\pi )$$

where $`ϵ`$ takes values $`0,+,`$. We divide the result into three parts:

$`{\displaystyle \underset{l=1}{\overset{g}{}}}𝒬(\zeta )R_l(Z^{})\stackrel{~}{S}_l(Z,W)𝒬(\zeta )𝒬(\zeta ^{})^2={\displaystyle \frac{1}{i\pi }}\left(𝒜(\zeta ,\zeta ^{})+(\zeta ,\zeta ^{})+𝒞(\zeta ,\zeta ^{})\right)`$
where

$`𝒜(\zeta ,\zeta ^{})={\displaystyle \frac{Z^{}}{ZZ^{}}}\{𝒬(00)𝒬(++00)\}`$
$`(\zeta ,\zeta ^{})={\displaystyle \frac{Z}{ZZ^{}}}\{𝒬(0++0)𝒬(00)+𝒬(0+0)𝒬(0+0)\}`$
$`𝒞(\zeta ,\zeta ^{})=T_0\left\{𝒬(000)𝒬(0+00)\right\}`$
Notice that $`𝒜+`$ is not singular at $`Z=Z^{}`$ as a whole, but since we shall need to consider the items separately a self-consistent way of understanding the singularities is to be prescribed. We shall understand assume that $`\zeta `$ is slightly moved to the upper half-plane. Define the functions:

$`F[b](\zeta )={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \frac{Z^{}}{Z(1+i0)Z^{}}}b(z^{})𝒬(\zeta ^{})^2𝑑\zeta ^{},`$
$`H_\pm [b](\zeta )={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \frac{Z}{Z(1+i0)Z^{}}}b(z^{})𝒬(\zeta ^{}\pm i\pi )𝒬(\zeta ^{})𝑑\zeta ^{},`$ (28)
These functions satisfy the equations:

$`\delta _\gamma \left(F[b]\right)(\zeta )=i\gamma b(z)𝒬(\zeta )^2,`$
$`\delta _\gamma \left(H_\pm [b]\right)(\zeta )=i\gamma b(z)𝒬(\zeta \pm i\pi )𝒬(\zeta ),`$ (29)
Let us return to calculations. Consider, first, the integral of $`𝒜`$ rewriting it as follows:

$`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}𝑑\zeta ^{}𝒜(\zeta ,\zeta ^{})=`$
$`={\displaystyle \underset{\mathrm{}i\pi }{\overset{\mathrm{\Lambda }i\pi }{}}}𝒬(\zeta )^2F[b](\zeta +i\pi )a(z)𝑑\zeta {\displaystyle \underset{\mathrm{}+i\pi }{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )^2F[b](\zeta i\pi )a(z)𝑑\zeta `$
We want to move the contours of integration by $`i\pi `$ down in the first integral and by $`i\pi `$ up in the second. In order to do that we have to understand the analytical continuation of $`F[b](\zeta )`$. It is easy to find that for real $`\zeta `$:

$`F[b](\zeta +i\pi )`$ $`={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \frac{Z^{}}{ZQ^2Z^{}}}b(z^{})𝒬(\zeta ^{})^2𝑑\zeta ^{}+`$
$`+i\gamma {\displaystyle \underset{j=1}{\overset{\left[\frac{\pi }{\gamma }\right]}{}}}b(zq^{2j})𝒬(\zeta +i\pi i\gamma j)^2,`$
$`F[b](\zeta i\pi )`$ $`={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \frac{Z^{}}{ZQ^2Z^{}}}b(z^{})𝒬(\zeta ^{})^2𝑑\zeta ^{}`$
$`i\gamma {\displaystyle \underset{j=0}{\overset{\left[\frac{\pi }{\gamma }\right]}{}}}b(zq^{2j})𝒬(\zeta i\pi +i\gamma j)^2,`$
Using these formulae we find:

