static void Main(string[] args)
{
//Read data
var USDataReader = new USYieldDataXMLReader();
USDataReader.filepath = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Data\\USDYieldCurveDailyData2020.xml"));
var Data = USDataReader.GetFullTimeSeriesData();
var yields = Data["2020-02-11"];
var tau = new double[12] {
(double)1 / 12, (double)2 / 12, (double)3 / 12, (double)6 / 12, 1, 2, 3, 5, 7, 10, 20, 30
};
//// Test--------------------------------------- Static NS 3 factors model------------------------------------------------//
//var NS3factorCalibration = new StaticNS3FactorModelCalibration();
//NS3factorCalibration.yields = yields;
//NS3factorCalibration.maturities = tau;
//var optimziedpara = NS3factorCalibration.Calibration();
//var modeloutput = NS3factorCalibration.CalculateModelOutput(tau, optimziedpara);
//Console.WriteLine("NS 3 Factor Model Is Calibrated.");
////Plot
//var plt = new ScottPlot.Plot(600, 400);
//plt.PlotSignalXY(tau, yields, color: Color.Red, label: "Market Data");
//plt.PlotSignalXY(tau, modeloutput, color: Color.Blue, label: "Model Output");
//plt.Legend();
//plt.XLabel("Time to maturity");
//plt.YLabel("Annualized yields (%)");
//var savepath = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\NS3FactorModelEmpiricalResult.png"));
//plt.SaveFig(savepath);
//Process.Start(savepath);
//// Test--------------------------------------- Static NS 4 factors model------------------------------------------------//
//var NS4factorCalibration = new StaticNS4FactorModelCalibration();
//NS4factorCalibration.yields = yields;
//NS4factorCalibration.maturities = tau;
//var optimziedpara2 = NS4factorCalibration.Calibration();
//var modeloutput2 = NS4factorCalibration.CalculateModelOutput(tau, optimziedpara2);
//Console.WriteLine("NS 4 Factor Model Is Calibrated.");
////Plot
//var plt2 = new ScottPlot.Plot(600, 400);
//plt2.PlotSignalXY(tau, yields, color: Color.Red, label: "Market Data");
//plt2.PlotSignalXY(tau, modeloutput2, color: Color.Blue, label: "Model Output");
//plt2.Legend();
//plt2.XLabel("Time to maturity");
//plt2.YLabel("Annualized yields (%)");
//var savepath2 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\NS4FactorModelEmpiricalResult.png"));
//plt2.SaveFig(savepath2);
//Process.Start(savepath2);
//// Test--------------------------------------- Static Vasicek Two factors model------------------------------------------------//
//var V2FactorCal = new StaticVasicekTwoFactorModelCalibration();
//V2FactorCal.yields = yields;
//V2FactorCal.maturities = tau;
//var V2FactorOptPara = V2FactorCal.Calibration();
//var V2Factor = new StaticVasicekTwoFactorModel();
//V2Factor.maturities = tau;
//var modeloutputV2 = V2FactorCal.CalcualteModelOutput(V2FactorOptPara);
//Console.WriteLine("Vasicek 2 Factor Model Is Calibrated.");
////Plot
//var pltv2 = new ScottPlot.Plot(600, 400);
//pltv2.PlotSignalXY(tau, yields, color: Color.Red, label: "Market Data");
//pltv2.PlotSignalXY(tau, modeloutputV2, color: Color.Blue, label: "Model Output");
//pltv2.Legend();
//pltv2.XLabel("Time to maturity");
//pltv2.YLabel("Annualized yields (%)");
//var savepathV2 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\VasicekTwoFactorModelEmpiricalResult.png"));
//pltv2.SaveFig(savepathV2);
//Process.Start(savepathV2);
// Test--------------------------------------- Static Longstaff Schwartz Two factors model------------------------------------------------//
var LS2FactorCal = new StaticTwoFactorLongstaffSchwartzModelCalibration();
LS2FactorCal.yields = yields;
LS2FactorCal.maturities = tau;
var LS2FactorOptPara = LS2FactorCal.Calibration();
var LS2Factor = new StaticTwoFactorLongstaffSchwartzModel();
LS2Factor.maturities = tau;
var modeloutputLS2 = LS2FactorCal.CalcualteModelOutput(LS2FactorOptPara);
Console.WriteLine("Longstaff Schwartz 2 Factor Model Is Calibrated.");
//Plot
