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_calib_gMatrix_OneFile(const std::string& mkt_data_file)
{
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.model_nbYear_=16;
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_file);
config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05;
QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData);
//Correlation_PTR found_correlation_ptr = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData,found_abcd);
config.correl_ReducedRank_= 3 ;
//marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config) );
//config.use_local_calib_=true;
//marketData_LMM_Local_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() );
//config.use_local_calib_=false;
config.penalty_time_homogeneity_ = 1e-4 ; config.penalty_libor_ = 1e-6 ; config.use_positive_constraint_= true;
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() );
}
void test_calib_gMatrixNegative_allData()
{
std::vector<std::string> mkt_file_list = InputFileManager::get_VCUB_FileList();
//size_t nbFile = 2;
size_t nbFile = mkt_file_list.size();
LmmCalibrationConfig config;
config.model_nbYear_=16;
//std::cout<<"------------------------------------------------------ HORIZON "<<nbYear<<" YR "<<std::endl;//ctndebug_calib_todelete
for(size_t iFile=0 ; iFile< nbFile ; ++iFile)
{
std::string folder_name;// = "TotalCalib\\" ; config.use_positive_constraint_=true;
std::string base_name_file = LMMPATH::get_BaseFileName(mkt_file_list[iFile]) + "\\";
folder_name+=base_name_file;
LMMPATH::reset_Output_SubFolder(folder_name );
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_file_list[iFile]);
config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05;
QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData);
//Correlation_PTR found_correlation_ptr = marketData_LMM_Correlation_calibration(config,pLmmSwaptionMarketData,found_abcd);
config.correl_ReducedRank_= 3 ;
//marketData_LMM_CascadeExact_calibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config) );
//config.use_local_calib_=true;
//marketData_LMM_Local_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() );
//config.use_local_calib_=false;
//config.penalty_time_homogeneity_ = 1e-4 ; config.penalty_libor_ = 1e-6 ; config.use_positive_constraint_=false;
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() );
}
}
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_LmmRegularizedCalibrationMarketData_OneFile(const std::string& mkt_data_file)
{
LmmCalibrationConfig config;
config.reset_nbYear(16);
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData=get_LmmSwaptionMarketData(config, mkt_data_file);
config.correl_ReducedRank_= 30 ; config.correl_alpha_ = 0.000000001 ; config.correl_beta_ = 0.05;
QuantLib::Array found_abcd = marketData_LMM_ABCD_calibration(config,pLmmSwaptionMarketData);
config.correl_ReducedRank_= 3;
config.use_positive_constraint_= true;
std::vector<double> pel_time ;
std::vector<double> pel_libor;
generating_penalties_values(pel_time, pel_libor);
const size_t penalty_matrix_size1 = pel_time.size();
const size_t penalty_matrix_size2 = pel_libor.size();
boost::numeric::ublas::matrix<double> quote_error_l2(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> quote_error_l1(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> quote_error_linf(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_timehomo_error_l2(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_timehomo_error_l1(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_timehomo_error_linf(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_liborsmoth_error_l2(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_liborsmoth_error_l1(penalty_matrix_size1,penalty_matrix_size2);
boost::numeric::ublas::matrix<double> pel_liborsmoth_error_linf(penalty_matrix_size1,penalty_matrix_size2);
for(size_t iPelTime=0;iPelTime<penalty_matrix_size1;++iPelTime)
{
for(size_t jPelLibor=0;jPelLibor<penalty_matrix_size2;++jPelLibor)
{
config.penalty_time_homogeneity_ = pel_time[iPelTime] ;
config.penalty_libor_ = pel_libor[jPelLibor];
marketData_LMM_Global_gCalibration(config, pLmmSwaptionMarketData, found_abcd , create_InitCorrelation(config), GMatrixMapping_PTR() );
quote_error_l2(iPelTime,jPelLibor) = config.result_quote_error_l2 ;
quote_error_l1(iPelTime,jPelLibor) = config.result_quote_error_l1 ;
quote_error_linf(iPelTime,jPelLibor) = config.result_quote_error_linf ;
pel_timehomo_error_l2(iPelTime,jPelLibor) = config.result_pelTime_error_l2 ;
pel_timehomo_error_l1(iPelTime,jPelLibor) = config.result_pelTime_error_l1 ;
pel_timehomo_error_linf(iPelTime,jPelLibor) = config.result_pelTime_error_linf ;
pel_liborsmoth_error_l2(iPelTime,jPelLibor) = config.result_pelLibor_error_l2 ;
pel_liborsmoth_error_l1(iPelTime,jPelLibor) = config.result_pelLibor_error_l1 ;
pel_liborsmoth_error_linf(iPelTime,jPelLibor) = config.result_pelLibor_error_linf ;
config.reset_result();
}
}
print_matrices_error
(
pel_time
,pel_libor
,quote_error_l2
,quote_error_l1
,quote_error_linf
,pel_timehomo_error_l2
,pel_timehomo_error_l1
,pel_timehomo_error_linf
,pel_liborsmoth_error_l2
,pel_liborsmoth_error_l1
,pel_liborsmoth_error_linf
);
}