void vanillaSwapComparaisonExemple()
{
double strike = 0.02;
size_t indexStart = 3;
size_t indexEnd = 19;
Tenor tenorStruture = Tenor::_6M;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
LMMTenorStructure_PTR lmmTenorStructure(new LMMTenorStructure(tenorStruture, 10));
size_t liborIndex = lmmTenorStructure->get_horizon()+1;
std::vector<double> myInitialLibor(liborIndex);
for (size_t i = 0; i <myInitialLibor.size(); i++)
{
myInitialLibor[i]=0.02; //+((double)i)*0.01;
}
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
cout << "myInitialLibor: ";
for (size_t i = 0; i <myInitialLibor.size(); i++)
{
cout << myInitialLibor[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap myVS(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double prix_swap=myVSP.swapNPV_Analytical_1(myVS, myInitialLibor);
//GeneticSwap test
//build geneticVanillaSwap
GenericSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
GenericVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GenericVanillaSwapPricer());
double geneticPrice=geneticVanillaSwapPricer->genericVanillaSwap_Analytical(vanillaSwap_Genetic, myInitialLibor);
cout << "FirstVersionSwapPrice: " << prix_swap << endl;
cout << "GeneticSwapTest: " << geneticPrice << endl;
cout << "Difference: " << geneticPrice-prix_swap << endl;
}
void test_TruncatedLocalResetGMatrixMapping()
{
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<size_t> truncated_cols;
truncated_cols.push_back(2);
truncated_cols.push_back(3);
std::vector<size_t> truncated_rows;
truncated_rows.push_back(2);
truncated_rows.push_back(3);
gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
gMatrixMapping.reset_Truncated_gDelegate_Cols(truncated_cols);
std::vector<size_t> non_truncated_row = get_NonTruncatedIndices(truncated_rows,nbYear);
size_t value_counter=1;
for(size_t iRow=0;iRow<non_truncated_row.size();++iRow)
{
const size_t iDelegate = non_truncated_row[iRow];
QuantLib::Array x = gMatrixMapping.get_DelegateArray(iDelegate);
for(size_t jX=0;jX<x.size();++jX)
{
x[jX]=value_counter*0.1;
++value_counter;
}
gMatrixMapping.reset_gDelegate(x,iDelegate);
std::cout<<" Delegate Row["<<iDelegate<<"] "<<x<<std::endl;
std::ostringstream local_gDelegate_file;
local_gDelegate_file<< "test_TruncatedLocalResetGMatrixMapping_"<<iDelegate<<"thRow.csv";
gMatrixMapping.print(local_gDelegate_file.str() );
}
}
}
void test_LocalResetGMatrixMapping()
{
std::cout<<"hello test_LocalResetGMatrixMapping() "<<std::endl;
size_t nbYear = 5;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
gMatrixMapping.print("test_LocalResetGMatrixMapping_init.csv");
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// loop reset delegate rows
size_t max_DelegateRowIndex = gMatrixMapping.get_MaxDelegateRowIndex();
for(size_t iRowDelegate=1;iRowDelegate<=max_DelegateRowIndex;++iRowDelegate)
{
QuantLib::Array row_values = gMatrixMapping.get_DelegateArray(iRowDelegate);
for(size_t jarray=0;jarray<row_values.size();++jarray)
{
size_t jColDelegate = jarray+1;
row_values[jarray] = empty_delegate_matrix(iRowDelegate,jColDelegate);
gMatrixMapping.reset_gDelegate(row_values,iRowDelegate);
std::ostringstream local_gDelegate_file;
local_gDelegate_file<< "test_LocalResetGMatrixMapping_reset_"<<iRowDelegate<<"th-Col.csv";
gMatrixMapping.print( local_gDelegate_file.str() );
}
}
check_gMatrix(gMatrixMapping.get_g_Ref(), increment_matrix);
}
void test_CascadeResetGMatrixMapping()
{
{
size_t nbYear = 5;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
gMatrixMapping.print("test_CascadeResetGMatrixMapping_init.csv");
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// loop reset delegate rows
size_t max_DelegateRowIndex = gMatrixMapping.get_MaxDelegateRowIndex();
for(size_t iRowDelegate=1;iRowDelegate<=max_DelegateRowIndex;++iRowDelegate)
{
size_t max_DelegateColIndex = delegate_matrix_size - (iRowDelegate+1);
for(size_t jColDelegate=1;jColDelegate<=max_DelegateColIndex;++jColDelegate)
{
std::pair<size_t,size_t> gDelegate_cell(iRowDelegate,jColDelegate);
gMatrixMapping.reset_gDelegate(empty_delegate_matrix(iRowDelegate,jColDelegate) ,gDelegate_cell);
std::ostringstream local_gDelegate_file;
local_gDelegate_file<< "test_CascadeResetGMatrixMapping_reset_"<<iRowDelegate<<"row_"<< jColDelegate<<"col" <<".csv";
gMatrixMapping.print( local_gDelegate_file.str() );
}
}
}
}
void test_GlobalResetGMatrixMapping()
{
std::cout<<"hello test_GlobalResetGMatrixMapping() "<<std::endl;
size_t nbYear = 5;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
gMatrixMapping.print("test_GlobalResetGMatrixMapping.csv");
//check_gMatrix(gMatrixMapping.get_g_Ref(), increment_matrix);
QuantLib::Array x = gMatrixMapping.get_DelegateArray();
