public void MonotoneSplineTest()
{
ClString name = "MonotoneSplineTest";
BeginTest(name);
var test = new MonotoneSplineTest(Log, Context, name, ConsoleOutput);
// Testing data: CallGeomBrownian; f(x) = x, F(x) = x^4 + 2*x^3 + 5*x*x - 6*x + 7,
// f(x) = sin(x), f(x) = 1/2 (x-cos(x) sin(x)), f(x) = x+e^-x, etc.
foreach (ClString testName in test.GetInputFileNames(GetType().FullName))
{
test.StartTest(testName);
// Read input data.
ClString fileName = testName + ".csv";
ClPoint[] data, reference;
test.ReadCSVInputData(fileName, out data, out reference);
// Initialise spline and calculate spline coefficients.
test.Print(String.Format("Calculating spline."));
var monotoneSpline = new ClMonotoneSpline1D();
test.CalculationTime.Restart();
monotoneSpline.LoadData(data);
monotoneSpline.Calculate();
test.CalculationTime.Stop();
var gridData = monotoneSpline.ValueOnGrid(0.01);
var dat = new ClPoint[gridData.RowCount];
for (var i = 0; i < dat.Length; i++)
{
dat[i] = new ClPoint(gridData[i, 0], gridData[i, 1]);
}
var smoothingSpline = new ClSplineCubicSmooth1D(new Spline1DBuilder());
smoothingSpline.LoadData(data);
smoothingSpline.Calculate();
if (PlotResults)
{
test.StoreSpline1D(smoothingSpline, monotoneSpline, data, reference);
}
Log.Result(String.Format(name + " for " + testName + " completed." + "{0}" +
"Number of points: " + data.Length + ";{0}" +
"Processing time: " + test.CalculationTime.ElapsedMilliseconds + ";{0}" +
"Deviation between spline and reference: " + ClApproximUtils.DeviationBetween(monotoneSpline, reference) + ";{0}", Environment.NewLine));
}
Log.Result(name + " completed");
test.FinishTest(PrintPerformance);
}
public void Playground()
{
//Implementation of this example: https://cassowary.readthedocs.org/en/latest/topics/examples.html#quadrilaterals
var _0 = new ClPoint(10, 10);
var _1 = new ClPoint(10, 200);
var _2 = new ClPoint(200, 200);
var _3 = new ClPoint(200, 10);
var m0 = new ClPoint(0, 0);
var m1 = new ClPoint(0, 0);
var m2 = new ClPoint(0, 0);
var m3 = new ClPoint(0, 0);
//We don't want the points to move unless necessary
_solver.AddPointStays(new[] { _0, _1, _2, _3 });
//Define the midpoints
// ReSharper disable CompareOfFloatsByEqualityOperator
_solver.AddConstraint(m0.X, _0.X, _1.X, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m0.Y, _0.Y, _1.Y, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m1.X, _1.X, _2.X, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m1.Y, _1.Y, _2.Y, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m2.X, _2.X, _3.X, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m2.Y, _2.Y, _3.Y, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m3.X, _3.X, _0.X, (m, a, b) => m == a * 0.5 + b * 0.5);
_solver.AddConstraint(m3.Y, _3.Y, _0.Y, (m, a, b) => m == a * 0.5 + b * 0.5);
// ReSharper restore CompareOfFloatsByEqualityOperator
//Make sure left stays left and top stays top
_solver.AddConstraint(_0.X, _2.X, (a, b) => a + 20 <= b);
_solver.AddConstraint(_0.X, _3.X, (a, b) => a + 20 <= b);
_solver.AddConstraint(_1.X, _2.X, (a, b) => a + 20 <= b);
_solver.AddConstraint(_1.X, _3.X, (a, b) => a + 20 <= b);
_solver.AddConstraint(_0.Y, _1.Y, (a, b) => a + 20 <= b);
_solver.AddConstraint(_0.Y, _2.Y, (a, b) => a + 20 <= b);
_solver.AddConstraint(_3.Y, _1.Y, (a, b) => a + 20 <= b);
_solver.AddConstraint(_3.Y, _2.Y, (a, b) => a + 20 <= b);
//Make sure all points stay in 500x500 convas
_solver.AddConstraint(_0.X, a => a >= 0);
_solver.AddConstraint(_0.Y, a => a >= 0);
_solver.AddConstraint(_0.X, a => a <= 500);
_solver.AddConstraint(_0.Y, a => a <= 500);
Console.WriteLine(m0.X.Value + " " + m0.Y.Value);
Console.WriteLine(m1.X.Value + " " + m1.Y.Value);
Console.WriteLine(m2.X.Value + " " + m2.Y.Value);
Console.WriteLine(m3.X.Value + " " + m3.Y.Value);
_solver.BeginEdit(_2.X, _2.Y)
.SuggestValue(_2.X, 300)
.SuggestValue(_2.Y, 400)
.EndEdit();
Console.WriteLine(m0.X.Value + " " + m0.Y.Value);
Console.WriteLine(m1.X.Value + " " + m1.Y.Value);
Console.WriteLine(m2.X.Value + " " + m2.Y.Value);
Console.WriteLine(m3.X.Value + " " + m3.Y.Value);
}
public void AMCRegressionTest()
{
ClString name = "AMCRegressionTest";
BeginTest(name);
// Testing data: Call, Put, Risk Reversal, Straddle, Strangle, Bull, Bear, Butterfly and Barrier (Down-and-in call, Down-and-out call, Up-and-in call, Up-and-out call ) Options.
ApproximationTestsHelper test = new ApproximationTestsHelper(Log, Context, name, ConsoleOutput);
foreach (ClString testName in test.GetInputFileNames(GetType().FullName))
{
test.StartTest(testName);
// Read input data.
ClString fileName = testName + ".csv";
ClPoint[] data, reference;
test.ReadCSVInputData(fileName, out data, out reference);
// initial data for polynomial regression
double[] dataX = new double[data.Length];
for (int pos = 0; pos < data.Length; pos++)
{
dataX[pos] = data[pos].X[0];
}
ClDoubleArray explanatoryVariables = new ClDoubleArray(dataX);
double[] dataV = new double[data.Length];
for (int pos = 0; pos < data.Length; pos++)
{
dataV[pos] = data[pos].Value;
}
ClDoubleArray exposureDiscounted = new ClDoubleArray(dataV);
// Initialise polynomial regression and calculate it
var amcBuilder = new ClPolynomialLsqAmcBuilder
{
Sdf = new ClDoubleArray(data.Length, 1.0),
ExplanatoryVariables = explanatoryVariables,
PolynomialPower = 3
};
IClAmc amc = amcBuilder.Build <IClAmc>();
test.CalculationTime.Restart();
ClDoubleArray result = new ClDoubleArray(amc.Evaluate(exposureDiscounted));
test.CalculationTime.Stop();
ClPoint[] valuesAt = new ClPoint[data.Length];
for (int pos = 0; pos < data.Length; pos++)
{
valuesAt[pos] = new ClPoint(data[pos].X, result[pos]);
}
// Initialise spline and calculate spline coefficients.
var spline = new ClSplineCubicSmooth1D(new Spline1DBuilder());
spline.LoadData(data);
spline.Calculate();
// Store results and complete test.
if (PlotResults)
{
test.StoreSpline1D(spline, valuesAt, data, reference);
}
test.Print("Completed " + name + " for " + testName);
}
test.FinishTest(PrintPerformance);
}