/// <summary>
/// Calibration objective function:
/// squared difference between black caps and Pelsser caps.
/// </summary>
/// <param name='x'>
/// The tested [alpha, sigma] vector.
/// </param>
/// <returns>
/// A scalar containing the sum of squared differences between
/// black Caps and the Pelsser Caps.
/// </returns>
public double Obj(DVPLI.Vector x)
{
SquaredGaussianModel model = Assign(this.project, x);
try
{
Matrix caps = this.caplet.PGSMCaplets(model, this.capMaturity, this.fwd, this.capK, this.deltaK, this.capMat);
double sum = 0;
for (int r = 0; r < caps.R; r++)
{
for (int c = 0; c < caps.C; c++)
{
if (this.blackCaps[r, c] != 0.0)
{
sum += Math.Pow(caps[r, c] - this.blackCaps[r, c], 2);
}
}
}
double penalty = 100 * PelsserConstraint(this.project, x, 50).Norm();
return(Math.Sqrt(sum / (caps.R * caps.C)) + penalty);
}
catch (Exception)
{
return(1000 * x.Norm(NormType.L2));
}
}
public override double Obj(DVPLI.Vector x)
{
double kappa = x[0];
double theta = x[1];
double sigma = x[2];
double rho = x[3];
double v0 = x[4];
if (displayObjInfo)
{
Console.WriteLine(".");
}
var paths = SimulateScenariosMT(s0, v0, kappa, theta, sigma, rho, Math.Min(this.matBound[1], this.cpmd.Maturity[Range.End]));
if (displayObjInfo)
{
Console.WriteLine("Average Underlying Scenario");
int Z = paths.Length; // number of time steps
int J = paths[0].Length; //number of realizations.
//display average path
for (int z = 0; z < Z; z++)
{
double avg = 0;
for (int j = 0; j < J; j++)
{
avg += paths[z][j];
}
avg /= J;
Console.WriteLine((z * dt) + "\t" + avg);
}
}
double sum = 0;
int count = 0;
for (int i = 0; i < this.cpmd.Maturity.Length; i++)
{
double maturity = this.cpmd.Maturity[i];
if (maturity < matBound[0] || maturity > matBound[1])
{
continue;
}
for (int j = 0; j < this.cpmd.Strike.Length; j++)
{
double strike = this.cpmd.Strike[j];
if (strike < strikeBound[0] * s0 || strike > strikeBound[1] * s0)
{
continue;
}
if (calibrateOnCallOptions)
{
if (this.cpmd.CallPrice[i, j] > s0 * optionThreshold)
{
if (cpmd.CallVolume[i, j] > 0)
{
double call = CallPrice(paths, strike, maturity);
sum += this.callWeight[i, j] * System.Math.Pow(this.cpmd.CallPrice[i, j] - call, 2.0);
count++;
}
}
}
if (calibrateOnPutOptions)
{
if (cpmd.PutPrice != null)
{
if (cpmd.PutPrice[i, j] > s0 * optionThreshold)
{
if (cpmd.PutVolume[i, j] > 0)
{
double put = PutPrice(paths, strike, maturity);
sum += this.putWeight[i, j] * System.Math.Pow(cpmd.PutPrice[i, j] - put, 2.0);
count++;
}
}
}
}
}
}
double p = 0;
//Frees memory
for (int i = 0; i < paths.Length; i++)
{
paths[i].Dispose();
}
if (this.useFellerPenalty)
{
p += this.FellerPenalty(x);
}
if (double.IsNaN(sum) || double.IsInfinity(sum))
{
return(p + 10e5 * x.Norm());
}
return(p + Math.Sqrt(sum / this.totalVolume) / s0 * 100);
}