std::cout<<std::endl<<std::endl<<x<<std::endl;
LmmGnuplotPrinterMatrix gnuplot_printer(pLmmTenorStructure);
const LowerTriangularDoubleMatrix& lower_matrix = gMatrixMapping.get_g_Ref();
gnuplot_printer.printVolMatrix(lower_matrix,"test_GlobalResetGMatrixMapping");
}
void test_TruncatedCascadeResetGMatrixMapping()
{
// use of reset parallelograme truncated row
{
size_t nbYear = 5;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
gMatrixMapping.print("test_TruncatedCascadeResetGMatrixMapping_init.csv");
//Initiate_UpperTriangularDoubleMatrixConstantDiagonal(empty_delegate_matrix, increment_matrix);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
std::vector<std::pair<size_t,size_t> > truncated_cells;
truncated_cells.push_back(std::pair<size_t,size_t>(1,1) );
//truncated_cells.push_back(std::pair<size_t,size_t>(1,4) );
//truncated_cells.push_back(std::pair<size_t,size_t>(2,2) );
//truncated_cells.push_back(std::pair<size_t,size_t>(4,1) );
for(size_t i=0;i<truncated_cells.size();++i)
{
gMatrixMapping.add_Truncated_gDelegate_Cells(truncated_cells[i]);
}
// loop reset delegate rows
size_t max_DelegateRowIndex = gMatrixMapping.get_MaxDelegateRowIndex();
for(size_t iRowDelegate=1;iRowDelegate<=max_DelegateRowIndex;++iRowDelegate)
{
size_t max_DelegateColIndex = delegate_matrix_size - (iRowDelegate+1);
for(size_t jColDelegate=1;jColDelegate<=max_DelegateColIndex;++jColDelegate)
{
std::pair<size_t,size_t> gDelegate_cell(iRowDelegate,jColDelegate);
if( std::find(truncated_cells.begin(),truncated_cells.end(),gDelegate_cell) == truncated_cells.end() )
{
std::pair<size_t,size_t> gDelegate_cell(iRowDelegate,jColDelegate);
gMatrixMapping.reset_gDelegate(empty_delegate_matrix(iRowDelegate,jColDelegate) , gDelegate_cell);
std::ostringstream local_gDelegate_file;
local_gDelegate_file<< "test_TruncatedCascadeResetGMatrixMapping_reset_"<<iRowDelegate<<"row_"<< jColDelegate<<"col" <<".csv";
gMatrixMapping.print( local_gDelegate_file.str() );
}
}
}
}
}
void test_TruncatedGlobalResetGMatrixMapping()
{
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<std::pair<size_t,size_t> > truncated_cells;
truncated_cells.push_back( std::pair<size_t,size_t>(1,1) );
truncated_cells.push_back( std::pair<size_t,size_t>(1,5) );
truncated_cells.push_back( std::pair<size_t,size_t>(5,1) );
for(size_t iCell=0;iCell<truncated_cells.size();++iCell)
{
gMatrixMapping.add_Truncated_gDelegate_Cells( truncated_cells[iCell] );
}
QuantLib::Array x = gMatrixMapping.get_DelegateArray();
for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
gMatrixMapping.reset_gDelegate(x);
gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Extrapolation.csv");
}
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<std::pair<size_t,size_t> > truncated_cells;
truncated_cells.push_back( std::pair<size_t,size_t>(2,2) );
truncated_cells.push_back( std::pair<size_t,size_t>(1,3) );
truncated_cells.push_back( std::pair<size_t,size_t>(3,1) );
truncated_cells.push_back( std::pair<size_t,size_t>(3,3) );
for(size_t iCell=0;iCell<truncated_cells.size();++iCell)
{
gMatrixMapping.add_Truncated_gDelegate_Cells( truncated_cells[iCell] );
}
QuantLib::Array x = gMatrixMapping.get_DelegateArray();
for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
gMatrixMapping.reset_gDelegate(x);
gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Interpolation.csv");
}
//{
// size_t nbYear = 6;
// Tenor tenorfixedleg = Tenor::_1YR;
// Tenor tenorfloatleg = Tenor::_6M;
// const double increment_matrix = 10;
// LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
// size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
// size_t horizon = pLmmTenorStructure->get_horizon() ;
// size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
// size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
// UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
// Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
// GMatrixMapping gMatrixMapping(
// g_matrix_size
// , empty_delegate_matrix
// , atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
// std::vector<size_t> truncated_rows;
// truncated_rows.push_back(1);
// truncated_rows.push_back(3);
// truncated_rows.push_back(5);
// gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
// QuantLib::Array x = gMatrixMapping.get_DelegateArray();
// for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
// gMatrixMapping.reset_gDelegate(x);
// gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Row.csv");
//}
//{
// size_t nbYear = 6;
// Tenor tenorfixedleg = Tenor::_1YR;
// Tenor tenorfloatleg = Tenor::_6M;
// const double increment_matrix = 10;
// LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
// size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
