public double StaticNS4FactorModelObjfun(double[] para)
{
var sns4factor = new StaticNS4FactorModel();
sns4factor.beta1 = para[0];
sns4factor.beta2 = para[1];
sns4factor.beta3 = para[2];
sns4factor.beta4 = para[3];
sns4factor.lambda1 = para[4];
sns4factor.lambda2 = para[5];
sns4factor.tau = maturities;
var modelyields = sns4factor.GetYield();
var error = 0.0;
if (checkpara(sns4factor) == false)
{
error = 9999999999999999.99;
}
else
{
for (int i = 0; i < yields.Length; i++)
{
var temperror = (modelyields[i] - yields[i]);
error = error + temperror * temperror;
}
}
return(error);
}
public bool checkpara(StaticNS4FactorModel n4factor)
{
var result = true;
if (n4factor.beta1 + n4factor.beta2 <= 0)
{
result = false;
}
return(result);
}
public double[] CalculateModelOutput(double[] tau, double[] para)
{
var sns4factor = new StaticNS4FactorModel();
sns4factor.beta1 = para[0];
sns4factor.beta2 = para[1];
sns4factor.beta3 = para[2];
sns4factor.beta4 = para[3];
sns4factor.lambda1 = para[4];
sns4factor.lambda2 = para[5];
sns4factor.tau = tau;
var modelyields = sns4factor.GetYield();
return(modelyields);
}
