HullWhiteTimeDependentParameters calibration_hull_white(
const Date& evalDate,
const CapVolData& volData
)
{
boost::shared_ptr<IborIndex> index = volData.index;
Frequency fixedFreq = volData.fixedFreq;
DayCounter fixedDC = volData.fixedDC;
Real FixedA = volData.fixedA;
std::vector<Real> initialSigma = volData.initialSigma;
Settings::instance().evaluationDate() = Date( evalDate.serialNumber() );
Date today = Settings::instance().evaluationDate();
std::vector<Date> dates;
for (Size i=0; i<volData.tenors.size(); ++i){
dates.push_back(today+volData.tenors[i]*Years);
}
dates.back() = today+50*Years;
std::set<Date> temp(dates.begin(), dates.end());
dates = std::vector<Date>(temp.begin(), temp.end());
Handle<YieldTermStructure> rts_hw(index->forwardingTermStructure().currentLink());
boost::shared_ptr<Generalized_HullWhite> model(new Generalized_HullWhite(rts_hw, dates, initialSigma, FixedA));
boost::shared_ptr<PricingEngine> engine_hw(new AnalyticCapFloorEngine(model));
//boost::shared_ptr<PricingEngine> engine_hw(new TreeCapFloorEngine(model, 80));
std::vector<boost::shared_ptr<CalibrationHelper> > caps;
for (Size i=0; i<volData.tenors.size(); ++i) {
boost::shared_ptr<CalibrationHelper> helper(
new CapHelper(Period(volData.tenors[i], Years),
Handle<Quote>(boost::shared_ptr<Quote>(new SimpleQuote(volData.vols[i]))),
index, fixedFreq,
fixedDC,
false,
rts_hw, CalibrationHelper::PriceError));
helper->setPricingEngine(engine_hw);
caps.push_back(helper);
}
LevenbergMarquardt optimizationMethod(1.0e-8,1.0e-8,1.0e-8);
EndCriteria endCriteria(5000, 1000, 1e-8, 1e-8, 1e-8);
Constraint c = BoundaryConstraint(0.01, 3.0);
model->calibrate(caps, optimizationMethod, endCriteria, c);
EndCriteria::Type ecType = model->endCriteria();
Array xMinCalculated = model->params();
//Real a = xMinCalculated[0];
//Real sigmar = xMinCalculated[1];
std::vector<Real> sigma;
for (Size i=0; i<xMinCalculated.size(); ++i) {
sigma.push_back(xMinCalculated[i]);
}
return HullWhiteTimeDependentParameters(FixedA, dates, sigma, model, caps);
}
BatesDoubleExpModel::BatesDoubleExpModel(
const boost::shared_ptr<HestonProcess> & process,
Real lambda, Real nuUp, Real nuDown, Real p)
: HestonModel(process) {
arguments_.resize(9);
arguments_[5] = ConstantParameter(p,
BoundaryConstraint(0.0, 1.0));
arguments_[6] = ConstantParameter(nuDown, PositiveConstraint());
arguments_[7] = ConstantParameter(nuUp, PositiveConstraint());
arguments_[8] = ConstantParameter(lambda, PositiveConstraint());
}
