public double[] ZcbRiskProductAD(LinearRateInstrument product)
{
AADTape.ResetTape();
if (ADCurvesHasBeenSet == false)
{
SetAdCurvesFromOrdinaryCurve();
}
InitiateTapeFromModel();
ValueLinearRateProductAD(product);
AADTape.InterpretTape();
double[] output = AADTape.GetGradient();
AADTape.ResetTape();
return(ScaleGradient(0.0001, output));
}
public void OptimizationFunction_AD_grad(double[] x, ref double func, double[] grad, object obj)
{
Curve tempDiscCurve = new Curve(_problem.CurvePoints, x.ToList());
FwdCurveContainer tempFwdCurves = new FwdCurveContainer();
LinearRateModel tempModel = new LinearRateModel(tempDiscCurve, new FwdCurveContainer(), _settings.Interpolation);
_internalState += 1;
if (_internalState > _internalStateMax)
{
return;
}
// Initialize AADTape with curve values
AADTape.ResetTape();
List <ADouble> adCurveValues = new List <ADouble>();
for (int i = 0; i < tempDiscCurve.Dimension; i++)
{
adCurveValues.Add(new ADouble(x[i]));
}
// Initialize the tape with curve values defined above
AADTape.Initialize(adCurveValues.ToArray());
Curve_AD adCurve = new Curve_AD(tempDiscCurve.Dates, adCurveValues);
tempModel.ADDiscCurve = adCurve;
func = _problem.GoalFunction_AD(tempModel, _settings.Scaling);
AADTape.InterpretTape();
double[] gradient = AADTape.GetGradient();
for (int i = 0; i < gradient.Length; i++)
{
grad[i] = gradient[i];
}
AADTape.ResetTape();
}
private void OptimizationFunction_AD(double[] curveValues, ref double func, double[] grad, object obj)
{
_internalState += 1;
if (_internalState > _internalStateMax)
{
return;
}
List <List <double> > curveValueCollection = new List <List <double> >();
int n = 0;
// Update curve values to newest iteration
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <double> temp = new List <double>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
temp.Add(curveValues[n]);
n += 1;
}
curveValueCollection.Add(temp);
}
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
_fwdCurveCollection.UpdateCurveValues(curveValueCollection[i], _currentTenors[i]);
}
// Initialize temporary LinearRateModel with new curves.
LinearRateModel tempModel = new LinearRateModel(_discCurve, _fwdCurveCollection, _settings.Interpolation);
tempModel.ADFwdCurveCollection = new ADFwdCurveContainer();
tempModel.SetAdDiscCurveFromOrdinaryCurve();
n = 0;
// Create ADouble array of curve values - active variables.
List <ADouble> curveValuesAd = new List <ADouble>();
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
curveValuesAd.Add(new ADouble(curveValues[n]));
n += 1;
}
}
AADTape.ResetTape();
AADTape.Initialize(curveValuesAd.ToArray());
// Set curves in tempModel that has already been calibrated.
foreach (CurveTenor tempTenor in _hasBeenCalibrated.Keys)
{
if (_hasBeenCalibrated[tempTenor])
{
Curve tempCurve = _fwdCurveCollection.GetCurve(tempTenor).Copy();
List <ADouble> tempValues = new List <ADouble>();
for (int i = 0; i < _fwdCurveCollection.GetCurve(tempTenor).Values.Count; i++)
{
tempValues.Add(new ADouble(_fwdCurveCollection.GetCurve(tempTenor).Values[i]));
}
Curve_AD tempADCurve = new Curve_AD(_fwdCurveCollection.GetCurve(tempTenor).Dates, tempValues);
tempModel.ADFwdCurveCollection.AddCurve(tempADCurve, tempTenor);
}
}
n = 0;
// Convert active ADouble variables to curves in the temporary model
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <ADouble> tempADouble = new List <ADouble>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
tempADouble.Add(curveValuesAd[n]);
n += 1;
}
tempModel.ADFwdCurveCollection.AddCurve(new Curve_AD(_fwdCurveCollection.GetCurve(_currentTenors[i]).Dates, tempADouble), _currentTenors[i]);
}
// Evaluate goal function and obtain gradient.
func = GoalFunction_AD(_currentTenors, tempModel);
AADTape.InterpretTape();
double[] gradient = AADTape.GetGradient();
for (int i = 0; i < gradient.Length; i++)
{
grad[i] = gradient[i];
}
AADTape.ResetTape();
}
private void OptimizationFunction_AD_Current_OLD(double[] curveValues, ref double func, double[] grad, object obj)
{
// This is a working optimizationFunction that does not work with order.
// Kept as reference in case something goes wrong with the more general implementation.
_internalState += 1;
if (_internalState > _internalStateMax)
{
return;
}
List <List <double> > curveValueCollection = new List <List <double> >();
List <ADouble> curveValuesAd = new List <ADouble>();
int n = 0;
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <double> temp = new List <double>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
temp.Add(curveValues[n]);
curveValuesAd.Add(new ADouble(curveValues[n]));
n += 1;
}
curveValueCollection.Add(temp);
}
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
_fwdCurveCollection.UpdateCurveValues(curveValueCollection[i], _currentTenors[i]);
}
AADTape.ResetTape();
LinearRateModel tempModel = new LinearRateModel(_discCurve, _fwdCurveCollection, _settings.Interpolation);
tempModel.ADFwdCurveCollection = new ADFwdCurveContainer();
AADTape.Initialize(curveValuesAd.ToArray());
tempModel.SetAdDiscCurveFromOrdinaryCurve();
n = 0;
for (int i = 0; i < _currentCurvePoints.Length; i++)
{
List <ADouble> tempADouble = new List <ADouble>();
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
tempADouble.Add(curveValuesAd[n]);
n += 1;
}
tempModel.ADFwdCurveCollection.AddCurve(new Curve_AD(_fwdCurveCollection.GetCurve(_currentTenors[i]).Dates, tempADouble), _currentTenors[i]);
}
func = GoalFunction_AD(_currentTenors, tempModel);
AADTape.InterpretTape();
double[] gradient = AADTape.GetGradient();
for (int i = 0; i < gradient.Length; i++)
{
grad[i] = gradient[i];
}
AADTape.ResetTape();
}