// size_t horizon = pLmmTenorStructure->get_horizon() ;
// size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
// size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
// UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
// Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
// GMatrixMapping gMatrixMapping(
// g_matrix_size
// , empty_delegate_matrix
// , atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
// std::vector<size_t> truncated_cols;
// truncated_cols.push_back(2);
// truncated_cols.push_back(3);
// std::vector<size_t> truncated_rows;
// truncated_rows.push_back(2);
// truncated_rows.push_back(3);
// gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
// gMatrixMapping.reset_Truncated_gDelegate_Cols(truncated_cols);
// QuantLib::Array x = gMatrixMapping.get_DelegateArray();
// for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
// gMatrixMapping.reset_gDelegate(x);
// gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_ColRow.csv");
//}
}
UpperTriangleVanillaSwaptionQuotes_ConstPTR UpperTriangleVanillaSwaptionQuotes::create_ATMSwaptionImpliedVol
(
LiborQuotes_ConstPTR libor_quotes_ptr,
const Tenor& fixedTenor,
const Tenor& floatingTenor,
LmmVanillaSwaptionApproxPricer_Rebonato_PTR black_vol_approx_ptr,
const double& strike_bump
)
{
LMMTenorStructure_PTR pLMMTenorStructure = libor_quotes_ptr->get_LMMTenorStructure_PTR() ;
size_t fix_float_ratio = fixedTenor.ratioTo(floatingTenor);
size_t lastLiborIndex = pLMMTenorStructure->get_nbLIBOR()-1;
assert(lastLiborIndex%fix_float_ratio == 0);
size_t last_year = lastLiborIndex / fix_float_ratio ;
size_t matrix_size = last_year + 1 ;
UpperTriangularDoubleMatrix swap_rate_matrix(matrix_size,matrix_size);
UpperTriangularDoubleMatrix black_vol_matrix(matrix_size,matrix_size);
//first row and first column never used
for(size_t k=0;k<matrix_size;++k)
{
swap_rate_matrix(k,0) = -1000000; swap_rate_matrix(0,k) = -1000000;
black_vol_matrix(k,0) = -1000000; black_vol_matrix(0,k) = -1000000;
}
const std::vector<double> & init_libor = libor_quotes_ptr->get_InitLibor();
LmmVanillaSwapPricer swap_pricer(pLMMTenorStructure);
for(size_t iMaturity=1;iMaturity<matrix_size;++iMaturity)
{
for(size_t jTenor=1;jTenor<matrix_size - iMaturity ;++jTenor)
{
size_t start_swap_index = iMaturity * fix_float_ratio;
size_t end_swap_index = (iMaturity+jTenor) * fix_float_ratio;
double empty_strike = -100000000;
VanillaSwap swap_ij(empty_strike,start_swap_index,end_swap_index,floatingTenor,fixedTenor,pLMMTenorStructure);
double swap_rate_ij = strike_bump+swap_pricer.swapRate_Analytical(swap_ij,init_libor);
swap_ij.set_strike(swap_rate_ij);
swap_rate_matrix(iMaturity,jTenor) = swap_rate_ij;
VanillaSwaption swaption_ij(swap_ij, OptionType::OptionType::CALL);
double black_vol_ij = black_vol_approx_ptr->volBlack(swaption_ij,init_libor);
black_vol_matrix(iMaturity,jTenor)=black_vol_ij;
}
}
UpperTriangleVanillaSwaptionQuotes_PTR atm_swaption_implied_vol
(new UpperTriangleVanillaSwaptionQuotes(
pLMMTenorStructure,
last_year,
fixedTenor,
floatingTenor,
swap_rate_matrix,
black_vol_matrix
)
);
atm_swaption_implied_vol->set_Data_FileName("VirtuallyCreatedData");
return atm_swaption_implied_vol;
}
void Test_McGeneticSwapLMMPricer()
{
//! Parameters
double strike = 0.02;
LMM::Index indexStart = 0;
LMM::Index indexEnd = 20;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
Tenor tenorStruture = Tenor::_6M;
size_t horizonYear = 10;
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(tenorStruture, horizonYear));
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
double fwdRate = 0.02;
std::vector<double> liborsInitValue(lmmTenorStructure->get_horizon()+1, fwdRate);
cout << "myInitialLibor: ";
for (size_t i = 0; i <liborsInitValue.size(); i++)
{
cout << liborsInitValue[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap firstVersionVanillaSwap(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double FirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(firstVersionVanillaSwap, liborsInitValue);
//---------------------------Build Lmm and McLmm's structure--------------------------------------
//! Parameter of h
double a = -0.06;
double b = 0.17;
double c = 0.54;
double d = 0.17;
Shifted_HGVolatilityParam::ABCDParameter abcdParam (a,b,c,d);
//Parameter of hg
double g_constParam = 1.0;
double shift_constParam = -0.01;
ConstShifted_HGVolatilityParam_PTR hgParam( new ConstShifted_HGVolatilityParam(lmmTenorStructure,abcdParam,g_constParam,shift_constParam));
//! Correlation 1
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = lmmTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
//!"Check Parameters(): Condition not implemented yet."
