public void SetEverything(Curve discCurve, CurveCalibrationProblem[] problems, CurveTenor[] tenors, CalibrationSpec settings, int[] OrderOfCalibration = null)
{
if (problems.Length != tenors.Length)
{
throw new InvalidOperationException("Number of problems and number of tenors have to match. ");
}
_problemMap = new Dictionary <CurveTenor, CurveCalibrationProblem>();
_hasBeenCalibrated = new Dictionary <CurveTenor, bool>();
_discCurve = discCurve;
_tenors = tenors;
_settings = settings;
_fwdCurveCollection = new FwdCurveContainer();
List <int> curvePoints = new List <int>();
for (int i = 0; i < problems.Length; i++)
{
_problemMap[tenors[i]] = problems[i];
_fwdCurveCollection.AddCurve(problems[i].CurveToBeCalibrated, tenors[i]);
curvePoints.Add(_fwdCurveCollection.GetCurve(tenors[i]).Dimension);
}
_curvePoints = curvePoints.ToArray();
_internalState = 0;
}
private LinearRateModel BumpFwdCurveAndReturn(CurveTenor fwdCurve, int curvePoint, double bump = 0.0001)
{
Curve newCurve = FwdCurveCollection.GetCurve(fwdCurve).Copy();
newCurve.BumpCurvePoint(curvePoint, bump);
return(ReturnModelWithReplacedFwdCurve(fwdCurve, newCurve));
}
public double[] ConstructStartingValuesFromCurves_AD_Current(FwdCurveContainer fwdCurves)
{
// This method constructs starting values based on existing forward curves.
// Intended to be used for fast calibration for "live" calibration
List <double> output = new List <double>();
for (int i = 0; i < _currentTenors.Length; i++)
{
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
output.Add(fwdCurves.GetCurve(_currentTenors[i]).Values[j]);
}
}
return(output.ToArray());
}
private void OptimizationFunction_AD_Current_OLD(double[] curveValues, ref double func, double[] grad, object obj)
{
// This is a working optimizationFunction that does not work with order.
// Kept as reference in case something goes wrong with the more general implementation.
_internalState += 1;
if (_internalState > _internalStateMax)
{
return;
}
List <List <double> > curveValueCollection = new List <List <double> >();
List <ADouble> curveValuesAd = new List <ADouble>();
int n = 0;
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <double> temp = new List <double>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
temp.Add(curveValues[n]);
curveValuesAd.Add(new ADouble(curveValues[n]));
n += 1;
}
curveValueCollection.Add(temp);
}
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
_fwdCurveCollection.UpdateCurveValues(curveValueCollection[i], _currentTenors[i]);
}
AADTape.ResetTape();
LinearRateModel tempModel = new LinearRateModel(_discCurve, _fwdCurveCollection, _settings.Interpolation);
tempModel.ADFwdCurveCollection = new ADFwdCurveContainer();
AADTape.Initialize(curveValuesAd.ToArray());
tempModel.SetAdDiscCurveFromOrdinaryCurve();
n = 0;
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <ADouble> tempADouble = new List <ADouble>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
tempADouble.Add(curveValuesAd[n]);
n += 1;
}
tempModel.ADFwdCurveCollection.AddCurve(new Curve_AD(_fwdCurveCollection.GetCurve(_currentTenors[i]).Dates, tempADouble), _currentTenors[i]);
}
func = GoalFunction_AD(_currentTenors, tempModel);
AADTape.InterpretTape();
double[] gradient = AADTape.GetGradient();
for (int i = 0; i < gradient.Length; i++)
{
grad[i] = gradient[i];
}
AADTape.ResetTape();
}
