//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
public void calibrate(List <CalibrationHelper> instruments,
OptimizationMethod method,
EndCriteria endCriteria,
Constraint additionalConstraint = null,
List <double> weights = null,
List <bool> fixParameters = null)
{
if (weights == null)
{
weights = new List <double>();
}
if (additionalConstraint == null)
{
additionalConstraint = new Constraint();
}
Utils.QL_REQUIRE(weights.empty() || weights.Count == instruments.Count, () =>
"mismatch between number of instruments (" +
instruments.Count + ") and weights(" +
weights.Count + ")");
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0) : weights;
Vector prms = parameters();
List <bool> all = new InitializedList <bool>(prms.size(), false);
Projection proj = new Projection(prms, fixParameters ?? all);
CalibrationFunction f = new CalibrationFunction(this, instruments, w, proj);
ProjectedConstraint pc = new ProjectedConstraint(c, proj);
Problem prob = new Problem(f, pc, proj.project(prms));
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(proj.include(result));
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}
public Vector fcn(int m, int n, Vector x, int iflag)
{
Vector xt = new Vector(x);
Vector fvec;
// constraint handling needs some improvement in the future:
// starting point should not be close to a constraint violation
if (currentProblem_.constraint().test(xt))
{
fvec = new Vector(currentProblem_.values(xt));
}
else
{
fvec = new Vector(initCostValues_);
}
return(fvec);
}