std::cout << "checkParams(): ";
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
correlation->print("test_McTerminalLmm_Correlation.csv");
//hgVolatilityFunction
ConstShifted_HGVolatilityFunction_PTR hgVolatilityFunction (new ConstShifted_HGVolatilityFunction(lmmTenorStructure, correlation, hgParam));
hgVolatilityFunction->print("test_McTerminalLmm_Volatility.csv");
//! Dispersion
Dispersion dispersion(hgVolatilityFunction);
unsigned long seed = 5033;
RNGenerator_PTR rnGenerator(new McGenerator(seed));
//build lmm and mcLmm model
Lmm_PTR shiftedLmm (new Lmm(dispersion));
McLmm_PTR mcLmm(new McTerminalLmm(shiftedLmm, liborsInitValue, rnGenerator, MCSchemeType::EULER));
//build a McGeneticSwapLMMPricer
McGeneticSwapLMMPricer_PTR mcGeneticSwapLMMPricer(new McGeneticSwapLMMPricer(mcLmm));
//build the geneticVanillaSwap
GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
//use Monte Carlo Method
size_t nbSimulation=10000;
double MonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(vanillaSwap_Genetic, nbSimulation);
//ordinaryGeneticVanillaSwapPricer
GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer());
double OrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic,liborsInitValue);
//subVanillaSwap
LMM::Index subIndexStart = 10;
LMM::Index subIndexEnd = 16;
GeneticSwap_CONSTPTR subVanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,subIndexStart,subIndexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
double subMonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(subVanillaSwap_Genetic, nbSimulation);
//subOrdinaryGeneticVanillaSwapPrice
double subOrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(subVanillaSwap_Genetic,liborsInitValue);
//subFirstVersionVanillaSwapPrice
VanillaSwap subFirstVersionVanillaSwap(strike, subIndexStart , subIndexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
double subFirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(subFirstVersionVanillaSwap, liborsInitValue);
cout << "MonteCarloPrice: " << MonteCarloPrice << endl;
cout << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
cout << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
cout << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
cout << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
cout << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
cout << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
ofstream o;
o.open("TestResult_GeneticVanillaSwap_05_06.csv", ios::out | ios::app );
o << endl;
o << endl;
o << endl;
o << "strike: " << strike << endl;
o << "indexStart: " << indexStart << endl;
o << "indexEnd: " << indexEnd << endl;
o << "floatingTenorVSLmmStructureTenorRatio: " << floatingTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "fixedTenorVSLmmStructureTenorRatio: " << fixedTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "floatingTenorYearFraction: " << floatingTenor.YearFraction() << endl;
o << "fixedTenorYearFraction: " << fixedTenor.YearFraction() << endl;
o << "horizonYear: " << horizonYear << endl;
o << "liborsInitValue: ";
for(size_t i=0; i<liborsInitValue.size(); i++)
{
o << liborsInitValue[i] << " ";
}
o << endl;
o << "nbSimulation: " << nbSimulation << endl;
o << "PRICES: " << endl;
o << "MonteCarloPrice: " << MonteCarloPrice << endl;
o << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
o << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
o << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
o << "SUBPRICES: "<< endl;
o << "subIndexStart: " << subIndexStart << endl;
o << "subIndexEnd: " << subIndexEnd << endl;
o << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
o << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
o << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
o << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
o.close();
}
Shifted_HGVolatilityFunction_PTR JB_marketData_LMM_ABCD_calibration(const LmmCalibrationConfig& config, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData)
{
std::string base_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName() ;
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
Tenor tenorfixedleg = Tenor::_1YR ; // A corriger
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, config.vol_abcd_ , 1., 0.));
//! create correlation
Correlation_PTR pCorrelation = JB_create_InitCorrelation(config);
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, pCorrelation, pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
//! Create Approximation Rebonato
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR abcd_costFucntion (new LmmABCDCostFunction ( pLmmVanillaSwaptionApproxPricer_Rebonato
, pLmmSwaptionMarketData->get_LiborQuotes()
, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()
, pNoShifted_HGVolatilityParam
));
QuantLib::Array init_abcd(4);
init_abcd[0]=config.vol_abcd_.a_;
init_abcd[1]=config.vol_abcd_.b_;
init_abcd[2]=config.vol_abcd_.c_;
init_abcd[3]=config.vol_abcd_.d_;
size_t maxIterations = 1000;
size_t minStatIterations = 100;
double rootEpsilon =1e-14;
double functionEpsilon =1e-14;
double gradientNormEpsilon =0;
LmmABCDCalibrator lmm_abcd_calibrator(init_abcd, maxIterations, rootEpsilon,functionEpsilon,abcd_costFucntion);
lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(1,1) );
lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(2,2) );
lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(1,3) );
lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(3,1) );
//lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(6,6) );
//lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(8,8) );
lmm_abcd_calibrator.activate_PositiveConstraint();
lmm_abcd_calibrator.solve();
std::string result_file =base_name + "_abcd_calibration_result.csv";
lmm_abcd_calibrator.printPlusPlus(result_file);
std::string calibrated_abcd_file = base_name + "_abcd_calibrated.csv";
pNoShifted_HGVolatilityParam->print(calibrated_abcd_file);
