void test_calib_gMatrix_OneFile(const std::string& mkt_data_file) { 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.model_nbYear_=16; LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_file); config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05; QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); //Correlation_PTR found_correlation_ptr = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData,found_abcd); config.correl_ReducedRank_= 3 ; //marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config) ); //config.use_local_calib_=true; //marketData_LMM_Local_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() ); //config.use_local_calib_=false; config.penalty_time_homogeneity_ = 1e-4 ; config.penalty_libor_ = 1e-6 ; config.use_positive_constraint_= true; marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() ); }
void test_calib_gMatrixNegative_allData() { std::vector<std::string> mkt_file_list = InputFileManager::get_VCUB_FileList(); //size_t nbFile = 2; size_t nbFile = mkt_file_list.size(); LmmCalibrationConfig config; config.model_nbYear_=16; //std::cout<<"------------------------------------------------------ HORIZON "<<nbYear<<" YR "<<std::endl;//ctndebug_calib_todelete for(size_t iFile=0 ; iFile< nbFile ; ++iFile) { std::string folder_name;// = "TotalCalib\\" ; config.use_positive_constraint_=true; std::string base_name_file = LMMPATH::get_BaseFileName(mkt_file_list[iFile]) + "\\"; folder_name+=base_name_file; LMMPATH::reset_Output_SubFolder(folder_name ); LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_file_list[iFile]); config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05; QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); //Correlation_PTR found_correlation_ptr = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData,found_abcd); config.correl_ReducedRank_= 3 ; //marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config) ); //config.use_local_calib_=true; //marketData_LMM_Local_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() ); //config.use_local_calib_=false; //config.penalty_time_homogeneity_ = 1e-4 ; config.penalty_libor_ = 1e-6 ; config.use_positive_constraint_=false; marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() ); } }
void test_Stability_ABCD_vs_Correl(const std::string& mkt_data_filename) { // loop testing if calib of abcd, then correl, then reiterate by the result is stable LmmCalibrationConfig config; config.reset_nbYear(16); config.correl_ReducedRank_= 30; config.correl_alpha_= 1. ; config.correl_beta_= 1. ; LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_filename ); size_t loop_counter=0; std::string base_folder = "Test_ABCD_vs_Correl\\"; const std::string base_path = LMMPATH::get_output_path() + base_folder; std::string common_result_file = base_path + "Evolution_abcd_correlation.csv"; while(loop_counter<10) { { std::ofstream common_result ; common_result.open(common_result_file.c_str(), std::ios::app); common_result<<"-------------- loop "<<loop_counter<<std::endl; common_result<<"a,b,c,d, ,, alpha,beta,"<<std::endl; common_result<<"a,b,c,d, ,, alpha,beta,"<<std::endl; common_result<<config.vol_abcd_.a_<<","<<config.vol_abcd_.b_<<","<<config.vol_abcd_.c_<<","<<config.vol_abcd_.d_<<", ,,"; common_result<<config.correl_alpha_<<","<<config.correl_beta_<<","<<std::endl<<std::endl; common_result.close(); } std::stringstream foldername ; foldername<<"loop_"<<loop_counter; std::string full_path_folder = base_folder + foldername.str() + "\\"; LMMPATH::reset_Output_SubFolder( full_path_folder ); QuantLib::Array calibrated_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); config.vol_abcd_.a_ = calibrated_abcd[0]; config.vol_abcd_.b_ = calibrated_abcd[1]; config.vol_abcd_.c_ = calibrated_abcd[2]; config.vol_abcd_.d_ = calibrated_abcd[3]; Correlation_PTR pCorrelation = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData, calibrated_abcd ); QuantLib::Array calibrated_correlation = pCorrelation->get_ArrayFrom_Correlation(); config.correl_alpha_= calibrated_correlation[0]; config.correl_beta_= calibrated_correlation[1]; ++loop_counter; } }
