/// <summary>
/// Attempts a calibration through <see cref="SwaptionHW1OptimizationProblem"/>
/// using swaption matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">The controller which may be used to cancel the process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List <object> data, IEstimationSettings settings = null, IController controller = null, Dictionary <string, object> properties = null)
{
LambdaCalibrationSettings lsettings = (LambdaCalibrationSettings)settings;
if (lsettings.Years > lsettings.BondMaturity)
{
throw new Exception("Bond maturity has to be greater of the historical series time span.");
}
InterestRateMarketData irmd = data[0] as InterestRateMarketData;
List <object> IrmdData = new List <object>();
IrmdData.Add(irmd);
SwaptionHWEstimator shwe = new SwaptionHWEstimator();
EstimationResult er1 = shwe.Estimate(IrmdData);
DiscountingCurveMarketData[] dcmd = Array.ConvertAll <IMarketData, DiscountingCurveMarketData>
((IMarketData[])data[1], el => (DiscountingCurveMarketData)el);
MarketPriceOfRiskCalculator mporc = new MarketPriceOfRiskCalculator();
double lambda = mporc.Calculate(dcmd, lsettings);
string[] names = new string[er1.Names.Length + 1];
for (int i = 0; i < er1.Names.Length; i++)
{
names[i] = er1.Names[i];
}
names[er1.Names.Length] = "Lambda0";
Vector values = new Vector(er1.Values.Length + 1);
values[new Range(0, values.Length - 2)] = (Vector)er1.Values;
values[Range.End] = lambda;
EstimationResult result = new EstimationResult(names, values);
return(result);
}
/// <summary>
/// Attempts a calibration through <see cref="SwaptionHW1OptimizationProblem"/>
/// using swaption matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">The controller which may be used to cancel the process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
LambdaCalibrationSettings lsettings = (LambdaCalibrationSettings)settings;
if (lsettings.Years > lsettings.BondMaturity)
throw new Exception("Bond maturity has to be greater of the historical series time span.");
InterestRateMarketData irmd = data[0] as InterestRateMarketData;
List<object> IrmdData = new List<object>();
IrmdData.Add(irmd);
SwaptionHWEstimator shwe = new SwaptionHWEstimator();
EstimationResult er1 = shwe.Estimate(IrmdData);
DiscountingCurveMarketData[] dcmd = Array.ConvertAll<IMarketData, DiscountingCurveMarketData>
((IMarketData[])data[1], el => (DiscountingCurveMarketData)el);
MarketPriceOfRiskCalculator mporc = new MarketPriceOfRiskCalculator();
double lambda = mporc.Calculate(dcmd, lsettings);
string[] names = new string[er1.Names.Length + 1];
for (int i = 0; i < er1.Names.Length; i++)
names[i] = er1.Names[i];
names[er1.Names.Length] = "Lambda0";
Vector values = new Vector(er1.Values.Length + 1);
values[new Range(0, values.Length - 2)] = (Vector) er1.Values;
values[Range.End] = lambda;
EstimationResult result = new EstimationResult(names, values);
return result;
}