/// <summary>
/// Converts the input vector into a matrix.
/// </summary>
/// <param name="x"></param>
/// <returns></returns>
public Matrix VecToMat(Vector <double> x)
{
var tempMatrix = new Matrix(_timeGrid.ExpiryCount, _timeGrid.TenorCount);
if (_parameters.ExponentialForm)
{
for (int i = 0; i < _timeGrid.ExpiryCount; i++)
{
for (int j = 0; j < _timeGrid.TenorCount; j++)
{
tempMatrix[i, j] = Math.Exp(x[i * _timeGrid.TenorCount + j] * 20);
}
}
}
else
{
for (int i = 0; i < _timeGrid.ExpiryCount; i++)
{
for (int j = 0; j < _timeGrid.TenorCount; j++)
{
tempMatrix[i, j] = x[i * _timeGrid.TenorCount + j];
}
}
}
return(tempMatrix);
}
/// <summary>
/// Vertical smoothing.
/// </summary>
/// <param name="inputVolMat"></param>
/// <returns></returns>
private double SmoothV(Matrix inputVolMat)
{
double total = 0;
for (int i = 0; i < _timeGrid.ExpiryCount - 1; i++)
{
for (int j = 0; j < _timeGrid.TenorCount; j++)
{
double temp = Math.Log(inputVolMat[i, j] / inputVolMat[i + 1, j]);
total += temp * temp;
}
}
total = total * _vFactor;
return(total);
}
/// <summary>
/// Quality of fit for caplets, used when the volatility is perturbed during gradient calculations.
/// </summary>
/// <param name="newRow"></param>
/// <param name="replacedRow"></param>
/// <returns></returns>
private double QOFCaplet(Matrix newRow, int replacedRow)
{
double total = 0;
for (int i = 0; i < _targets.CapletCount; i++)
{
if (_targets.CapletImpliedVol[i] > 0)
{
double temp = Math.Log(_volatilities.FindImpliedVolatility(_targets.CapletExpiry[i], 1, newRow, replacedRow)
/ _targets.CapletImpliedVol[i]);
total += temp * temp;
}
}
total = total * _cFactor;
return(total);
}
/// <summary>
/// Quality of fit for swaptions, used when the volatility is perturbed during gradient calculations.
/// </summary>
/// <param name="newRow"></param>
/// <param name="replacedRow"></param>
/// <returns></returns>
private double QOFSwaption(Matrix newRow, int replacedRow)
{
double total = 0;
for (int i = 0; i < _targets.SwaptionCount; i++)
{
if (_targets.SwaptionImpliedVol[i] > 0)
{
double temp = Math.Log(_volatilities.FindImpliedVolatility(_targets.SwaptionExpiry[i], _targets.SwaptionTenor[i], newRow, replacedRow)
/ _targets.SwaptionImpliedVol[i]);
total += temp * temp;
}
}
total = total * _sFactor;
return(total);
}