$`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}𝑑\zeta ^{}𝒜(\zeta ,\zeta ^{})=`$ (30)
$`={\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}\left(𝒬(\zeta )^2F[b](\zeta i\pi )+𝒬(\zeta i\pi )^2F[b](\zeta )\right)a(z)𝑑\zeta `$
$`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}{\displaystyle \frac{ZZ^{}(Q^2Q^2)a(z)b(z^{})}{(ZQ^2Z^{})(ZQ^2Z^{})}}(𝒬(\zeta )𝒬(\zeta ^{}))^2𝑑\zeta 𝑑\zeta ^{}`$
$`i\gamma {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}a(z)b(z)(𝒬(\zeta )𝒬(\zeta i\pi ))^2𝑑\zeta `$
$`i\gamma {\displaystyle \underset{j=1}{\overset{\left[\frac{\pi }{\gamma }\right]}{}}}{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}\left(a(z)b(zq^{2j})+b(z)a(zq^{2j})\right)(𝒬(\zeta )𝒬(\zeta +i\pi i\gamma j))^2𝑑\zeta +o(1)`$
where $`o(1)`$ comes from replacing the upper limits of rapidly converging integrals in the last line from $`\mathrm{\Lambda }`$ to $`\mathrm{}`$. We also moved contours of integration in some of these integrals. The formula (30) is written in such a way that the symmetry with respect to replacing $`ab`$ is obvious everywhere except the first integral in the RHS. Our goal is to calculate (23) where the antisymmetrization is performed with respect to $`a`$ and $`b`$. So, only the first integral in the RHS is relevant.

Now let us consider the integral of $``$ which can be rewritten as follows:

$`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}d`$ $`\zeta ^{}(\zeta ,\zeta ^{})=`$
$`=`$ $`{\displaystyle \underset{\mathrm{}+i\pi }{\overset{\mathrm{\Lambda }+i\pi }{}}}a(z)𝒬(\zeta i\pi )𝒬(\zeta )H_+[b](\zeta i\pi )`$
$``$ $`{\displaystyle \underset{\mathrm{}i\pi }{\overset{\mathrm{\Lambda }i\pi }{}}}a(z)𝒬(\zeta )𝒬(\zeta +i\pi )H_{}[b](\zeta +i\pi )𝑑\zeta +`$
$`+`$ $`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}a(z)𝒬(\zeta )\left(𝒬(\zeta +i\pi )H_{}[b](\zeta )𝒬(\zeta i\pi )H_+[b](\zeta )\right)𝑑\zeta `$
In the first two integrals in RHS we would like to move the contour of integration to the real axis. The result is

$`{\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝑑\zeta {\displaystyle \underset{\mathrm{}}{\overset{\mathrm{}}{}}}𝑑\zeta ^{}(\zeta ,\zeta ^{})={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒳[b](\zeta )a(z)𝑑\zeta +`$
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}a(z)𝒬(\zeta )𝒬(\zeta i\pi )\left(H_{}[b](\zeta )+H_+[b](\zeta i\pi )\right)𝑑\zeta `$
where

$`𝒳[b](\zeta )=`$ $`𝒬(\zeta i\pi )H_+[b](\zeta i\pi )𝒬(\zeta )(𝒬(\zeta +i\pi )H_{}[b](\zeta +i\pi )+`$
$`+`$ $`𝒬(\zeta +i\pi )H_{}[b](\zeta )𝒬(\zeta i\pi )H_+[b](\zeta ))`$ (31)
This is the place to discuss asymptotic of $`H_\pm [b]`$ and $`F[b]`$. Due to (29) these asymptotic must be related to $`\delta _\gamma ^1(b(z)\phi _ϵ(\zeta )\phi _ϵ^{}(\zeta ))`$ as they were defined in the Section 2. There is, however, a subtlety: the asymptotic may differ by quasiconstants: $`i\gamma `$-periodical functions. For $`H_\pm [b]`$ the situation is simple, one finds that for $`0\text{Im}(\zeta )\pi `$

$`H_{}[b](\zeta )H_+[b](\zeta i\pi )=`$ (32)
$`=i\gamma \left(\delta _\gamma ^1\left(b(z)\phi _{}(\zeta )\phi _+(\zeta )\right)b(z)\phi _{}(\zeta )^2\right)\left(1+O(e^{2(g+1)})\right)`$
The asymptotics of $`F[b](\zeta )`$ in the strip $`\pi \text{Im}(\zeta )\pi `$ can be found:

$`F[b](\zeta )`$ $`={\displaystyle \underset{k=1}{\overset{g}{}}}Z^kb,R_k+`$ (33)
$`+i\gamma Z^{(g+1)}\left(2\delta _\gamma ^1(b(z)\phi _{}(\zeta )\phi _+(\zeta ))b(z)\phi _{}(\zeta )^2\right)\left(1+O(e^{2(g+1)})\right)`$
Using the asymptotical formulae (32) we find that

$$𝒳[b](\zeta )=i\gamma b(z)\left(𝒬(\zeta )𝒬(\zeta i\pi )\right)^2+O(z^1)$$

Recall that we have finally to anti-symmetrize. The above formula guaranties rapid convergence of the integral:

$$\underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}\left(a(z)𝒳[b](\zeta )b(z)𝒳[a](\zeta )\right)𝑑\zeta $$

So, the limit $`\mathrm{\Lambda }\mathrm{}`$ can be taken for this integral separately. It can be shown further that

$$\underset{\mathrm{}}{\overset{\mathrm{}}{}}\left(a(z)𝒳[b](\zeta )b(z)𝒳[a](\zeta )\right)𝑑\zeta =0$$

Let us summarize taking into account the integrals containing $`P_l`$ in (26):

$`{\displaystyle \underset{l=1}{\overset{g}{}}}(a,S_lb,R_la,R_lb,S_l)=\underset{\mathrm{\Lambda }\mathrm{}}{lim}{\displaystyle \frac{1}{\pi i}}{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}a(z)\times `$
$`\times \{𝒬(\zeta )𝒬(\zeta i\pi )(H_{}[b](\zeta )+H_+[b](\zeta i\pi ){\displaystyle \underset{k=0}{\overset{g}{}}}T_kb,R_k)`$
$`𝒬(\zeta i\pi )^2\left(F[b](\zeta ){\displaystyle \underset{k=1}{\overset{g}{}}}Z^kb,R_k\right)`$
$`𝒬(\zeta )^2(F[b](\zeta i\pi ){\displaystyle \underset{k=1}{\overset{g}{}}}Z^kQ^{2k}b,R_k)\}d\zeta (ab)`$ (34)
Using the asymptotics (32,33) and the fact that $`(a)=(b)=0`$ one finds

$`{\displaystyle \underset{l=1}{\overset{g}{}}}(a,S_lb,R_la,R_lb,S_l)=\underset{\mathrm{\Lambda }\mathrm{}}{lim}{\displaystyle \frac{\gamma }{\pi }}{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}a(z)\times `$ (35)
$`\times `$ $`\left(2\phi (\zeta )_+\phi _{}(\zeta )\delta _\gamma ^1(b(z)\phi _+(\zeta )\phi _{}(\zeta ))+b(z)\left(\phi _+(\zeta )\phi _{}(\zeta )\right)^2\right)d\zeta =ab`$
where the formula (24) for pairing has been used.

QED

The Riemann bilinear identity can be reformulated in the following fashion.
Corollary 1. Consider the $`2g\times 2g`$-matrix

$$𝒫_{2g}=\left(\begin{array}{cc}r,R,& r,S\\ s,R,& s,S\end{array}\right)$$

then

$`𝒫_{2g}Sp(2g)`$ (36)
Until now we have considered only first and second king differentials, but actually the third kind differential $`r_{g+1}`$ can also be taken into account. In the proof of the Theorem we did not use the requirement $`(a)=0`$ up to the very last transformation from (34) to (35). Suppose $`a=r_{g+1}`$ and $`b=r_k`$, $`k=1,\mathrm{},g`$. In the formula (34) we have the expression

