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_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_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_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_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_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
);
}
void JB_test_calib_shift_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;
Shifted_HGVolatilityFunction_PTR shifted_HGVolatilityFunction= JB_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;
GMatrix_Vol_gMapping gMatrix_Vol_gMapping = JB_marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, shifted_HGVolatilityFunction, create_InitCorrelation(config), GMatrixMapping_PTR() );
Shifted_HGVolatilityFunction_PTR param_h_g_shifted = JB_marketData_LMM_shift_Calibration( config
, pLmmSwaptionMarketData
, gMatrix_Vol_gMapping.first
);
JB_marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, param_h_g_shifted , create_InitCorrelation(config), gMatrix_Vol_gMapping.second );
cout << "end of program" << endl;
// JB_marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() )
}
Correlation_PTR 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 = 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 ;
}
QuantLib::Array 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 ;
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 = 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>(3,3) );
//lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(4,4) );
//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 lmm_abcd_calibrator.get_Found_ABCD();
}