// print in a common file
{
std::string common_result_file_name = "calib_result_ABCD.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
std::ofstream final_result ;
final_result.open(full_common_result_file.c_str(), std::ios::app);
final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
<<",,,,,, Error LInf, "<<lmm_abcd_calibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmm_abcd_calibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return pVolatilityFunction;
}
void Test_evaluation_basis()
{
LMM::Index indexStart = 2; //1Y
LMM::Index indexEnd = 20; //10Y
Tenor floatingLegTenorType = Tenor::_6M;
Tenor fixedLegTenorType = Tenor::_1YR;
assert(indexStart%2==0&&indexEnd%2==0);
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(floatingLegTenorType, indexEnd/2));
std::vector<std::string> mkt_file_list = InputFileManager::get_VCUB_FileList();
const std::string& mkt_data_file = mkt_file_list.back();
std::string folder_name; // = "TotalCalib\\" ; config.use_positive_constraint_=true;
std::string base_name_file = LMMPATH::get_BaseFileName(mkt_data_file) + "\\";
folder_name+=base_name_file;
LMMPATH::reset_Output_SubFolder(folder_name );
LmmCalibrationConfig config;
config.floatLegTenor_=floatingLegTenorType;
config.fixedLegTenor_=fixedLegTenorType;
config.model_nbYear_ = indexEnd/2;
size_t fixedFloatRatio = config.fixedLegTenor_.ratioTo(config.floatLegTenor_);
config.correl_FullRank_ = fixedFloatRatio*config.model_nbYear_+1;
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData = get_LmmSwaptionMarketData(config, mkt_data_file);
const std::vector<double>& initLiborValues = pLmmSwaptionMarketData->get_LiborQuotes()->get_InitLibor();
double strike = 0.0137;
std::vector<LMM::Index> exerciseDates;
exerciseDates.push_back(2);
//exerciseDates.push_back(4);
//exerciseDates.push_back(6);
//exerciseDates.push_back(8);
//exerciseDates.push_back(10);
//exerciseDates.push_back(12);
//exerciseDates.push_back(14);
//exerciseDates.push_back(16);
//exerciseDates.push_back(18);
exerciseDates.push_back(20);
McLmm_PTR mcLmm_for_pricer = getMcLmmExample(lmmTenorStructure, initLiborValues, LmmCalibrationConfig());
size_t fixedFloatingRatio = fixedLegTenorType.ratioTo(floatingLegTenorType);
std::vector<std::vector<size_t>> subset;
for(size_t i = 0; i <= 2; i++)
{
subset.push_back(std::vector<size_t>());
subset.back().push_back(0);
subset.back().push_back(0);
subset.back().push_back(i);
}
//for(size_t j = 1; j <= 2; j++)
//{
// subset.push_back(std::vector<size_t>());
// subset.back().push_back(0);
// subset.back().push_back(j);
// subset.back().push_back(0);
//}
/* for(size_t k = 1; k <= 2; k++)
{
subset.push_back(std::vector<size_t>());
subset.back().push_back(k);
subset.back().push_back(0);
subset.back().push_back(0);
} */
size_t regressionIndex=2;
LMM::Index liborIndex = indexStart + regressionIndex*fixedFloatingRatio;
LMM::Index paymentIndex = indexStart + regressionIndex*fixedFloatingRatio + 1;
VanillaSwap vanillaSwap( strike,
liborIndex,
indexEnd,
floatingLegTenorType,
fixedLegTenorType,
lmmTenorStructure);
std::vector<Basis_CONSTPTR> basis_vect;
std::vector<Basis_Evaluator_CONSTPTR> basis_evaluator_vect;
for(size_t basisIndex = 0; basisIndex<subset.size(); basisIndex++)
{
basis_vect.push_back(getBasis(subset[basisIndex], 1.0, vanillaSwap, strike, liborIndex));
basis_evaluator_vect.push_back(getBasisEvaluator(subset[basisIndex], McLmmVanillaSwapPricer(mcLmm_for_pricer)));
}
LS::Regression rg(LS::RegressionRepresentation(basis_vect, basis_evaluator_vect));
McLmm_PTR mcLmm = getMcLmmExample(lmmTenorStructure, initLiborValues, LmmCalibrationConfig());
McLmm_LS mcLmm_LS(mcLmm);
mcLmm_LS.simulateLMM(1);
size_t nb = 30000;
clock_t startTime = clock();
std::vector<std::vector<double>> vect(nb);
for(size_t i=0; i<nb; i++)
{
//rg.getRegressionRepresentation().evaluate_basis(mcLmm_LS.lmmSimualtionResults_[0]);
vect[i].resize(3);
vect[i]=rg.getRegressionRepresentation().getBasis_val_buffer();
vect[i]=std::vector<double>(3, 1.0);
}
clock_t endTime = clock();
clock_t time = endTime - startTime;
double time_in_second = time/(double) CLOCKS_PER_SEC;
cout << "time_in_second "<< time_in_second << endl;
const matrix& m = mcLmm_LS.lmmSimualtionResults_[0].get_liborMatrix();
const std::vector<double>& numeraire = mcLmm_LS.lmmSimualtionResults_[0].get_numeraire();
std::vector<size_t> basis1;
basis1.push_back(1);
basis1.push_back(0);
basis1.push_back(0);
Basis_CONSTPTR basisA=getBasis(basis1, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorA = getBasisEvaluator(basis1, McLmmVanillaSwapPricer(mcLmm_for_pricer));
basis_EvaluatorA->evaluate(basisA,m, numeraire);
clock_t startTime1 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorA->evaluate(basisA,m, numeraire);
clock_t endTime1 = clock();
clock_t time1 = endTime1 - startTime1;
double time1_in_second = time1/(double) CLOCKS_PER_SEC;
cout << "time1_in_second "<< time1_in_second << endl;
std::vector<size_t> basis2;
basis2.push_back(0);
basis2.push_back(1);
basis2.push_back(0);
Basis_CONSTPTR basisB=getBasis(basis2, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorB = getBasisEvaluator(basis2, McLmmVanillaSwapPricer(mcLmm_for_pricer));
clock_t startTime2 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorB->evaluate(basisB, m, numeraire);
clock_t endTime2 = clock();
clock_t time2 = endTime2 - startTime2;
double time2_in_second = time2/(double) CLOCKS_PER_SEC;
cout << "time2_in_second "<< time2_in_second << endl;
std::vector<size_t> basis3;
basis3.push_back(0);
basis3.push_back(0);
basis3.push_back(1);
Basis_CONSTPTR basisC=getBasis(basis3, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorC = getBasisEvaluator(basis3, McLmmVanillaSwapPricer(mcLmm_for_pricer));
clock_t startTime3 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorC->evaluate(basisC, m, numeraire);
clock_t endTime3 = clock();
clock_t time3 = endTime3 - startTime3;
double time3_in_second = time3/(double) CLOCKS_PER_SEC;
