void test_TruncatedLocalResetGMatrixMapping()
{
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<size_t> truncated_cols;
truncated_cols.push_back(2);
truncated_cols.push_back(3);
std::vector<size_t> truncated_rows;
truncated_rows.push_back(2);
truncated_rows.push_back(3);
gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
gMatrixMapping.reset_Truncated_gDelegate_Cols(truncated_cols);
std::vector<size_t> non_truncated_row = get_NonTruncatedIndices(truncated_rows,nbYear);
size_t value_counter=1;
for(size_t iRow=0;iRow<non_truncated_row.size();++iRow)
{
const size_t iDelegate = non_truncated_row[iRow];
QuantLib::Array x = gMatrixMapping.get_DelegateArray(iDelegate);
for(size_t jX=0;jX<x.size();++jX)
{
x[jX]=value_counter*0.1;
++value_counter;
}
gMatrixMapping.reset_gDelegate(x,iDelegate);
std::cout<<" Delegate Row["<<iDelegate<<"] "<<x<<std::endl;
std::ostringstream local_gDelegate_file;
local_gDelegate_file<< "test_TruncatedLocalResetGMatrixMapping_"<<iDelegate<<"thRow.csv";
gMatrixMapping.print(local_gDelegate_file.str() );
}
}
}
QuantLib::Disposable<QuantLib::Matrix> RebonatoAngle::triangularAnglesParametrizationYY( const QuantLib::Array& angles,
size_t matrixSize,
size_t rank)
{
// what if rank == 1?
//QL_REQUIRE((rank-1) * (matrixSize ) == angles.size(),
// "rank-1) * (matrixSize ) == angles.size()");
assert((rank-1) * (matrixSize ) == angles.size());
QuantLib::Matrix BMatrix(matrixSize, rank);
size_t k = 0; //angles index
for (size_t i=0; i<matrixSize; ++i) {
double sinProduct = 1.0;
for (size_t j=0; j<rank-1; ++j) {
BMatrix[i][j] = std::cos(angles[k]);
BMatrix[i][j] *= sinProduct;
sinProduct *= std::sin(angles[k]);
++k;
}
BMatrix[i][rank-1] = sinProduct;
}
return BMatrix;
}
void LmmSkewCostFunction::reset_reference_calib(const QuantLib::Array & true_param)
{
const size_t nbParam = true_param.size();
buffer_calib_reference.resize(nbParam);
for(size_t i=0;i<nbParam;++i)
{
buffer_calib_reference[i]=true_param[i];
}
}
QuantLib::Array LmmSkewCostFunction::error_calib(const QuantLib::Array & actual_param) const
{
size_t nbParam = actual_param.size();
QuantLib::Array error_calib(nbParam,0.);
for(size_t i=0;i<nbParam;++i)
{
error_calib[i] = actual_param[i] - buffer_calib_reference[i] ;
}
return error_calib;
}
bool PCA::checkEigenvalue(QuantLib::Array& eigenvalues, size_t reducedRank)
{
if(eigenvalues.size() < reducedRank)
{
return false;
}
//! check eigenvalues is in decreasing order.
