//-------------------------------------------------------****MAIN FUNCTION ****------------------------------------------------
int main()
{
init_devices();
lcd_set_4bit();
lcd_init();
lcd_cursor(1,1);
lcd_string("START");
_delay_ms(rand());
//--*** GRIPPER INITAL POSITION ***---
S2 = 0x73;
cli();
timer0_init();
TIMSK |= (1 << OCIE0) | (1 << TOIE0); // timer 0 compare match and overflow interrupt enable
sei();
pickup();
while(1)
{
if( bot_id_set == 1)
{
init_devices2();
init_grid();
dispersion();
localize();
region_division();
break;
}
}
}
void MICROSTRIP::calc()
{
/* effective permeability */
mur_eff_ms();
/* static impedance */
microstrip_Z0();
/* calculate freq dependence of er and Z0 */
dispersion();
/* calculate electrical lengths */
line_angle();
/* calculate losses */
attenuation();
}
UpperTriangleVanillaSwaptionQuotes_ConstPTR create_UpperTriangleVanillaSwaptionQuotes(LMMTenorStructure_PTR pLMMTenorStructure, const Tenor& tenorfixedleg, const Tenor& tenorfloatleg)
{
/// Creation of Rebonato Approx ==================================
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = pLMMTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
double a=0.22,b=0.4,c=0.6,d=0.15;
double g_constParam = 1.;
double shift_constParam = 0.0;
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pConstShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, g_constParam, shift_constParam));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, correlation, pConstShifted_HGVolatilityParam));
//! Dispersion
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmApproxVanillaSwaptionPricer(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
/// End of creation of Rebonato Approx ==================================
LiborQuotes_ConstPTR libor_quote_ptr = LiborQuotes::create_LiborInit(pLMMTenorStructure, 0.02);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = UpperTriangleVanillaSwaptionQuotes::create_ATMSwaptionImpliedVol(
libor_quote_ptr,
tenorfixedleg,
tenorfloatleg,
pLmmApproxVanillaSwaptionPricer
);
//assert( atm_swaption_implied_vol_ptr->check_swaprate_consistency(libor_quote_ptr) );
return atm_swaption_implied_vol_ptr;
}
double ResponseTable::dispersionVospr() const
{
assert(m_values.size() > 0);
if(m_values[0].size() < 2)
{
return disp_at_center();
}
assert(m_values[0].size() > 1);
double result = 0;
int count = 0;
for(size_t i = 0; i < m_values.size(); i++)
{
int freedoms = trusted_values_at(i).size() - 1;
double disp = dispersion(i);
result += disp * freedoms;
count += freedoms;
}
result = result / (double)count;
return result;
}
int ResponseTable::ongenericalDispersion(StaticCriteria criteria, double prob)
{
if(m_values.size() < 1 || m_values[0].size() < 2)
return 1;
vector<double> dispersions;
for(size_t i = 0; i < m_values.size(); i++)
dispersions.push_back(dispersion(i));
if(criteria == Fisher)
{
double minD = dispersions[0], maxD = dispersions[0];
int minF = trusted_values_at(0).size() - 1, maxF = trusted_values_at(0).size() - 1;
for(size_t i = 1; i < dispersions.size(); i++)
{
double d = dispersions[i];
int f = trusted_values_at(i).size() - 1;
if(d < minD)
{
minD = d;
minF = f;
}
if(d > maxD)
{
maxD = d;
maxF = f;