$`H_{}[b](\zeta )+H_+[b](\zeta i\pi ){\displaystyle \underset{k=0}{\overset{g}{}}}T_kb,R_k2i\gamma \delta _\gamma ^1\left(b(z)\phi _+(\zeta )\phi _{}(\zeta )\right)`$ (37)
Usually $`\delta _\gamma ^1`$ is defined up to a constant which was until now irrelevant. However, in the formula (37) this constant can be calculated:

$$C=b,R_{g+1}$$

where the requirement $`b=r_k`$ was important for convergence of integrals. Obviously this is the constant $`C`$ which is important for calculation of the integral containing (37) because $`a=r_{g+1}`$ has residue. The remaining integrals as well as the term $`(ab)`$ do not contribute. So, we find for $`b=r_k`$:

$`{\displaystyle \underset{l=1}{\overset{g}{}}}\left(r_{g+1},S_lb,R_lr_{g+1},R_lb,S_l\right)=b,R_{g+1}`$ (38)
With somewhat more elaborate calculations we find the same result for $`b=s_k`$ for which $`b,R_{g+1}`$ is given by usual formula (18).

## 5 Classical limit.

In this section we show that in the classical limit the deformed Abelian differentials and integrals reproduce their classical counterparts. But we have to start with some more explicit formulae concerning the classical limit of solutions to Baxter equation.

Consider the hyper-elliptic algebraic curve $`X`$:

$$w^2t(z)w+1=0$$

where the real polynomial $`t(z)`$ with real positive zeros:

$$t(z)=\underset{k=1}{\overset{g+1}{}}(zx_k)$$

We assume that $`t(0)>2`$ and zeros of the polynomial $`t(z)^24`$ are real positive. We shall denote by $`y_j`$ the branch points:

$$t(z)^24=\underset{j=1}{\overset{2g+2}{}}(zy_j)$$

Obviously in the above conditions we have

$$y_{2k1}<x_k<y_{2k}$$

Introduce the notation

$$\xi _j=\frac{1}{2}\mathrm{log}y_j$$

The real axis appears to be divided into intervals:

$$I_k=[\xi _{2k},\xi _{2k+1}],k=0,\mathrm{}g+1,$$

where $`\xi _0=\mathrm{}`$, $`\xi _{2g+3}=\mathrm{}`$.

$$J_k=[\xi _{2k1},\xi _{2k}],k=1,\mathrm{}g+1$$

Let us realize the Riemann surface as follows. In the plane of $`\zeta `$ consider the strip $`\pi <\text{Im}(\zeta )<\pi `$ with cuts along the intervals $`I_k`$. We identify the following segments:

$`I_k+i0=I_k+i\pi i0,I_ki0=I_ki\pi +i0,`$
$`J_k+i\pi i0=J_ki\pi +i0,`$
The segments $`[\mathrm{},\mathrm{}+i\pi ]`$, $`[\mathrm{}i\pi ,\mathrm{}]`$ are contructed to points $`\mathrm{}^+`$, $`\mathrm{}^{}`$, the segments $`[\mathrm{},\mathrm{}+i\pi ]`$, $`[\mathrm{}i\pi ,\mathrm{}]`$ are contructed to the points $`0^+`$ and $`0^{}`$ (they correspond to two points over $`z=0`$ if the surface is realized as covering of $`z`$-plane), the latter two points do not play any special role in our considerations. The a-cycle $`\alpha _k`$ goes around the cuts $`I_k`$ ($`k=1,\mathrm{},g`$), the b-cycle $`\beta _k`$ goes in the upper half-strip form a point on $`I_k`$ to identified point on $`I_k+i\pi `$.

Consider $`\mathrm{log}w`$. It is not a single-valued function on the surface. Actually $`d\mathrm{log}w`$ is quite special Abelian differential: it is of the third kind with simple poles at $`\mathrm{}^\pm `$ and with vanishing a-periods. So, $`\mathrm{log}w`$ is single-valued on the plane with cuts, its imaginary part is constant along the cuts:

$`\text{Im}(\mathrm{log}w)=\pi k\text{at}I_k\pm i0,`$
$`\text{Im}(\mathrm{log}w)=\pi k\text{at}I_k\pm (i\pi i0),`$
Away from the cuts the quasi-classical solution to the Baxter equation is given by

