HullWhiteTimeDependentParameters calibration_hull_white(
const Date& evalDate,
const CapVolData& volData
)
{
boost::shared_ptr<IborIndex> index = volData.index;
Frequency fixedFreq = volData.fixedFreq;
DayCounter fixedDC = volData.fixedDC;
Real FixedA = volData.fixedA;
std::vector<Real> initialSigma = volData.initialSigma;
Settings::instance().evaluationDate() = Date( evalDate.serialNumber() );
Date today = Settings::instance().evaluationDate();
std::vector<Date> dates;
for (Size i=0; i<volData.tenors.size(); ++i){
dates.push_back(today+volData.tenors[i]*Years);
}
dates.back() = today+50*Years;
std::set<Date> temp(dates.begin(), dates.end());
dates = std::vector<Date>(temp.begin(), temp.end());
Handle<YieldTermStructure> rts_hw(index->forwardingTermStructure().currentLink());
boost::shared_ptr<Generalized_HullWhite> model(new Generalized_HullWhite(rts_hw, dates, initialSigma, FixedA));
boost::shared_ptr<PricingEngine> engine_hw(new AnalyticCapFloorEngine(model));
//boost::shared_ptr<PricingEngine> engine_hw(new TreeCapFloorEngine(model, 80));
std::vector<boost::shared_ptr<CalibrationHelper> > caps;
for (Size i=0; i<volData.tenors.size(); ++i) {
boost::shared_ptr<CalibrationHelper> helper(
new CapHelper(Period(volData.tenors[i], Years),
Handle<Quote>(boost::shared_ptr<Quote>(new SimpleQuote(volData.vols[i]))),
index, fixedFreq,
fixedDC,
false,
rts_hw, CalibrationHelper::PriceError));
helper->setPricingEngine(engine_hw);
caps.push_back(helper);
}
LevenbergMarquardt optimizationMethod(1.0e-8,1.0e-8,1.0e-8);
EndCriteria endCriteria(5000, 1000, 1e-8, 1e-8, 1e-8);
Constraint c = BoundaryConstraint(0.01, 3.0);
model->calibrate(caps, optimizationMethod, endCriteria, c);
EndCriteria::Type ecType = model->endCriteria();
Array xMinCalculated = model->params();
//Real a = xMinCalculated[0];
//Real sigmar = xMinCalculated[1];
std::vector<Real> sigma;
for (Size i=0; i<xMinCalculated.size(); ++i) {
sigma.push_back(xMinCalculated[i]);
}
return HullWhiteTimeDependentParameters(FixedA, dates, sigma, model, caps);
}
// [[Rcpp::export]]
Rcpp::List calibrateHullWhiteUsingSwapsEngine(SEXP termStrcDateVec,
SEXP termStrcZeroVec,
SEXP swapDataDF,
SEXP iborDateVec,
SEXP iborZeroVec,
std::string iborType,
QuantLib::Date evalDate) {
QuantLib::Settings::instance().evaluationDate() = evalDate;
//set up the HullWhite model
QuantLib::Handle<QuantLib::YieldTermStructure>
term(rebuildCurveFromZeroRates(termStrcDateVec, termStrcZeroVec));
boost::shared_ptr<QuantLib::HullWhite> model(new QuantLib::HullWhite(term));
//set up ibor index
QuantLib::Handle<QuantLib::YieldTermStructure>
indexStrc(rebuildCurveFromZeroRates(iborDateVec, iborZeroVec));
boost::shared_ptr<QuantLib::IborIndex> index = buildIborIndex(iborType, indexStrc);
//process capDataDF
boost::shared_ptr<QuantLib::PricingEngine>
engine(new QuantLib::JamshidianSwaptionEngine(model));
std::vector<boost::shared_ptr <QuantLib::CalibrationHelper> > swaps;
Rcpp::DataFrame swapDF(swapDataDF);
Rcpp::NumericVector i0v = swapDF[0];
Rcpp::CharacterVector s1v = swapDF[1];
Rcpp::NumericVector i2v = swapDF[2];