}
}
double Ft = FisherCriteria::GetFisherVal(minF, maxF);
double F = 0;
if(minD == 0)
return false;
else
F = maxD / minD;
return Ft > F ? 1 : 0;
}
else if(criteria == Kohren)
{
size_t trusted = trusted_values_at(0).size() - 1;
for(size_t i = 1; i < dispersions.size(); i++)
if(trusted != trusted_values_at(i).size() - 1)
{
error = "Проверяемые дисперсии имеют разные степени свободы";
return -1;
}
double maxDisp = 0, dispSum = 0;
for(size_t i = 0; i < dispersions.size(); i++)
{
dispSum += dispersions[i];
if(maxDisp < dispersions[i])
maxDisp = dispersions[i];
}
double Cr = maxDisp / dispSum;
double tableVal = KohrenCriteria::GetCriteriaVal(dispersions.size(), trusted_values_at(0).size() - 1);
return Cr < tableVal ? 1 : 0;
}
else if(criteria == Bartlet)
{
for(size_t i = 0; i < dispersions.size(); i++)
if(trusted_values_at(i).size() - 1 < 3)
{
error = "Степени свободы всех дисперсий должны быть больше 3х";
return -1;
}
double svDisp = 0;
int f_sum = 0;
for(size_t i = 0; i < dispersions.size(); i++)
{
svDisp += dispersions[i] * (trusted_values_at(i).size() - 1);
f_sum += trusted_values_at(i).size() - 1;
}
svDisp /= f_sum;
if(svDisp == 0)
return 1;
double temp = 0;
for(size_t i = 0; i < dispersions.size(); i++)
temp += (trusted_values_at(i).size() - 1) * log10(dispersions[i]);
temp = f_sum * log10(svDisp) - temp;
temp *= 2.303; // chislitel
double tmp = 0;
for(size_t i = 0; i < dispersions.size(); i++)
tmp += 1 / (double)(trusted_values_at(i).size() - 1);
tmp -= 1 / (double)f_sum;
tmp *= 1 / (double)(3 * (dispersions.size() - 1));
tmp += 1;
double B = temp / tmp;
double val = BartleteCriteria::GetCriteriaVal((int)(f_sum / dispersions.size()), prob);
return val > B ? 1 : 0;
}
}
void Test_McGeneticSwapLMMPricer()
{
//! Parameters
double strike = 0.02;
LMM::Index indexStart = 0;
LMM::Index indexEnd = 20;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
Tenor tenorStruture = Tenor::_6M;
size_t horizonYear = 10;
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(tenorStruture, horizonYear));
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
double fwdRate = 0.02;
std::vector<double> liborsInitValue(lmmTenorStructure->get_horizon()+1, fwdRate);
cout << "myInitialLibor: ";
for (size_t i = 0; i <liborsInitValue.size(); i++)
{
cout << liborsInitValue[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap firstVersionVanillaSwap(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double FirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(firstVersionVanillaSwap, liborsInitValue);
//---------------------------Build Lmm and McLmm's structure--------------------------------------
//! Parameter of h
double a = -0.06;
double b = 0.17;
double c = 0.54;
double d = 0.17;
Shifted_HGVolatilityParam::ABCDParameter abcdParam (a,b,c,d);
//Parameter of hg
double g_constParam = 1.0;
double shift_constParam = -0.01;
ConstShifted_HGVolatilityParam_PTR hgParam( new ConstShifted_HGVolatilityParam(lmmTenorStructure,abcdParam,g_constParam,shift_constParam));
//! Correlation 1
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = lmmTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
//!"Check Parameters(): Condition not implemented yet."