$`𝒬_+^{cl}(\zeta )=\left(t(z)^24\right)^{\frac{1}{4}}\mathrm{exp}\left\{{\displaystyle \frac{1}{i\gamma }}{\displaystyle \underset{\xi _1}{\overset{\zeta }{}}}\mathrm{log}wd\zeta +{\displaystyle \frac{\pi i}{4}}\right\}`$ (39)
where $`\left(t(z)^24\right)^{\frac{1}{4}}`$ is defined to be positive on $`I_k+i0`$. The function (39) is

Actually we have two solutions: one of them is (39) and another with minus in the exponent. However, this second solution is small everywhere except the intervals $`I_k`$ where oscillations take place. Inside these intervals we have to take for $`𝒬^{cl}(\zeta )`$ the sum of values of (39) on the upper and lower banks:

$`𝒬^{cl}(\zeta )=𝒬_+^{cl}(\zeta +i0)+𝒬_+^{cl}(\zeta i0),\zeta I_k`$ (40)
The definition of $`𝒬^{cl}(\zeta )`$ in $`I_0`$ is obvious, for the rest of $`I_k`$ a simple calculation gives:

$`\text{for}\zeta I_k,k=1,\mathrm{},g+1:`$
$`𝒬^{cl}(\zeta )=C_ke^{\frac{\pi }{\gamma }j\zeta }\left|t(z)^24\right|^{\frac{1}{4}}2\mathrm{cos}\left\{{\displaystyle \frac{1}{\gamma }}{\displaystyle \underset{\xi _{2k}}{\overset{\zeta }{}}}\mathrm{log}|w|d\zeta +{\displaystyle \frac{\pi i}{4}}\right\}`$ (41)
where

$`C_k=\mathrm{exp}\left\{{\displaystyle \frac{\pi }{\gamma }}{\displaystyle \underset{l=1}{\overset{k}{}}}\sigma _l\right\}`$
where

$`\sigma _l=\xi _{2l1}+{\displaystyle \frac{1}{\pi i}}{\displaystyle \underset{\xi _{2l1}}{\overset{\xi _{2l}}{}}}\left(\mathrm{log}w+\pi i(l+1)\right)𝑑\zeta `$ (42)
By simple contour integration one finds:

$`{\displaystyle \underset{l=1}{\overset{g+1}{}}}\sigma _l=0`$ (43)
Inside the interval $`J_l`$ the function $`\mathrm{log}w`$ is pure imaginary. Moreover, the real in this interval function

$$\frac{1}{\pi i}\left(\mathrm{log}w+\pi il\right)$$

decreases monotonically from $`1`$ to $`0`$. So, we have an important inequality:

$`\xi _{2l1}<\sigma _l<\xi _{2l}`$ (44)
Let us understand the meaning of $`\sigma _l`$. Recall that in the quantum case duality holds which implies that

$`𝒬(\zeta +i\pi )+𝒬(\zeta i\pi )=T(Z)𝒬(\zeta )`$ (45)
where $`T(Z)`$ is a polynomial

$$T(Z)=\underset{l=1}{\overset{g+1}{}}(ZX_l)$$

Let us show that quasi-classically

$`X_le^{\frac{2\pi }{\gamma }\sigma _l}`$ (46)
Indeed, take $`\zeta I_k`$ and consider $`𝒬^{cl}(\zeta +i\pi )`$ and $`𝒬^{cl}(\zeta i\pi )`$. They are understood as analytical continuations respectively of $`𝒬_+^{cl}(\zeta +i0)`$ and $`𝒬_+^{cl}(\zeta i0)`$. After some calculation we find:

$`𝒬^{cl}(\zeta +i\pi )=(1)^{g+1k}Z^kC_k^2𝒬_+^{cl}(\zeta +i0),`$
$`𝒬^{cl}(\zeta i\pi )=(1)^{g+1k}Z^kC_k^2𝒬_+^{cl}(\zeta i0),\zeta I_k`$ (47)
the only contribution which needs explanations is $`(1)^{g+1k}`$ which comes from branch points of $`(t^2t)^{\frac{1}{4}}`$. Quasi-classically inside $`I_k`$ one has

$$X_iZX_j,ik<j$$

So, putting together (47) and (41) we prove that the equation (45) holds in $`I_k`$ quasi-classically.

