// Calculate difference between observed and model prices
public double CalcMeanSquareErrorBetweenModelAndMarket(VasicekModel m)
{
double meanSqErr = 0;
foreach (ZCBCallOptionMarketData option in marketOptionsList)
{
double bondMaturity = option.bondMaturity;
double optionExercise = option.optionExercise;
double strike = option.strike;
double modelPrice = m.PriceZCBCall(optionExercise, strike, bondMaturity);
double difference = modelPrice - option.marketMidPrice;
meanSqErr += difference * difference;
}
return(meanSqErr);
}
public static double VasicekZCBCallPrice(double bondMaturity, double optionExercise, double strike, double r0, double k, double theta, double sigma)
{
VasicekModel m = new VasicekModel(r0, k, theta, sigma);
return(m.PriceZCBCall(optionExercise, strike, bondMaturity));
}