std::cout << "checkParams(): ";
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
correlation->print("test_McTerminalLmm_Correlation.csv");
//hgVolatilityFunction
ConstShifted_HGVolatilityFunction_PTR hgVolatilityFunction (new ConstShifted_HGVolatilityFunction(lmmTenorStructure, correlation, hgParam));
hgVolatilityFunction->print("test_McTerminalLmm_Volatility.csv");
//! Dispersion
Dispersion dispersion(hgVolatilityFunction);
unsigned long seed = 5033;
RNGenerator_PTR rnGenerator(new McGenerator(seed));
//build lmm and mcLmm model
Lmm_PTR shiftedLmm (new Lmm(dispersion));
McLmm_PTR mcLmm(new McTerminalLmm(shiftedLmm, liborsInitValue, rnGenerator, MCSchemeType::EULER));
//build a McGeneticSwapLMMPricer
McGeneticSwapLMMPricer_PTR mcGeneticSwapLMMPricer(new McGeneticSwapLMMPricer(mcLmm));
//build the geneticVanillaSwap
GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
//use Monte Carlo Method
size_t nbSimulation=10000;
double MonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(vanillaSwap_Genetic, nbSimulation);
//ordinaryGeneticVanillaSwapPricer
GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer());
double OrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic,liborsInitValue);
//subVanillaSwap
LMM::Index subIndexStart = 10;
LMM::Index subIndexEnd = 16;
GeneticSwap_CONSTPTR subVanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,subIndexStart,subIndexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
double subMonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(subVanillaSwap_Genetic, nbSimulation);
//subOrdinaryGeneticVanillaSwapPrice
double subOrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(subVanillaSwap_Genetic,liborsInitValue);
//subFirstVersionVanillaSwapPrice
VanillaSwap subFirstVersionVanillaSwap(strike, subIndexStart , subIndexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
double subFirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(subFirstVersionVanillaSwap, liborsInitValue);
cout << "MonteCarloPrice: " << MonteCarloPrice << endl;
cout << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
cout << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
cout << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
cout << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
cout << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
cout << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
ofstream o;
o.open("TestResult_GeneticVanillaSwap_05_06.csv", ios::out | ios::app );
o << endl;
o << endl;
o << endl;
o << "strike: " << strike << endl;
o << "indexStart: " << indexStart << endl;
o << "indexEnd: " << indexEnd << endl;
o << "floatingTenorVSLmmStructureTenorRatio: " << floatingTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "fixedTenorVSLmmStructureTenorRatio: " << fixedTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "floatingTenorYearFraction: " << floatingTenor.YearFraction() << endl;
o << "fixedTenorYearFraction: " << fixedTenor.YearFraction() << endl;
o << "horizonYear: " << horizonYear << endl;
o << "liborsInitValue: ";
for(size_t i=0; i<liborsInitValue.size(); i++)
{
o << liborsInitValue[i] << " ";
}
o << endl;
o << "nbSimulation: " << nbSimulation << endl;
o << "PRICES: " << endl;
o << "MonteCarloPrice: " << MonteCarloPrice << endl;
o << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
o << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
o << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
o << "SUBPRICES: "<< endl;
o << "subIndexStart: " << subIndexStart << endl;
o << "subIndexEnd: " << subIndexEnd << endl;
o << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
o << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
o << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
o << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
o.close();