void test_ABCDSensitivity_ABCD_vs_nbFactor_N_Alpha() { ///// create a grid of nbFactor and alpha, calibrate abcd throu this grid and see the quality of calibrator std::vector<std::string> file_list = InputFileManager::get_VCUB_FileList(); const std::string& mkt_data_filename = file_list.back(); std::string base_output_folder = "Test_ABCDSensitivity\\"; std::string base_name_file = LMMPATH::get_BaseFileName(mkt_data_filename); for(size_t nbFactor =3; nbFactor<33; nbFactor+=5) { for(double correl_alpha=0.0000001;correl_alpha<=0.00000011;correl_alpha+=0.03) { LmmCalibrationConfig config; config.reset_nbYear(16); config.correl_ReducedRank_= nbFactor; config.correl_alpha_= 0.0000001; config.correl_beta_= correl_alpha; std::ostringstream sub_folder_name; sub_folder_name<<"_nbF_"<<nbFactor<<"_alp_"<<correl_alpha; std::string output_folder = base_output_folder + sub_folder_name.str() + "\\"; LMMPATH::reset_Output_SubFolder(output_folder ); LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_filename ); QuantLib::Array calibrated_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); } } }
void test_LmmSensitivityABCDReducedRank() { std::vector<std::string> mkt_file_list = InputFileManager::get_VCUB_FileList(); size_t nbFile = mkt_file_list.size(); LmmCalibrationConfig config; config.reset_nbYear(16); //config.vol_abcd_.a_ = 0.148975 ; //config.vol_abcd_.b_ = 0.0197503 ; //config.vol_abcd_.c_ = 0.108518 ; //config.vol_abcd_.d_ = 1.38E-08 ; std::vector<size_t> reduced_rank_list; reduced_rank_list.push_back(3); reduced_rank_list.push_back(5); reduced_rank_list.push_back(10); reduced_rank_list.push_back(15); reduced_rank_list.push_back(20); reduced_rank_list.push_back(25); reduced_rank_list.push_back(30); std::stringstream foldername ; LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_file_list[0]); for(size_t i=0; i<reduced_rank_list.size();++i) { config.correl_ReducedRank_ = reduced_rank_list[i] ; foldername <<"ABCDCalib_"<< LMMPATH::get_BaseFileName(mkt_file_list[0])<<"\\"<<"ReducedRank_"<<reduced_rank_list[i]<<"\\"; LMMPATH::reset_Output_SubFolder(foldername.str() ); QuantLib::Array calibrated_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); foldername.str( std::string() ) ; } }
void test_LmmRegularizedCalibrationMarketData_OneFile(const std::string& mkt_data_file) { LmmCalibrationConfig config; config.reset_nbYear(16); LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_file); config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05; QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData); config.correl_ReducedRank_= 3; config.use_positive_constraint_= true; std::vector<double> pel_time ; std::vector<double> pel_libor; generating_penalties_values(pel_time, pel_libor); const size_t penalty_matrix_size1 = pel_time.size(); const size_t penalty_matrix_size2 = pel_libor.size(); boost::numeric::ublas::matrix<double> quote_error_l2(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> quote_error_l1(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> quote_error_linf(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_timehomo_error_l2(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_timehomo_error_l1(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_timehomo_error_linf(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_liborsmoth_error_l2(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_liborsmoth_error_l1(penalty_matrix_size1,penalty_matrix_size2); boost::numeric::ublas::matrix<double> pel_liborsmoth_error_linf(penalty_matrix_size1,penalty_matrix_size2); for(size_t iPelTime=0;iPelTime<penalty_matrix_size1;++iPelTime) { for(size_t jPelLibor=0;jPelLibor<penalty_matrix_size2;++jPelLibor) { config.penalty_time_homogeneity_ = pel_time[iPelTime] ; config.penalty_libor_ = pel_libor[jPelLibor]; marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() ); quote_error_l2(iPelTime,jPelLibor) = config.result_quote_error_l2 ; quote_error_l1(iPelTime,jPelLibor) = config.result_quote_error_l1 ; quote_error_linf(iPelTime,jPelLibor) = config.result_quote_error_linf ; pel_timehomo_error_l2(iPelTime,jPelLibor) = config.result_pelTime_error_l2 ; pel_timehomo_error_l1(iPelTime,jPelLibor) = config.result_pelTime_error_l1 ; pel_timehomo_error_linf(iPelTime,jPelLibor) = config.result_pelTime_error_linf ; pel_liborsmoth_error_l2(iPelTime,jPelLibor) = config.result_pelLibor_error_l2 ; pel_liborsmoth_error_l1(iPelTime,jPelLibor) = config.result_pelLibor_error_l1 ; pel_liborsmoth_error_linf(iPelTime,jPelLibor) = config.result_pelLibor_error_linf ; config.reset_result(); } } print_matrices_error ( pel_time ,pel_libor ,quote_error_l2 ,quote_error_l1 ,quote_error_linf ,pel_timehomo_error_l2 ,pel_timehomo_error_l1 ,pel_timehomo_error_linf ,pel_liborsmoth_error_l2 ,pel_liborsmoth_error_l1 ,pel_liborsmoth_error_linf ); }