var pltls2 = new ScottPlot.Plot(600, 400);
pltls2.PlotSignalXY(tau, yields, color: Color.Red, label: "Market Data");
pltls2.PlotSignalXY(tau, modeloutputLS2, color: Color.Blue, label: "Model Output");
pltls2.Legend();
pltls2.XLabel("Time to maturity");
pltls2.YLabel("Annualized yields (%)");
var savepathls2 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\LongstaffSchwartzTwoFactorModelEmpiricalResult.png"));
pltls2.SaveFig(savepathls2);
Process.Start(savepathls2);
////Test dynamic NS3 factor model
//var DynaimcNS3factor = new DynamicNS3FactorModelCalibration();
//DynaimcNS3factor.yields = Data;
//DynaimcNS3factor.maturities = tau;
//var optimziedpara=DynaimcNS3factor.Optimize();
//(var tvbeta1, var tvbeta2, var tvbeta3) = DynaimcNS3factor.GetDynamicBetas(optimziedpara);
////Plot
//// Beta1
//var pltbeta1 = new ScottPlot.Plot(600, 400);
//pltbeta1.PlotSignal(tvbeta1, color: Color.Red, label: "Time-varying Beta1");
//pltbeta1.Legend();
//pltbeta1.XLabel("History Time");
//pltbeta1.YLabel("Beta1");
//var savepathbeta1 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta1.png"));
//pltbeta1.SaveFig(savepathbeta1);
//Process.Start(savepathbeta1);
//// Beta2
//var pltbeta2 = new ScottPlot.Plot(600, 400);
//pltbeta2.PlotSignal(tvbeta2, color: Color.Red, label: "Time-varying Beta2");
//pltbeta2.Legend();
//pltbeta2.XLabel("History Time");
//pltbeta2.YLabel("Beta2");
//var savepathbeta2 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta2.png"));
//pltbeta2.SaveFig(savepathbeta2);
//Process.Start(savepathbeta2);
//// Beta3
//var pltbeta3 = new ScottPlot.Plot(600, 400);
//pltbeta3.PlotSignal(tvbeta3, color: Color.Red, label: "Time-varying Beta3");
//pltbeta3.Legend();
//pltbeta3.XLabel("History Time");
//pltbeta3.YLabel("Beta3");
//var savepathbeta3 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta3.png"));
//pltbeta3.SaveFig(savepathbeta3);
//Process.Start(savepathbeta3);
////Test dynamic NS4 factor model
//var DynaimcNS4factor = new DynamicNS4FactorModelCalibration();
//DynaimcNS4factor.yields = Data;
//DynaimcNS4factor.maturities = tau;
//var optimziedpara = DynaimcNS4factor.Optimize();
//(var tvbeta1, var tvbeta2, var tvbeta3, var tvbeta4) = DynaimcNS4factor.GetDynamicBetas(optimziedpara);
////Plot
//// Beta1
//var pltbeta1 = new ScottPlot.Plot(600, 400);
//pltbeta1.PlotSignal(tvbeta1, color: Color.Red, label: "Time-varying Beta1");
//pltbeta1.Legend();
//pltbeta1.XLabel("History Time");
//pltbeta1.YLabel("Beta1");
//var savepathbeta1 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta1.png"));
//pltbeta1.SaveFig(savepathbeta1);
//Process.Start(savepathbeta1);
//// Beta2
//var pltbeta2 = new ScottPlot.Plot(600, 400);
//pltbeta2.PlotSignal(tvbeta2, color: Color.Red, label: "Time-varying Beta2");
//pltbeta2.Legend();
//pltbeta2.XLabel("History Time");
//pltbeta2.YLabel("Beta2");
//var savepathbeta2 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta2.png"));
//pltbeta2.SaveFig(savepathbeta2);
//Process.Start(savepathbeta2);
//// Beta3
//var pltbeta3 = new ScottPlot.Plot(600, 400);
//pltbeta3.PlotSignal(tvbeta3, color: Color.Red, label: "Time-varying Beta3");
//pltbeta3.Legend();
//pltbeta3.XLabel("History Time");
//pltbeta3.YLabel("Beta3");
//var savepathbeta3 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta3.png"));
//pltbeta3.SaveFig(savepathbeta3);
//Process.Start(savepathbeta3);
//// Beta3
//var pltbeta4 = new ScottPlot.Plot(600, 400);
//pltbeta4.PlotSignal(tvbeta4, color: Color.Red, label: "Time-varying Beta4");
//pltbeta4.Legend();
//pltbeta4.XLabel("History Time");
//pltbeta4.YLabel("Beta4");
//var savepathbeta4 = Path.GetFullPath(Path.Combine(Directory.GetCurrentDirectory(), @"..\..\", "Pictures\\DynamicNS3FactorModelBeta4.png"));
//pltbeta4.SaveFig(savepathbeta4);
//Process.Start(savepathbeta4);
Console.WriteLine("Press any key to exit");
Console.ReadKey();
}