}
static void *trigger_run(void *arg)
{
int buttons_fd;
int flags=0, flags2=0;
struct st_caller *caller;
buttons_fd = open("/dev/buttons", 0);
if (buttons_fd < 0) {
perror("open device buttons");
exit(1);
}
#if 1
for (;;) {
char current_buttons[6];
if (read(buttons_fd, current_buttons, sizeof current_buttons) != sizeof current_buttons) {
perror("read buttons:");
exit(1);
}
if (current_buttons[3] == '1' && flags2== 0 ){
usleep(5000);
}
if (current_buttons[3] == '0' && flags2 == 1){
usleep(5000);
}
if (current_buttons[3] == '1' && flags2 == 0){
int ret;
struct st_matrix *matrix;
struct st_action_unit unit;
bzero(&unit, sizeof unit);
flags2 = 1;
pthread_mutex_lock( &plan_mutex);
matrix = gmatrix;
if (!matrix){
printf("head_caller err, matrix is NULL\n");
pthread_mutex_unlock(&plan_mutex);
break;
}
if (current_buttons[4] == '0' && flags ==1 && ARM_STATE == CALLER_SEND_BUSY){
flags = 0;
pthread_mutex_lock( &plan_mutex);
caller_op(CALLER_SEND_IDEL);
pthread_mutex_unlock( &plan_mutex);
printf(" CALLER - BUS = %x\n", ARM_STATE);
}
ARM_STATE = CALLER_SEND_BUSY;
matrix->matrix_state[MATRIX_STATE] = MATRIX_CALLER;
unit.dev_addr = matrix->dev.addr;
unit.sdata[0] = 1;
unit.sdata[1] = 0xff;
unit.ssize = 2;
ret = dispersion(&unit);
if (ret < 0){
printf("head_caller err, dispersion return err\n");
matrix->matrix_state[MATRIX_STATE] = MATRIX_IDLE;
pthread_mutex_unlock(&plan_mutex);
break;
}
matrix->matrix_state[MATRIX_STATE] = MATRIX_BUSY;
pthread_mutex_unlock( &plan_mutex);
}
else if ( current_buttons[3] == '0' && flags2 == 1 ){
struct st_matrix *matrix;
int ret;
matrix = gmatrix;
printf("free\n");
//if( matrix->matrix_state[MATRIX_STATE] == MATRIX_BUSY) {
// matrix->matrix_state[MATRIX_STATE] = MATRIX_CALLER;
ret = matrix_load_state(matrix);
if( ret < 0) matrix->matrix_state[MATRIX_STATE] = MATRIX_ERR;
else matrix->matrix_state[MATRIX_STATE] = MATRIX_IDLE;
//}
{
struct st_action_unit new_unit;
struct st_select_amp *amp;
bzero(&new_unit, sizeof(new_unit));
for( amp= gselect_amp; amp; amp = amp->next) {
if( amp->select_state[SELECT_AMP_STATE] == SELECT_AMP_BUSY){
int ret;
amp->select_state[SELECT_AMP_STATE] = SELECT_AMP_CALLER;
ret = select_amp_load_state(amp);
if( ret < 0){
amp->select_state[SELECT_AMP_STATE] = SELECT_AMP_ERR;
continue;
}
amp->select_state[SELECT_AMP_STATE] = SELECT_AMP_IDLE;
}
}
}
ARM_STATE = CALLER_SEND_IDEL;
flags2 = 0;
}
if(current_buttons[4] == '1' && flags == 0 && ARM_STATE == CALLER_SEND_IDEL) {
usleep(5000);
}
if( current_buttons[4] == '1' && flags == 0 && ARM_STATE == CALLER_SEND_IDEL) {
int ret;
flags =1;
pthread_mutex_lock( &plan_mutex);
ret = caller_op( CALLER_SEND_LOOP );
if( ret < 0 ){
flags = 0; pthread_mutex_unlock( &plan_mutex);
}
pthread_mutex_unlock( &plan_mutex);
for(caller=gcaller; caller; caller = caller->next) {
printf("caller: \n\taddr=%x\n\tstate = %x\n", caller->dev.addr, caller->caller_state);
}
printf(" CALLER - BUS = %x\n", ARM_STATE);
}else if (current_buttons[4] == '0' && flags ==1 && ARM_STATE == CALLER_SEND_BUSY){
flags = 0;
pthread_mutex_lock( &plan_mutex);
caller_op(CALLER_SEND_IDEL);
pthread_mutex_unlock( &plan_mutex);
for(caller=gcaller; caller; caller = caller->next) {
printf("caller: \n\taddr=%x\n\tstate = %x\n", caller->dev.addr, caller->caller_state);
}
printf(" CALLER - BUS = %x\n", ARM_STATE);
// system("madplay /0.mp3");
}
sleep(1);
}
#endif
close(buttons_fd);
return NULL;
}
typename std::enable_if<sizeof...(Args) == D, real_type>::type
dispersion(std::tuple<Args...> in){
auto f = [this](Args... in){return dispersion(in...);};
return tuple_tools::unfold_tuple(f,in);
};
/** Returns an analytic std::function of the dispersion. */
ArgFunType get_dispersion(){ return tools::extract_tuple_f(std::function<real_type(arg_tuple)>([this](arg_tuple in){return dispersion(in);})); }
