void test_Calib_gMatrix(const LmmCalibrationConfig& config , const std::string& mkt_data_filename)
{
std::string folder_data_file = "WithPositiveConstraint\\" + LMMPATH::get_BaseFileName(mkt_data_filename) + "\\";
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_filename);
{
std::string sub_folder_data_file = folder_data_file + "Cascade\\";
LMMPATH::reset_Output_SubFolder(sub_folder_data_file );
GMatrixMapping_PTR pGMatrixMapping = marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, config.get_abcdArray() ,create_InitCorrelation(config));
config.print("calib_config.csv");
}
{
config.use_local_calib_=false;
std::string sub_folder_data_file = folder_data_file + "Global\\";
LMMPATH::reset_Output_SubFolder(sub_folder_data_file );
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData,config.get_abcdArray(),create_InitCorrelation(config), GMatrixMapping_PTR() );
config.print("calib_config.csv");
}
{
config.use_local_calib_=true;
std::string sub_folder_data_file = folder_data_file + "Local\\";
LMMPATH::reset_Output_SubFolder(sub_folder_data_file );
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData,config.get_abcdArray(),create_InitCorrelation(config), GMatrixMapping_PTR() );
config.print("calib_config.csv");
}
}
void test_calibration_Cascade_then_Global(const std::string& mkt_data_filename)
{
LmmCalibrationConfig config;
config.reset_nbYear(16);
config.correl_ReducedRank_= 3;
config.correl_alpha_ = 0.000000001;
config.correl_beta_ = 0.05;
config.vol_abcd_.a_ = 0.25673;
config.vol_abcd_.b_ = 0.00002;
config.vol_abcd_.c_ = 0.547;
config.vol_abcd_.d_ = 0.13998;
config.use_positive_constraint_=true;
std::stringstream foldername ;
std::string base_name_file = LMMPATH::get_BaseFileName(mkt_data_filename) + "\\";
foldername<<"Cascade_Then_Global\\";
foldername << base_name_file ;
LMMPATH::reset_Output_SubFolder(foldername.str() );
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_filename );
GMatrixMapping_PTR pGMatrixMapping = marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, config.get_abcdArray() ,create_InitCorrelation(config));
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData,config.get_abcdArray(),create_InitCorrelation(config),pGMatrixMapping );
}
void test_LmmGenericSensitivity(const std::string& mkt_data_filename)
{
LmmCalibrationConfig config;
config.reset_nbYear(16);
config.correl_ReducedRank_= 3;
config.correl_alpha_ = 0.000000001;
config.correl_beta_ = 0.05;
config.vol_abcd_.a_ = 0.136554 ;
config.vol_abcd_.b_ = 8.45E-06 ;
config.vol_abcd_.c_ = 0.0439938 ;
config.vol_abcd_.d_ = 0.0269172 ;
config.penalty_libor_ = 1e-6;
config.penalty_time_homogeneity_ = 1e-4;
config.use_positive_constraint_=true;
std::stringstream foldername ;
std::string base_name_file = LMMPATH::get_BaseFileName(mkt_data_filename) + "\\";
foldername<<"Regularized_";
foldername << base_name_file ;
LMMPATH::reset_Output_SubFolder(foldername.str() );
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_filename );
//config.print("config_for_abcd_calibration.csv");
//QuantLib::Array calibrated_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData);
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData,config.get_abcdArray(),create_InitCorrelation(config), GMatrixMapping_PTR() );
//QuantLib::Array calibrated_abcd(4);
//config.correl_alpha_= 1e-7 ; config.correl_beta_= 1;
//calibrated_abcd[0]=0.223519;calibrated_abcd[1]=1.36E-05;calibrated_abcd[2]=0.455953;calibrated_abcd[3]=0.140501;
//Correlation_PTR pCorrelation = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData, calibrated_abcd );
//config.print("config_for_correlation_calibration.csv");
//Correlation_PTR pCorrelation = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData, calibrated_abcd );
//Correlation_PTR pCorrelation = create_InitCorrelation(config);
//GMatrixMapping_PTR pGMatrixMapping = marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, config.get_abcdArray() ,pCorrelation);
//marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData,config.get_abcdArray(),pCorrelation, pGMatrixMapping );
foldername.str( std::string() ) ;
}
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_LmmSensitivityCorrelationReducedRank()
{
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 << LMMPATH::get_BaseFileName(mkt_file_list[0])<<"\\"<<"ReducedRank_"<<reduced_rank_list[i]<<"\\";
LMMPATH::reset_Output_SubFolder(foldername.str() );
Correlation_PTR pCorrelation = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData,config.get_abcdArray() );
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
);
}