cout << "time3_in_second "<< time3_in_second << endl;
EV_Evaluator_CONSTPTR ev_evaluator_libor(new EV_LiborRate_Evaluator());
EV_Evaluator_CONSTPTR ev_evaluator_swaprate(new EV_VanillaSwapRate_Evaluator(McLmmVanillaSwapPricer(mcLmm_for_pricer)));
EV_CONSTPTR ev_swaprate(new EV_VanillaSwapRate( Rate1_CONSTPTR( new VanillaSwapRate(VanillaSwap(vanillaSwap)))));
EV_CONSTPTR ev_libor(new EV_LiborRate(Rate1_CONSTPTR(new LiborRate(2,Tenor(Tenor::_6M)))));
clock_t startTime4 = clock();
for(size_t i=0; i<1000; i++)
ev_evaluator_swaprate->evaluate(ev_swaprate,m,numeraire);
clock_t endTime4 = clock();
clock_t time4 = endTime4 - startTime4;
double time4_in_second = time4/(double) CLOCKS_PER_SEC;
cout << "time4_in_second "<< time4_in_second << endl;
clock_t startTime5 = clock();
for(size_t i=0; i<1000; i++)
ev_evaluator_libor->evaluate(ev_libor,m,numeraire);
clock_t endTime5 = clock();
clock_t time5 = endTime5 - startTime5;
double time5_in_second = time5/(double) CLOCKS_PER_SEC;
cout << "time5_in_second "<< time5_in_second << endl;
}
Shifted_HGVolatilityFunction_PTR JB_marketData_LMM_shift_Calibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, Shifted_HGVolatilityFunction_PTR param_h_g_function
)
{
assert(!config.use_local_calib_);
size_t nbYear= pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_shift_gMatrix_Calibration" ;
Shifted_HGVolatilityParam_PTR param_h_g = param_h_g_function->get_ShiftedHGVolatilityParam_PTR();
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=param_h_g->get_ABCD().a_;
const double b=param_h_g->get_ABCD().b_;
const double c=param_h_g->get_ABCD().c_;
const double d=param_h_g->get_ABCD().d_;
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
const Shifted_HGVolatilityParam::LowerTriangularMatrix& gMatrix=param_h_g->get_gMatrix();
QuantLib::Array shiftValues_QL = param_h_g->get_ArrayFrom_Shift();
std::vector<double> shiftValues(shiftValues_QL.size());
for(size_t i=0; i<shiftValues_QL.size(); i++)
shiftValues[i]=shiftValues_QL[i];
//const std::vector<double> shiftedVector(gMatrix.size1(), 0.0);
ConstShifted_HGVolatilityParam_PTR pShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(
pLMMTenorStructure, abcdParam, gMatrix, shiftValues));
Shifted_HGVolatilityFunction_PTR pShifted_VolatilityFunction (new ConstShifted_HGVolatilityFunction(
pLMMTenorStructure, param_h_g_function->get_Correlation_PTR(), pShifted_HGVolatilityParam));
Dispersion dispersion(pShifted_VolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
//size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
//size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
//UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
//pShifted_HGVolatilityParam->reset_g_matrix(gMatrix);
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pShifted_HGVolatilityParam);
// Create const function
//LmmPenalty_PTR pLmmPenalty(new LmmPenalty(config.penalty_time_homogeneity_,config.penalty_libor_) );
//LmmBaseCostFunction_PTR pLmmCostFunction(new LmmGlobal_gCostFunction
// (
// pLmmVanillaSwaptionApproxPricer_Rebonato,
// pLmmSwaptionMarketData->get_LiborQuotes(),
// pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
// pGMatrixMapping,
// pNoShifted_HGVolatilityParam,
// pLmmPenalty
// ) );
const double const_rate=0.02;
const double quoted_strike_bump=0.0001;
LmmSwaptionMarketData_PTR lmmSwaptionMarketData(new LmmSwaptionMarketData(tenorfixedleg, tenorfloatleg, gMatrix.size1()+3));
LmmSkewCostFunction lmmSkewCostFunction( pLmmVanillaSwaptionApproxPricer_Rebonato // pricer
, pLmmSwaptionMarketData->get_LiborQuotes()
, quoted_strike_bump
, pLmmSwaptionMarketData->get_SwaptionQuotes_skew()// instrument to calibrate
, param_h_g );
//for(size_t i = 0; i < 3; i++)
//{
// for (size_t j = 1; j < nbYear-i; j++)
// {
// lmmSkewCostFunction.addContraintCell(std::pair<size_t,size_t>(j,nbYear-i-j));
// }
//}
//costumize swaptions weights
//UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
//pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
// Create Calibrator
QuantLib::Array init_shift(gMatrix.size1(),0.01);
LmmShiftCalibrator lmmShiftCalibrator ( init_shift
, 200 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, lmmSkewCostFunction
);
//if(config.use_positive_constraint_)
// lmmShiftCalibrator.activate_PositiveConstraint();
lmmShiftCalibrator.solve();
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmShiftCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_vol_stream; file_vol_stream<<base_name<<".csv";
std::string file_calibrated_vol(file_vol_stream.str() );
param_h_g->print(file_calibrated_vol);
pLmmSwaptionMarketData->print("pLmmSwaptionMarketData.csv");
//std::ostringstream file_result_stream;file_result_stream<<base_name<<penalty_info_str<<"_result.csv";
//std::string file_calibration_result(file_result_stream.str());
//lmmShiftCalibrator.printPlusPlus(file_calibration_result);
//std::ostringstream file_vol_stream;file_vol_stream<<base_name<<penalty_info_str<<"_vol.csv";
//std::string file_calibrated_vol(file_vol_stream.str() );
//pShifted_HGVolatilityParam->print( file_calibrated_vol );
//{
// std::string common_result_file_name = "calib_result_Shift_gGlobal.csv";
// std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
// std::ofstream final_result ;
// final_result.open(full_common_result_file.c_str(), std::ios::app);
// final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
// <<",,,,,, Error LInf, "<<lmmShiftCalibrator.get_QuoteError_LInf() <<std::endl ;
// final_result<< lmmShiftCalibrator.get_BaseGeneral_Result_Info();
// final_result.close();
//}
return pShifted_VolatilityFunction;
}
GMatrix_Vol_gMapping JB_marketData_LMM_Global_gCalibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, Shifted_HGVolatilityFunction_PTR shifted_HGVolatilityFunction
, Correlation_PTR found_correlation_ptr
, GMatrixMapping_PTR init_gMapping
)
{
assert(!config.use_local_calib_); //?