Shifted_HGVolatilityFunction_PTR JB_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 ; // A corriger
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 = JB_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>(1,3) );
lmm_abcd_calibrator.add_ConstraintCell(std::pair<size_t,size_t>(3,1) );
//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 pVolatilityFunction;
}
inline real_type LatticeDMFTSC<LatticeT>::dispersion(const std::tuple<ArgTypes...>& kpoints) const
{
static_assert(sizeof...(ArgTypes) == _D, "Number of points mismatch!" );
std::function<real_type(ArgTypes...)> f1 = [&](ArgTypes... kpoints)->real_type{return dispersion(kpoints...);};
auto f2 =tools::tuple_f(f1);
return std::real(f2(kpoints));
}
Shifted_HGVolatilityFunction_PTR JB_marketData_LMM_shift_Calibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, Shifted_HGVolatilityFunction_PTR param_h_g_function
)
{
assert(!config.use_local_calib_);
size_t nbYear= pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_shift_gMatrix_Calibration" ;
Shifted_HGVolatilityParam_PTR param_h_g = param_h_g_function->get_ShiftedHGVolatilityParam_PTR();
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=param_h_g->get_ABCD().a_;
const double b=param_h_g->get_ABCD().b_;
const double c=param_h_g->get_ABCD().c_;
const double d=param_h_g->get_ABCD().d_;
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
const Shifted_HGVolatilityParam::LowerTriangularMatrix& gMatrix=param_h_g->get_gMatrix();
QuantLib::Array shiftValues_QL = param_h_g->get_ArrayFrom_Shift();
std::vector<double> shiftValues(shiftValues_QL.size());
for(size_t i=0; i<shiftValues_QL.size(); i++)
shiftValues[i]=shiftValues_QL[i];
//const std::vector<double> shiftedVector(gMatrix.size1(), 0.0);
ConstShifted_HGVolatilityParam_PTR pShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(
pLMMTenorStructure, abcdParam, gMatrix, shiftValues));
Shifted_HGVolatilityFunction_PTR pShifted_VolatilityFunction (new ConstShifted_HGVolatilityFunction(
pLMMTenorStructure, param_h_g_function->get_Correlation_PTR(), pShifted_HGVolatilityParam));
Dispersion dispersion(pShifted_VolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
//size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
//size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
//UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
//pShifted_HGVolatilityParam->reset_g_matrix(gMatrix);
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pShifted_HGVolatilityParam);
// Create const function
//LmmPenalty_PTR pLmmPenalty(new LmmPenalty(config.penalty_time_homogeneity_,config.penalty_libor_) );
//LmmBaseCostFunction_PTR pLmmCostFunction(new LmmGlobal_gCostFunction
// (
// pLmmVanillaSwaptionApproxPricer_Rebonato,
// pLmmSwaptionMarketData->get_LiborQuotes(),
// pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
// pGMatrixMapping,
// pNoShifted_HGVolatilityParam,
// pLmmPenalty
// ) );
const double const_rate=0.02;
const double quoted_strike_bump=0.0001;
LmmSwaptionMarketData_PTR lmmSwaptionMarketData(new LmmSwaptionMarketData(tenorfixedleg, tenorfloatleg, gMatrix.size1()+3));
LmmSkewCostFunction lmmSkewCostFunction( pLmmVanillaSwaptionApproxPricer_Rebonato // pricer
, pLmmSwaptionMarketData->get_LiborQuotes()
, quoted_strike_bump
, pLmmSwaptionMarketData->get_SwaptionQuotes_skew()// instrument to calibrate
, param_h_g );
//for(size_t i = 0; i < 3; i++)
//{
// for (size_t j = 1; j < nbYear-i; j++)
// {
// lmmSkewCostFunction.addContraintCell(std::pair<size_t,size_t>(j,nbYear-i-j));
// }
//}
//costumize swaptions weights
//UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
//pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
// Create Calibrator
QuantLib::Array init_shift(gMatrix.size1(),0.01);
LmmShiftCalibrator lmmShiftCalibrator ( init_shift
, 200 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, lmmSkewCostFunction
