public void compute()
{
if (vegaWeighted_)
{
double weightsSum = 0.0;
for (int i = 0; i < times_.Count; i++)
{
double stdDev = Math.Sqrt(blackVols_[i] * blackVols_[i] * times_[i]);
// when strike==forward, the blackFormulaStdDevDerivative becomes
weights_[i] = new CumulativeNormalDistribution().derivative(.5 * stdDev);
weightsSum += weights_[i];
}
// weight normalization
for (int i = 0; i < times_.Count; i++)
{
weights_[i] /= weightsSum;
}
}
// there is nothing to optimize
if (aIsFixed_ && bIsFixed_ && cIsFixed_ && dIsFixed_)
{
abcdEndCriteria_ = QLCore.EndCriteria.Type.None;
return;
}
else
{
AbcdError costFunction = new AbcdError(this);
transformation_ = new AbcdParametersTransformation();
Vector guess = new Vector(4);
guess[0] = a_;
guess[1] = b_;
guess[2] = c_;
guess[3] = d_;
List <bool> parameterAreFixed = new InitializedList <bool>(4);
parameterAreFixed[0] = aIsFixed_;
parameterAreFixed[1] = bIsFixed_;
parameterAreFixed[2] = cIsFixed_;
parameterAreFixed[3] = dIsFixed_;
Vector inversedTransformatedGuess = new Vector(transformation_.inverse(guess));
ProjectedCostFunction projectedAbcdCostFunction = new ProjectedCostFunction(costFunction,
inversedTransformatedGuess, parameterAreFixed);
Vector projectedGuess = new Vector(projectedAbcdCostFunction.project(inversedTransformatedGuess));
NoConstraint constraint = new NoConstraint();
Problem problem = new Problem(projectedAbcdCostFunction, constraint, projectedGuess);
abcdEndCriteria_ = optMethod_.minimize(problem, endCriteria_);
Vector projectedResult = new Vector(problem.currentValue());
Vector transfResult = new Vector(projectedAbcdCostFunction.include(projectedResult));
Vector result = transformation_.direct(transfResult);
QLCore.AbcdMathFunction.validate(a_, b_, c_, d_);
a_ = result[0];
b_ = result[1];
c_ = result[2];
d_ = result[3];
}
}
