public double[] CalcualteModelOutput(double[] para)
{
var x10 = para[0];
var x20 = para[1];
var alpha = para[2];
var beta = para[3];
var gamma = para[4];
var epsilon = para[5];
var eita = para[6];
var vega = para[7];
var c = para[8];
var LS2Factor = new StaticTwoFactorLongstaffSchwartzModel();
LS2Factor.maturities = maturities;
LS2Factor.x10 = x10;
LS2Factor.x20 = x20;
LS2Factor.alpha = alpha;
LS2Factor.beta = beta;
LS2Factor.gamma = gamma;
LS2Factor.epsilon = epsilon;
LS2Factor.eita = eita;
LS2Factor.vega = vega;
//LS2Factor.c = c;
var modelyields = LS2Factor.GetYields();
return(modelyields);
}
private double StaticTwoFactorLongstaffSchwartzModelObj(double[] para)
{
var error = 0.0;
var lowerbound = new double[9] {
0.0000001, 0.0000001, 0.0000001, 0.0000001, 0.0000001, 0.0000001, 0.0000001, 0.0000001, -29.99
};
var upperbound = new double[9] {
29.99, 29.99, 29.99, 29.99, 29.99, 29.99, 29.99, 29.99, 29.99
};
if (CheckStaticTwoFactorLongstaffSchwartzModelPara(para, lowerbound, upperbound) == false)
{
error = 99999999999999.99;
}
else
{
var x10 = para[0];
var x20 = para[1];
var alpha = para[2];
var beta = para[3];
var gamma = para[4];
var epsilon = para[5];
var eita = para[6];
var vega = para[7];
var c = para[8];
var LS2Factor = new StaticTwoFactorLongstaffSchwartzModel();
LS2Factor.maturities = maturities;
LS2Factor.x10 = x10;
LS2Factor.x20 = x20;
LS2Factor.alpha = alpha;
LS2Factor.beta = beta;
LS2Factor.gamma = gamma;
LS2Factor.epsilon = epsilon;
LS2Factor.eita = eita;
LS2Factor.vega = vega;
//LS2Factor.c = c;
var modelyields = LS2Factor.GetYields();
for (int i = 0; i < modelyields.Length; i++)
{
error = error + (modelyields[i] - yields[i]) * (modelyields[i] - yields[i]);
}
if (Double.IsNaN(error))
{
error = 99999999999999.99;
}
}
return(error);
}