for(size_t i=1; i<eigenvalues.size(); ++i)
{
if(eigenvalues[i-1] < eigenvalues[i])
return false;
}
//! check the first N=recudecRank eigenvalues are positive (=> reducedMatrix is postively defined)
for(size_t i=0; i<reducedRank; ++i)
{
if(eigenvalues[i] < 0.0)
return false;
}
return true;
}
void test_TruncatedGlobalResetGMatrixMapping()
{
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<std::pair<size_t,size_t> > truncated_cells;
truncated_cells.push_back( std::pair<size_t,size_t>(1,1) );
truncated_cells.push_back( std::pair<size_t,size_t>(1,5) );
truncated_cells.push_back( std::pair<size_t,size_t>(5,1) );
for(size_t iCell=0;iCell<truncated_cells.size();++iCell)
{
gMatrixMapping.add_Truncated_gDelegate_Cells( truncated_cells[iCell] );
}
QuantLib::Array x = gMatrixMapping.get_DelegateArray();
for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
gMatrixMapping.reset_gDelegate(x);
gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Extrapolation.csv");
}
{
size_t nbYear = 6;
Tenor tenorfixedleg = Tenor::_1YR;
Tenor tenorfloatleg = Tenor::_6M;
const double increment_matrix = 10;
LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
size_t horizon = pLmmTenorStructure->get_horizon() ;
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
GMatrixMapping gMatrixMapping(
g_matrix_size
, empty_delegate_matrix
, atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
std::vector<std::pair<size_t,size_t> > truncated_cells;
truncated_cells.push_back( std::pair<size_t,size_t>(2,2) );
truncated_cells.push_back( std::pair<size_t,size_t>(1,3) );
truncated_cells.push_back( std::pair<size_t,size_t>(3,1) );
truncated_cells.push_back( std::pair<size_t,size_t>(3,3) );
for(size_t iCell=0;iCell<truncated_cells.size();++iCell)
{
gMatrixMapping.add_Truncated_gDelegate_Cells( truncated_cells[iCell] );
}
QuantLib::Array x = gMatrixMapping.get_DelegateArray();
for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
gMatrixMapping.reset_gDelegate(x);
gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Interpolation.csv");
}
//{
// size_t nbYear = 6;
// Tenor tenorfixedleg = Tenor::_1YR;
// Tenor tenorfloatleg = Tenor::_6M;
// const double increment_matrix = 10;
// LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
// size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
// size_t horizon = pLmmTenorStructure->get_horizon() ;
// size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
// size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
// UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
// Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
// GMatrixMapping gMatrixMapping(
// g_matrix_size
// , empty_delegate_matrix
// , atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
// std::vector<size_t> truncated_rows;
// truncated_rows.push_back(1);
// truncated_rows.push_back(3);
// truncated_rows.push_back(5);
// gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
// QuantLib::Array x = gMatrixMapping.get_DelegateArray();
// for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
// gMatrixMapping.reset_gDelegate(x);
// gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_Row.csv");
//}
//{
// size_t nbYear = 6;
// Tenor tenorfixedleg = Tenor::_1YR;
// Tenor tenorfloatleg = Tenor::_6M;
// const double increment_matrix = 10;
// LMMTenorStructure_PTR pLmmTenorStructure( new LMMTenorStructure(tenorfloatleg, nbYear) );
// size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
// size_t horizon = pLmmTenorStructure->get_horizon() ;
// size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
// size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(horizon,fixedfloatRatio );
// UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
// Initiate_UpperTriangularDoubleMatrix(empty_delegate_matrix, increment_matrix);
// UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = create_UpperTriangleVanillaSwaptionQuotes(pLmmTenorStructure, tenorfixedleg, tenorfloatleg);
// GMatrixMapping gMatrixMapping(
// g_matrix_size
// , empty_delegate_matrix
// , atm_swaption_implied_vol_ptr->get_UpperTriangularIndexPairMatrix() );
// std::vector<size_t> truncated_cols;
// truncated_cols.push_back(2);
// truncated_cols.push_back(3);
// std::vector<size_t> truncated_rows;
// truncated_rows.push_back(2);
// truncated_rows.push_back(3);
// gMatrixMapping.reset_Truncated_gDelegate_Rows(truncated_rows);
// gMatrixMapping.reset_Truncated_gDelegate_Cols(truncated_cols);
// QuantLib::Array x = gMatrixMapping.get_DelegateArray();
// for(size_t i=0;i<x.size();++i){ x[i]=(1+i)*0.1;}
// gMatrixMapping.reset_gDelegate(x);
// gMatrixMapping.print("test_TruncatedGlobalResetGMatrixMapping_ColRow.csv");
//}
}