UpperTriangleVanillaSwaptionQuotes_ConstPTR create_UpperTriangleVanillaSwaptionQuotes(LMMTenorStructure_PTR pLMMTenorStructure, const Tenor& tenorfixedleg, const Tenor& tenorfloatleg)
{
/// Creation of Rebonato Approx ==================================
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = pLMMTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
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.
double a=0.22,b=0.4,c=0.6,d=0.15;
double g_constParam = 1.;
double shift_constParam = 0.0;
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pConstShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, g_constParam, shift_constParam));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, correlation, pConstShifted_HGVolatilityParam));
//! Dispersion
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmApproxVanillaSwaptionPricer(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
/// End of creation of Rebonato Approx ==================================
LiborQuotes_ConstPTR libor_quote_ptr = LiborQuotes::create_LiborInit(pLMMTenorStructure, 0.02);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = UpperTriangleVanillaSwaptionQuotes::create_ATMSwaptionImpliedVol(
libor_quote_ptr,
tenorfixedleg,
tenorfloatleg,
pLmmApproxVanillaSwaptionPricer
);
//assert( atm_swaption_implied_vol_ptr->check_swaprate_consistency(libor_quote_ptr) );
return atm_swaption_implied_vol_ptr;
}
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;
}
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;
}