size_t nbYear = pLmmSwaptionMarketData->get_nbYear(); //nbYear
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_gMatrixGlobalCalibration" ;
Shifted_HGVolatilityParam_PTR shifted_HGVolatilityParam = shifted_HGVolatilityFunction->get_ShiftedHGVolatilityParam_PTR();
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=shifted_HGVolatilityParam->get_ABCD().a_;
const double b=shifted_HGVolatilityParam->get_ABCD().b_;
const double c=shifted_HGVolatilityParam->get_ABCD().c_;
const double d=shifted_HGVolatilityParam->get_ABCD().d_;
QuantLib::Array shiftValues_QL = shifted_HGVolatilityParam->get_ArrayFrom_Shift();
std::vector<double> shiftValues(shiftValues_QL.size());
for(size_t i=0; i<shiftValues_QL.size(); i++)
shiftValues[i]=shiftValues_QL[i];
const Shifted_HGVolatilityParam::LowerTriangularMatrix pGMatrix(shifted_HGVolatilityParam->get_gMatrix());
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(
pLMMTenorStructure, abcdParam, pGMatrix, shiftValues));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr, pShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping;
if(init_gMapping)
{
pGMatrixMapping = init_gMapping;
}
else
{
//initiate gMatrixMapping all gDelegate to 1
pGMatrixMapping.reset( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
}
pShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pShifted_HGVolatilityParam);
// Create const function
LmmPenalty_PTR pLmmPenalty(new LmmPenalty(config.penalty_time_homogeneity_,config.penalty_libor_) );
LmmBaseCostFunction_PTR pLmmCostFunction(new LmmGlobal_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato,
pLmmSwaptionMarketData->get_LiborQuotes(),
pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
pGMatrixMapping,
pShifted_HGVolatilityParam,
pLmmPenalty
) );
//costumize swaptions weights
UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
//std::ostringstream file_costfunc_stream;file_costfunc_stream<<base_name<<"Calibration_"<<nbYear<<"YR_pel_time"<<penalty_time_homogene<<"_pel_lib"<<penalty_libor <<"_LmmCostFunction.csv";
//pLmmCostFunction->print( file_costfunc_stream.str() );
// Create Calibrator
LmmGlobal_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 200 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, pLmmCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::string penalty_info_str;
if( !pLmmPenalty->isEmpty() )
{
const double pT = config.penalty_time_homogeneity_;
const double pL = config.penalty_libor_ ;
std::ostringstream pel; pel<<"_pT_"<<pT<<"_pL_"<<pL;
penalty_info_str = pel.str();
}
std::ostringstream file_result_stream;file_result_stream<<base_name<<penalty_info_str<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<penalty_info_str<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<penalty_info_str<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pShifted_HGVolatilityParam->print( file_calibrated_vol );
config.result_quote_error_l2 = lmmCalibrator.get_QuoteError_L2();
config.result_quote_error_l1 = lmmCalibrator.get_QuoteError_L1();
config.result_quote_error_linf = lmmCalibrator.get_QuoteError_LInf();
if( !pLmmPenalty->isEmpty() )
{
config.result_pelTime_error_l2 = lmmCalibrator.get_PenaltyTimeHomogeneity_L2();
config.result_pelTime_error_l1 = lmmCalibrator.get_PenaltyTimeHomogeneity_L1();
config.result_pelTime_error_linf = lmmCalibrator.get_PenaltyTimeHomogeneity_L_INF();
config.result_pelLibor_error_l2 = lmmCalibrator.get_PenaltySmoothMaturity_L2();
config.result_pelLibor_error_l1 = lmmCalibrator.get_PenaltySmoothMaturity_L1();
config.result_pelLibor_error_linf = lmmCalibrator.get_PenaltySmoothMaturity_L_INF();
}
{
std::string common_result_file_name = "calib_result_gGlobal.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
std::ofstream final_result ;
final_result.open(full_common_result_file.c_str(), std::ios::app);
final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
<<",,,,,, Error LInf, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return GMatrix_Vol_gMapping(pVolatilityFunction,pGMatrixMapping);
}
Correlation_PTR JB_marketData_LMM_Correlation_calibration(const LmmCalibrationConfig& config, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData , const QuantLib::Array& found_abcd)
{
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
std::string base_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName() ;
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=found_abcd[0],b=found_abcd[1],c=found_abcd[2],d=found_abcd[3];
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, 1., 0.));
//! create correlation
Correlation_PTR pCorrelation = JB_create_InitCorrelation(config);
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, pCorrelation, pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
//! Create Approximation Rebonato
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR pLmmCorrelationCostFunction(new LmmCorrelationCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato
, pLmmSwaptionMarketData->get_LiborQuotes()
, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()
, pCorrelation
) );
////// Correlation calibrator
QuantLib::Array xy_correlation_init = pCorrelation->get_ArrayFrom_Correlation();
QuantLib::Size maxIterations =1000;
QuantLib::Size minStatIterations =100;
QuantLib::Real rootEpsilon = 1e-8;
