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_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() ) ;
}
}