Let us consider the classical limit of deformed Abelian differentials. Recall that the deformed Abelian differentials are defined by polynomials $`a\text{v}`$. For corresponding Abelian differential we want to take

$$\omega =\frac{a(z)}{z\sqrt{t(z)^24}}dz$$

but one should take limit $`\gamma 0`$ of $`a(z)`$ if the latter depends explicitly upon $`\gamma `$.

The polynomials $`r_k(z)=z^k`$ do not depend on $`\gamma `$ while for $`s_k`$ one finds:

$$\underset{\gamma 0}{lim}s_k(z)=t(z)z\frac{d}{dz}\left[z^kt(z)\right]_>$$

The differentials

$$\omega _k=\frac{z^k}{z\sqrt{t(z)^24}}dz$$

for $`k=1,\mathrm{},g`$ are of the first kind. They vanish at $`\mathrm{}+i0`$ as follows:

$`\omega _k={\displaystyle \frac{z^{k1}}{t(z)}}\left(1+O(z^{2(g+1)})\right)dz`$ (48)
The differential

$$\omega _{g+1}=\frac{z^g}{\sqrt{t(z)^24}}dz$$

is of the third king, it behaves at $`\mathrm{}+i0`$ as follows

$$\omega _{g+1}=\frac{dz}{z}\left(1+O(z^1)\right)$$

The differentials

$$\stackrel{~}{\omega }_k=t(z)\frac{d}{dz}\left[z^kt(z)\right]_>\frac{1}{\sqrt{t(z)^24}}dz$$

are of the second kind with the following singularities at $`\mathrm{}^\pm `$:

$`\stackrel{~}{\omega }_k=d\left[z^kt(z)\right]_>\left(1+O(z^{2(g+1)})\right)`$ (49)
The differentials $`\omega _k`$, $`\stackrel{~}{\omega }_k`$ do not have residue on the surface. For such differentials we define pairing:

$$\omega \omega ^{}=\text{res}\left(\omega d^1\omega ^{}\right)$$

The only singularities of $`\omega _k`$, $`\stackrel{~}{\omega }_k`$ are situated at the points $`\mathrm{}^\pm `$. From (48) and (49) it is clear that $`\omega _k`$, $`\stackrel{~}{\omega }_k`$ constitute a canonical basis:

$$\omega _k\omega _l=\stackrel{~}{\omega }_k\stackrel{~}{\omega }_l=0,\omega _k\stackrel{~}{\omega }_l=\delta _{k,l}$$

All these formulae actually explain the terminology used before. Now we have to do some analysis in order to calculate classical limit of deformed Abelian integrals.

Consider, first, the pairing

$$a,R_k=\underset{\mathrm{}}{\overset{\mathrm{}}{}}a(z)Z^k𝒬(\zeta )^2𝑑\zeta $$

for $`k=1,\mathrm{}g`$. For small $`\gamma `$ the integral rapidly converges. What we need to know is the quasi-classical behaviour of $`𝒬(\zeta )^2`$. We have seen already that in the intervals $`I_k`$ the function $`𝒬^{cl}(\zeta )`$ rapidly oscillates. In the intervals $`J_k`$ the function $`𝒬^{cl}(\zeta )`$ is real positive. Up to rapidly oscillating part which is denoted by $`\mathrm{}`$ we can present $`𝒬^{cl}(\zeta )^2`$ for real $`\zeta `$ in universal way:

$`𝒬^{cl}(\zeta )^2={\displaystyle \frac{1}{\sqrt{t(z)^24}}}\mathrm{exp}\left\{{\displaystyle \frac{2}{\gamma }}{\displaystyle \underset{\mathrm{}}{\overset{\zeta }{}}}\mathrm{arg}wd\zeta \right\}+\mathrm{}`$ (50)
The function $`\mathrm{arg}w`$ decreases monotonously from $`0`$ to $`\mathrm{}`$ when $`\zeta `$ goes from $`\mathrm{}`$ to $`\mathrm{}`$. It is constant equal to $`\pi l`$ in the interval $`I_l`$. Under the integral we have the function $`𝒬^{cl}(\zeta )^2Z^k`$. The two multipliers compete: $`𝒬^{cl}(\zeta )`$ decreases and $`Z^k`$ grows. The result is that in quasi-classical limit the integrand is everywhere exponentially small with $`\frac{1}{\gamma }`$ in exponent with respect to its values in $`I_k`$. Now using explicit formula (41) we find:

$`a,R_kC_k^2{\displaystyle \underset{\alpha _k}{}}{\displaystyle \frac{a(z)}{z\sqrt{t(z)^24}}}𝑑z`$ (51)
Now we turn to the pairings $`a,S_k`$. They look much more complicated, but the final calculation will be even simpler. In order to simplify the situation let us use the following trick. Up to now we always considered $`\gamma `$ in generic position, when $`\gamma `$ is a rational multiple of $`\pi `$ everything becomes much more complicated, literally some of our formulae loose meaning. It is not so bad, but some additional work is needed. However, the limit $`\gamma 0`$ can be taken along some special direction, for example, we can put

$$\gamma =\frac{\pi }{n},n$$

and take the limit $`n\mathrm{}`$. For sufficiently large $`n`$ the problems mentioned above disappear in every particular formula. We insist on considering this values of $`\gamma `$ because for them the formulae for pairings simplify a lot. There are two important simplifications for these values of $`\gamma `$: first, $`Q^2=1`$, second, $`Z`$ becomes $`\pi `$-periodic. Recall the regularizations (19) and (21). For $`n1`$ (small $`\gamma `$) we can use the formula (25) for $`s_l,S_k`$. In other words we can take the same formula for $`a,S_k`$ if $`a=r_l`$ or $`a=s_l`$

$`a,S_k={\displaystyle \underset{\mathrm{}}{\overset{\mathrm{\Lambda }}{}}}𝒬(\zeta )a(z)\stackrel{~}{S}_k(Z,W)𝒬(\zeta )𝑑\zeta +`$
$`+{\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}𝒬(\zeta )a(z)P_k(Z,W^{},W)𝒬(\zeta )𝑑\zeta {\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{}}{}}}𝒬(\zeta )a(z)\stackrel{~}{S}_k^{}(Z,W)𝒬(\zeta )𝑑\zeta `$
Notice that for the values of $`\gamma `$ under consideration

$`𝒬(\zeta )\stackrel{~}{S}_k(Z,W)𝒬(\zeta )=\delta _\pi \left([Z^kT(Z)]_>𝒬(\zeta i\pi )𝒬(\zeta )\right)`$
$`𝒬(\zeta )\stackrel{~}{S}_k^{}(Z,W)𝒬(\zeta )=\delta _\pi \left([Z^kT(Z)]_<𝒬(\zeta i\pi )𝒬(\zeta )\right)`$
So, we find the following beautiful result:

$`a,S_k={\displaystyle \underset{\mathrm{\Lambda }}{\overset{\mathrm{\Lambda }+i\pi }{}}}a(z)Z^k\left(𝒬(\zeta )𝒬(\zeta )𝒬(\zeta i\pi )𝒬(\zeta +i\pi )\right)𝑑\zeta `$ (52)
This is exact result for $`\gamma =\frac{\pi }{n}`$! It is a nice exercise to show that for these values of $`\gamma `$ the RHS of (52) does not depend on $`\mathrm{\Lambda }`$

Now we are ready to take the classical limit. First, notice that quasi-classically

$$|𝒬^{cl}(\zeta )|^2|𝒬^{cl}(\zeta i\pi )𝒬^{cl}(\zeta +i\pi )|$$

for $`0\text{Im}(\zeta )\pi `$, so, we can neglect the first part of the integrand. Now let us use the freedom in definition of $`\mathrm{\Lambda }`$ putting it inside the interval $`I_k`$. Use the formulae (47) in order to estimate $`𝒬^{cl}(\zeta i\pi )𝒬^{cl}(\zeta +i\pi )`$ for $`\zeta I_k`$:

$`𝒬^{cl}(\zeta i\pi )`$ $`𝒬^{cl}(\zeta +i\pi )=`$
$`=`$ $`Z^{2k}C_k^4𝒬_+^{cl}(\zeta i0)𝒬_+^{cl}(\zeta +i0)=Z^kC_k^2`$ (53)
The leading term of asymptotics (53) continues analytically to the strip $`0\text{Im}\zeta \pi `$. Since the interval $`[\mathrm{\Lambda },\mathrm{\Lambda }+i\pi ]`$ for $`\mathrm{\Lambda }I_k`$ is the b-cycle $`\beta _k`$ , thus

$`a,S_kC_k^2{\displaystyle \underset{\beta _k}{}}{\displaystyle \frac{a(z)}{z\sqrt{t(z)^24}}}𝑑z`$ (54)
Now it is clear that the Riemann bilinear relation for deformed Abelian differential turn in the classical limit into usual Riemann bilinear relation: for two differentials $`\omega `$, $`\omega ^{}`$ which can be singular only at $`\mathrm{}^\pm `$ and do not have residues the relation holds:

$`{\displaystyle \underset{l=1}{\overset{g}{}}}\left({\displaystyle \underset{\alpha _l}{}}\omega {\displaystyle \underset{\beta _l}{}}\omega ^{}{\displaystyle \underset{\alpha _l}{}}\omega ^{}{\displaystyle \underset{\beta _l}{}}\omega \right)=\omega \omega ^{}`$ (55)
On the affine curve

$$X_{\text{aff}}=X\mathrm{}^\pm $$

one can consider two additional cycles: the first one ($`\sigma `$) goes around $`\mathrm{}^+`$, the second one ($`\rho `$) is non-compact: it goes from $`\mathrm{}^{}`$ t0 $`\mathrm{}^+`$. Obviously

$$\sigma \rho =1$$

The integrals over $`\sigma `$ are well defined:

$`{\displaystyle \underset{\sigma }{}}\omega =\text{res}_\mathrm{}^+(\omega )`$ (56)
The second cycle is not included into usual homology theory, but we can define integrals over $`\rho `$ of all first and second kind differentials. For the first kind differential the integral is well defined from the very beginning. For the second kind one we shall do the following:

$`{\displaystyle \underset{\rho }{}}\stackrel{~}{\omega }_k{\displaystyle \underset{\rho }{}}t(z)\left({\displaystyle \frac{d}{dz}}\left[z^kt(z)\right]_<+4kz^{k1}\right){\displaystyle \frac{dz}{\sqrt{t(z)^24}}}`$ (57)
which means that we have subtracted from $`\stackrel{~}{\omega }_k`$ the exact form $`d\left(z^k\sqrt{t(z)^24}\right)`$. We consider $`\sigma `$ and $`\rho `$ as classical limit of respectively $`S_{g+1}`$ and $`R_{g+1}`$. The formulae (56), (57) reproduce classical limit of corresponding quantum formulae. Let us consider the classical limit of the relation (38):

$`{\displaystyle \underset{l=1}{\overset{g}{}}}\left({\displaystyle \underset{\alpha _l}{}}\omega _{g+1}{\displaystyle \underset{\beta _l}{}}\omega {\displaystyle \underset{\alpha _l}{}}\omega {\displaystyle \underset{\beta _l}{}}\omega _{g+1}\right)={\displaystyle \underset{\rho }{}}\omega `$ (58)
If $`\omega `$ is of the first kind this is obvious form of Riemann bilinear relation with third kind differential $`\omega _{g+1}`$: in the RHS we have difference of values of primitive function of $`\omega `$ at the points where $`\omega _{g+1}`$ has simple poles. For second kind differentials we subtract the exact form as it is explained above, this does not change the periods of $`\omega `$ in the LHS. In the RHS we have the integral over $`\rho `$ defined by (57) plus contribution from residue at $`z=0`$ where $`d\left(z^k\sqrt{t(z)^24}\right)`$ is singular. However $`r_{g+1}`$ vanishes as $`z^{g+1}`$ at $`z=0`$ so the second contribution disappears.