Rcpp::CharacterVector s3v = swapDF[3];
Rcpp::NumericVector d4v = swapDF[4];
Rcpp::NumericVector i5v = swapDF[5];
Rcpp::CharacterVector s6v = swapDF[6];
Rcpp::NumericVector i7v = swapDF[7];
Rcpp::NumericVector i8v = swapDF[8];
//std::vector<std::vector<ColDatum> > table = swapDF.getTableData();
//int nrow = table.size();
int nrow = i0v.size();
for (int row=0; row<nrow;row++) {
QuantLib::Period maturity = periodByTimeUnit(i0v[row],
Rcpp::as<std::string>(s1v[row]));
QuantLib::Period length = periodByTimeUnit(i0v[row],
Rcpp::as<std::string>(s3v[row]));
boost::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(d4v[row]));
QuantLib::Period fixedLegTenor = periodByTimeUnit(i5v[row],
Rcpp::as<std::string>(s6v[row]));
QuantLib::DayCounter fixedLegDayCounter = getDayCounter(i7v[row]);
QuantLib::DayCounter floatingLegDayCounter = getDayCounter(i8v[row]);
boost::shared_ptr<QuantLib::CalibrationHelper>
helper(new QuantLib::SwaptionHelper(maturity, length,
QuantLib::Handle<QuantLib::Quote>(vol),
index,
fixedLegTenor,
fixedLegDayCounter,
floatingLegDayCounter,
term));
helper->setPricingEngine(engine);
swaps.push_back(helper);
}
//calibrate the data
QuantLib::LevenbergMarquardt optimizationMethod(1.0e-8,1.0e-8,1.0e-8);
QuantLib::EndCriteria endCriteria(10000, 100, 1e-6, 1e-8, 1e-8);
model->calibrate(swaps, optimizationMethod, endCriteria);
//EndCriteria::Type ecType = model->endCriteria();
//return the result
QuantLib::Array xMinCalculated = model->params();
return Rcpp::List::create(Rcpp::Named("alpha") = xMinCalculated[0],
Rcpp::Named("sigma") = xMinCalculated[1]);
}
// [[Rcpp::export]]
Rcpp::List calibrateHullWhiteUsingCapsEngine(SEXP termStrcDateVec,
SEXP termStrcZeroVec,
SEXP capDataDF,
SEXP iborDateVec,
SEXP iborZeroVec,
std::string iborType,
QuantLib::Date evalDate) {
QuantLib::Settings::instance().evaluationDate() = evalDate;
QuantLib::Handle<QuantLib::YieldTermStructure>
term(rebuildCurveFromZeroRates(termStrcDateVec, termStrcZeroVec));
//set up ibor index
QuantLib::Handle<QuantLib::YieldTermStructure>
indexStrc(rebuildCurveFromZeroRates(iborDateVec, iborZeroVec));
boost::shared_ptr<QuantLib::IborIndex> index = buildIborIndex(iborType, indexStrc);
//process capDataDF
std::vector<boost::shared_ptr <QuantLib::CalibrationHelper> > caps;
Rcpp::DataFrame capDF(capDataDF);
Rcpp::NumericVector i0v = capDF[0];
Rcpp::CharacterVector s1v = capDF[1];
Rcpp::NumericVector d2v = capDF[2];
Rcpp::NumericVector i3v = capDF[3];
Rcpp::NumericVector i4v = capDF[4];
Rcpp::NumericVector i5v = capDF[5];
//std::vector<std::vector<ColDatum> > table = capDF.getTableData();
//int nrow = table.size();
int nrow = i0v.size();
for (int row=0; row<nrow;row++) {
QuantLib::Period p = periodByTimeUnit(i0v[row], Rcpp::as<std::string>(s1v[row]));
boost::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(d2v[row]));
QuantLib::DayCounter dc = getDayCounter(i4v[row]);
boost::shared_ptr<QuantLib::CalibrationHelper>
helper(new QuantLib::CapHelper(p, QuantLib::Handle<QuantLib::Quote>(vol), index,
getFrequency(i3v[row]),
dc,
(i5v[row]==1) ? true : false,