);
//if(config.use_positive_constraint_)
// lmmShiftCalibrator.activate_PositiveConstraint();
lmmShiftCalibrator.solve();
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmShiftCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_vol_stream; file_vol_stream<<base_name<<".csv";
std::string file_calibrated_vol(file_vol_stream.str() );
param_h_g->print(file_calibrated_vol);
pLmmSwaptionMarketData->print("pLmmSwaptionMarketData.csv");
//std::ostringstream file_result_stream;file_result_stream<<base_name<<penalty_info_str<<"_result.csv";
//std::string file_calibration_result(file_result_stream.str());
//lmmShiftCalibrator.printPlusPlus(file_calibration_result);
//std::ostringstream file_vol_stream;file_vol_stream<<base_name<<penalty_info_str<<"_vol.csv";
//std::string file_calibrated_vol(file_vol_stream.str() );
//pShifted_HGVolatilityParam->print( file_calibrated_vol );
//{
// std::string common_result_file_name = "calib_result_Shift_gGlobal.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, "<<lmmShiftCalibrator.get_QuoteError_LInf() <<std::endl ;
// final_result<< lmmShiftCalibrator.get_BaseGeneral_Result_Info();
// final_result.close();
//}
return pShifted_VolatilityFunction;
}
GMatrix_Vol_gMapping JB_marketData_LMM_Global_gCalibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, Shifted_HGVolatilityFunction_PTR shifted_HGVolatilityFunction
, Correlation_PTR found_correlation_ptr
, GMatrixMapping_PTR init_gMapping
)
{
assert(!config.use_local_calib_); //?
size_t nbYear = pLmmSwaptionMarketData->get_nbYear(); //nbYear
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_gMatrixGlobalCalibration" ;
Shifted_HGVolatilityParam_PTR shifted_HGVolatilityParam = shifted_HGVolatilityFunction->get_ShiftedHGVolatilityParam_PTR();
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=shifted_HGVolatilityParam->get_ABCD().a_;
const double b=shifted_HGVolatilityParam->get_ABCD().b_;
const double c=shifted_HGVolatilityParam->get_ABCD().c_;
const double d=shifted_HGVolatilityParam->get_ABCD().d_;
QuantLib::Array shiftValues_QL = shifted_HGVolatilityParam->get_ArrayFrom_Shift();
std::vector<double> shiftValues(shiftValues_QL.size());
for(size_t i=0; i<shiftValues_QL.size(); i++)
shiftValues[i]=shiftValues_QL[i];
const Shifted_HGVolatilityParam::LowerTriangularMatrix pGMatrix(shifted_HGVolatilityParam->get_gMatrix());
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(
pLMMTenorStructure, abcdParam, pGMatrix, shiftValues));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr, pShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping;
if(init_gMapping)
{
pGMatrixMapping = init_gMapping;
}
else
{
//initiate gMatrixMapping all gDelegate to 1
pGMatrixMapping.reset( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
}
pShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pShifted_HGVolatilityParam);
// Create const function
LmmPenalty_PTR pLmmPenalty(new LmmPenalty(config.penalty_time_homogeneity_,config.penalty_libor_) );
LmmBaseCostFunction_PTR pLmmCostFunction(new LmmGlobal_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato,
pLmmSwaptionMarketData->get_LiborQuotes(),
pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
pGMatrixMapping,
pShifted_HGVolatilityParam,
pLmmPenalty
) );
//costumize swaptions weights
UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
//std::ostringstream file_costfunc_stream;file_costfunc_stream<<base_name<<"Calibration_"<<nbYear<<"YR_pel_time"<<penalty_time_homogene<<"_pel_lib"<<penalty_libor <<"_LmmCostFunction.csv";
//pLmmCostFunction->print( file_costfunc_stream.str() );
// Create Calibrator
LmmGlobal_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 200 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, pLmmCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::string penalty_info_str;