QuantLib::Real functionEpsilon = 1e-8;
LmmCorrelationCalibrator lmmCorrelationCalibrator
(
xy_correlation_init
, maxIterations
, rootEpsilon
,functionEpsilon
, pLmmCorrelationCostFunction
);
lmmCorrelationCalibrator.solve();
std::string result_file =base_name + "_correlation_calibration_result.csv";
lmmCorrelationCalibrator.printPlusPlus(result_file);
std::string calibrated_correlation_file =base_name + "_correlation_calibrated.csv";
Correlation_PTR calibrated_correl_ptr = lmmCorrelationCalibrator.get_Found_Correlation() ;
calibrated_correl_ptr->print(calibrated_correlation_file);
// print in a common file
{
std::string common_result_file_name = "calib_result_Correlation.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
std::ofstream final_result ;
final_result.open(full_common_result_file.c_str(), std::ios::app);
final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
<<",,,,,, Error LInf, "<<lmmCorrelationCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCorrelationCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return calibrated_correl_ptr ;
}
void marketData_LMM_Local_gCalibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, const QuantLib::Array& abcd_param
, Correlation_PTR found_correlation_ptr
, GMatrixMapping_PTR init_gMapping
)
{
assert(config.use_local_calib_);
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_gMatrixLocalCalibration" ;
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=abcd_param[0];
const double b=abcd_param[1];
const double c=abcd_param[2];
const double d=abcd_param[3];
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, 1., 0.));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr , pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping;
if(init_gMapping)
{
pGMatrixMapping = init_gMapping;
}
else
{
//initiate gMatrixMapping all gDelegate to 1
pGMatrixMapping.reset( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
}
pNoShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR pLmmCostFunction(new LmmLocal_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato,
pLmmSwaptionMarketData->get_LiborQuotes(),
pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
pGMatrixMapping,
pNoShifted_HGVolatilityParam
) );
//costumize swaptions weights
UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
// Create Calibrator
LmmLocal_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 3000 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, pLmmCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pNoShifted_HGVolatilityParam->print( file_calibrated_vol );
{
std::string common_result_file_name = "calib_result_gLocal.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
std::ofstream final_result ;
final_result.open(full_common_result_file.c_str(), std::ios::app);
final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
<<",,,,,, Error LInf, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
}
GMatrixMapping_PTR marketData_LMM_CascadeExact_calibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, const QuantLib::Array& abcd_param
, Correlation_PTR found_correlation_ptr
)
{
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name=base_file_name +"_gMatrixCascadeCalibration" ;
std::ostringstream file_lmm_mkt_stream;file_lmm_mkt_stream<<base_name<<"_Quotation_"<<nbYear<<"YR_.csv";
pLmmSwaptionMarketData->print(file_lmm_mkt_stream.str());
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=abcd_param[0];
const double b=abcd_param[1];
const double c=abcd_param[2];
const double d=abcd_param[3];
//const double a=0.0438867,b=0.0179444,c=0.554972,d=0.121429;/// ATTENTION< TEMPORARY, TODELETE and uses abcd calibrator above
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, 1., 0.));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr, pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
//initiate gMatrixMapping all gDelegate to 1
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
pNoShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR pLmmCascadeCostFunction (
new LmmCascade_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato
,pLmmSwaptionMarketData->get_LiborQuotes()
,pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()
,pGMatrixMapping
,pNoShifted_HGVolatilityParam
)
);
UpperTriangularDoubleMatrix copy_weight_matrix = pLmmCascadeCostFunction->get_SwaptionWeightMatrix();
//copy_weight_matrix(2,1)=1000;
pLmmCascadeCostFunction->reset_SwaptionWeightMatrix(copy_weight_matrix);
LmmCascade_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 100000 // config.maxIter
, 1e-12 // config.x_epsilon
, 1e-10 // config.f_epsilon
, pLmmCascadeCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pNoShifted_HGVolatilityParam->print( file_calibrated_vol );
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
// print in a common file
{
std::string common_result_file_name = "calib_result_gCascade.csv";
std::string full_common_result_file = LMMPATH::get_Root_OutputPath() + common_result_file_name ;
std::ofstream final_result ;
final_result.open(full_common_result_file.c_str(), std::ios::app);
final_result<<std::endl<<std::endl<< "============= Test At "<<LMMPATH::get_TimeDateNow()
<<",,,,,, Error LInf, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return pGMatrixMapping;
}