term));
boost::shared_ptr<QuantLib::BlackCapFloorEngine>
engine(new QuantLib::BlackCapFloorEngine(term, d2v[row]));
helper->setPricingEngine(engine);
caps.push_back(helper);
}
//set up the HullWhite model
boost::shared_ptr<QuantLib::HullWhite> model(new QuantLib::HullWhite(term));
//calibrate the data
QuantLib::LevenbergMarquardt optimizationMethod(1.0e-8,1.0e-8,1.0e-8);
QuantLib::EndCriteria endCriteria(10000, 100, 1e-6, 1e-8, 1e-8);
model->calibrate(caps, optimizationMethod, endCriteria);
//EndCriteria::Type ecType = model->endCriteria();
//return the result
QuantLib::Array xMinCalculated = model->params();
return Rcpp::List::create(Rcpp::Named("alpha") = xMinCalculated[0],
Rcpp::Named("sigma") = xMinCalculated[1]);
}
HullWhiteTimeDependentParameters calibration_hull_white(
const Date& evalDate,
const SwaptionVolData& volData
)
{
boost::shared_ptr<IborIndex> index = volData.index;
Frequency fixedFreq = volData.fixedFreq;
DayCounter fixedDC = volData.fixedDC;
DayCounter floatingDC = volData.floatingDC;
Real FixedA = volData.fixedA;
std::vector<Real> initialSigma = volData.initialSigma;
Settings::instance().evaluationDate() = Date( evalDate.serialNumber() );
Date today = Settings::instance().evaluationDate();
std::vector<Date> tmpdates;
for (Size i=0; i<volData.maturities.size(); ++i){
tmpdates.push_back(today+volData.maturities[i]);
}
tmpdates.back() = today+50*Years;
std::set<Date> dateSet( tmpdates.begin(), tmpdates.end() );
std::vector<Date> dates( dateSet.begin(), dateSet.end() );
Handle<YieldTermStructure> rts_hw(index->forwardingTermStructure().currentLink());
//boost::shared_ptr<GeneralizedHullWhite> model(new GeneralizedHullWhite(rts_hw, dates, dates, std::vector<Real>(1, FixedA), initialSigma));
boost::shared_ptr<Generalized_HullWhite> model(new Generalized_HullWhite(rts_hw, dates, initialSigma, FixedA));
//boost::shared_ptr<PricingEngine> engine_hw(new AnalyticCapFloorEngine(model));
//boost::shared_ptr<PricingEngine> engine_hw(new TreeSwaptionEngine(model, 100));
boost::shared_ptr<PricingEngine> engine_hw(new JamshidianSwaptionEngine(model));
std::vector<boost::shared_ptr<CalibrationHelper> > swaptions;
for (Size i=0; i<volData.maturities.size(); ++i) {
boost::shared_ptr<CalibrationHelper> helper(
new SwaptionHelper(volData.maturities[i],
volData.lengths[i],
Handle<Quote>(boost::shared_ptr<Quote>(new SimpleQuote(volData.vols[i]))),
index, Period(fixedFreq),
fixedDC, floatingDC,
rts_hw, CalibrationHelper::PriceError));
helper->setPricingEngine(engine_hw);
swaptions.push_back(helper);
}
LevenbergMarquardt optimizationMethod(1.0e-8,1.0e-8,1.0e-8);
EndCriteria endCriteria(50000, 1000, 1e-8, 1e-8, 1e-8);
model->calibrate(swaptions, optimizationMethod, endCriteria);
EndCriteria::Type ecType = model->endCriteria();
Array xMinCalculated = model->params();
//Real a = xMinCalculated[0];
//Real sigmar = xMinCalculated[1];
std::vector<Real> sigma;
for (Size i=0; i<xMinCalculated.size(); ++i) {
sigma.push_back(xMinCalculated[i]);
}
return HullWhiteTimeDependentParameters(FixedA, dates, sigma, model, swaptions);
}