if( !pLmmPenalty->isEmpty() )
{
const double pT = config.penalty_time_homogeneity_;
const double pL = config.penalty_libor_ ;
std::ostringstream pel; pel<<"_pT_"<<pT<<"_pL_"<<pL;
penalty_info_str = pel.str();
}
std::ostringstream file_result_stream;file_result_stream<<base_name<<penalty_info_str<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<penalty_info_str<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<penalty_info_str<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pShifted_HGVolatilityParam->print( file_calibrated_vol );
config.result_quote_error_l2 = lmmCalibrator.get_QuoteError_L2();
config.result_quote_error_l1 = lmmCalibrator.get_QuoteError_L1();
config.result_quote_error_linf = lmmCalibrator.get_QuoteError_LInf();
if( !pLmmPenalty->isEmpty() )
{
config.result_pelTime_error_l2 = lmmCalibrator.get_PenaltyTimeHomogeneity_L2();
config.result_pelTime_error_l1 = lmmCalibrator.get_PenaltyTimeHomogeneity_L1();
config.result_pelTime_error_linf = lmmCalibrator.get_PenaltyTimeHomogeneity_L_INF();
config.result_pelLibor_error_l2 = lmmCalibrator.get_PenaltySmoothMaturity_L2();
config.result_pelLibor_error_l1 = lmmCalibrator.get_PenaltySmoothMaturity_L1();
config.result_pelLibor_error_linf = lmmCalibrator.get_PenaltySmoothMaturity_L_INF();
}
{
std::string common_result_file_name = "calib_result_gGlobal.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, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return GMatrix_Vol_gMapping(pVolatilityFunction,pGMatrixMapping);
}
Correlation_PTR JB_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 = JB_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 ;
}
void marketData_LMM_Local_gCalibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, const QuantLib::Array& abcd_param
, Correlation_PTR found_correlation_ptr
, GMatrixMapping_PTR init_gMapping
)
{
assert(config.use_local_calib_);
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name;
base_name = base_file_name+"_gMatrixLocalCalibration" ;
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=abcd_param[0];
const double b=abcd_param[1];
const double c=abcd_param[2];
const double d=abcd_param[3];
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, 1., 0.));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr , pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping;
if(init_gMapping)
{
pGMatrixMapping = init_gMapping;
}
else
{
//initiate gMatrixMapping all gDelegate to 1
pGMatrixMapping.reset( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
}
pNoShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR pLmmCostFunction(new LmmLocal_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato,
pLmmSwaptionMarketData->get_LiborQuotes(),
pLmmSwaptionMarketData->get_SwaptionQuotes_ATM(),
pGMatrixMapping,
pNoShifted_HGVolatilityParam
) );
//costumize swaptions weights
UpperTriangularDoubleMatrix swpm_weight_matrix = pLmmCostFunction->get_SwaptionWeightMatrix();
//swpm_weight_matrix(7,1)=1e-6;
//swpm_weight_matrix(10,1)=1e-6;
//swpm_weight_matrix(5,3)=0.;
pLmmCostFunction->reset_SwaptionWeightMatrix(swpm_weight_matrix);
// Create Calibrator
LmmLocal_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 3000 //maxIter
, 1e-11 //x_epsilon
, 1e-11 //f_epsilon
, pLmmCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pNoShifted_HGVolatilityParam->print( file_calibrated_vol );
{
std::string common_result_file_name = "calib_result_gLocal.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, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
}
GMatrixMapping_PTR marketData_LMM_CascadeExact_calibration( const LmmCalibrationConfig& config
, LmmSwaptionMarketData_PTR pLmmSwaptionMarketData
, const QuantLib::Array& abcd_param
, Correlation_PTR found_correlation_ptr
)
{
