USDLiborCurve(string tenor, Frequency fixedFrequency=Semiannual):
CurveBase(boost::shared_ptr<IborIndex>(new USDLibor( Tenor(tenor) )),
2,
fixedFrequency,
ModifiedFollowing,
Thirty360(Thirty360::European),
ActualActual(ActualActual::ISDA)
)
{}
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;
}