size_t nbYear = pLmmSwaptionMarketData->get_nbYear();
std::string base_file_name = pLmmSwaptionMarketData->get_MarketDataBaseFileName();
Tenor tenorfixedleg = Tenor::_1YR ;
Tenor tenorfloatleg = Tenor::_6M ;
size_t fixedfloatRatio = tenorfixedleg.ratioTo(tenorfloatleg);
std::string base_name=base_file_name +"_gMatrixCascadeCalibration" ;
std::ostringstream file_lmm_mkt_stream;file_lmm_mkt_stream<<base_name<<"_Quotation_"<<nbYear<<"YR_.csv";
pLmmSwaptionMarketData->print(file_lmm_mkt_stream.str());
//create LMM components
LMMTenorStructure_PTR pLMMTenorStructure( new LMMTenorStructure(tenorfloatleg,nbYear) );
const double a=abcd_param[0];
const double b=abcd_param[1];
const double c=abcd_param[2];
const double d=abcd_param[3];
//const double a=0.0438867,b=0.0179444,c=0.554972,d=0.121429;/// ATTENTION< TEMPORARY, TODELETE and uses abcd calibrator above
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pNoShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, 1., 0.));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, found_correlation_ptr, pNoShifted_HGVolatilityParam));
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmVanillaSwaptionApproxPricer_Rebonato(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
// create gMatrixMapping
size_t g_matrix_size = GMatrixMapping::get_gSizeFromNbYear(nbYear,fixedfloatRatio );
size_t delegate_matrix_size = GMatrixMapping::get_gDelegateSizeFromHorizon(pLMMTenorStructure->get_horizon() ,fixedfloatRatio );
UpperTriangularDoubleMatrix empty_delegate_matrix(delegate_matrix_size,delegate_matrix_size);
GMatrixMapping_PTR pGMatrixMapping( new GMatrixMapping(g_matrix_size, empty_delegate_matrix, pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()->get_UpperTriangularIndexPairMatrix()) );
//initiate gMatrixMapping all gDelegate to 1
QuantLib::Array g_delegate_vector = pGMatrixMapping->get_DelegateArray();
for(size_t i=0;i<g_delegate_vector.size();++i) g_delegate_vector[i] = 1.;
pGMatrixMapping->reset_gDelegate(g_delegate_vector);
pNoShifted_HGVolatilityParam->reset_g_matrix( pGMatrixMapping->get_g_Ref() );
pLmmVanillaSwaptionApproxPricer_Rebonato->update_VolatilityParam(pNoShifted_HGVolatilityParam);
LmmBaseCostFunction_PTR pLmmCascadeCostFunction (
new LmmCascade_gCostFunction
(
pLmmVanillaSwaptionApproxPricer_Rebonato
,pLmmSwaptionMarketData->get_LiborQuotes()
,pLmmSwaptionMarketData->get_SwaptionQuotes_ATM()
,pGMatrixMapping
,pNoShifted_HGVolatilityParam
)
);
UpperTriangularDoubleMatrix copy_weight_matrix = pLmmCascadeCostFunction->get_SwaptionWeightMatrix();
//copy_weight_matrix(2,1)=1000;
pLmmCascadeCostFunction->reset_SwaptionWeightMatrix(copy_weight_matrix);
LmmCascade_gCalibrator lmmCalibrator
(
*pGMatrixMapping.get()
, 100000 // config.maxIter
, 1e-12 // config.x_epsilon
, 1e-10 // config.f_epsilon
, pLmmCascadeCostFunction
);
if(config.use_positive_constraint_)
lmmCalibrator.activate_PositiveConstraint();
lmmCalibrator.solve();
std::ostringstream file_vol_stream;file_vol_stream<<base_name<<"_vol.csv";
std::string file_calibrated_vol(file_vol_stream.str() );
pNoShifted_HGVolatilityParam->print( file_calibrated_vol );
std::ostringstream file_result_stream;file_result_stream<<base_name<<"_result.csv";
std::string file_calibration_result(file_result_stream.str());
lmmCalibrator.printPlusPlus(file_calibration_result);
std::ostringstream file_gDelegate_stream;file_gDelegate_stream<<base_name<<"_gDelegate.csv";
std::string file_gDelegate_vol(file_gDelegate_stream.str() );
pGMatrixMapping->print(file_gDelegate_vol);
// print in a common file
{
std::string common_result_file_name = "calib_result_gCascade.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, "<<lmmCalibrator.get_QuoteError_LInf() <<std::endl ;
final_result<< lmmCalibrator.get_BaseGeneral_Result_Info();
final_result.close();
}
return pGMatrixMapping;
}
