// Fras
public ADouble ParFraRateAD(Fra fra)
{
Curve_AD fwdCurve = this.ADFwdCurveCollection.GetCurve(fra.ReferenceIndex);
ADouble rate = fwdCurve.FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation);
return(rate);
}
// The functionality below takes the original "double" curves
// and converts them to AD curves.
public void SetAdCurvesFromOrdinaryCurve()
{
List <ADouble> discValues = new List <ADouble>();
for (int i = 0; i < DiscCurve.Values.Count; i++)
{
discValues.Add(new MasterThesis.ADouble(DiscCurve.Values[i]));
}
ADDiscCurve = new MasterThesis.Curve_AD(DiscCurve.Dates, discValues);
ADFwdCurveCollection = new ADFwdCurveContainer();
foreach (CurveTenor tenor in FwdCurveCollection.Curves.Keys)
{
List <ADouble> tempValues = new List <ADouble>();
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Values.Count; i++)
{
tempValues.Add(new ADouble(FwdCurveCollection.GetCurve(tenor).Values[i]));
}
Curve_AD tempCurve = new Curve_AD(FwdCurveCollection.GetCurve(tenor).Dates, tempValues);
ADFwdCurveCollection.AddCurve(tempCurve, tenor);
}
ADCurvesHasBeenSet = true;
}
public void SetAdDiscCurveFromOrdinaryCurve()
{
List <ADouble> discValues = new List <ADouble>();
for (int i = 0; i < DiscCurve.Values.Count; i++)
{
discValues.Add(new MasterThesis.ADouble(DiscCurve.Values[i]));
}
ADDiscCurve = new MasterThesis.Curve_AD(DiscCurve.Dates, discValues);
}
public FwdCurveRepresentation(Curve_AD curve, CurveTenor tenor, DateTime asOf, DayCount dayCount, DayRule dayRule, InterpMethod interpolation)
{
Dates = curve.Dates;
Dimension = curve.Dimension;
Tenor = tenor;
AsOf = asOf;
_fwdDayCount = dayCount;
_fwdDayRule = dayRule;
_interpolation = interpolation;
for (int i = 0; i < Dimension; i++)
{
Values.Add(curve.Values[i].Value);
}
ConstructZcbCurveFromDatesAndValues();
ConstructFwdRates();
}
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();
}
public LinearRateModel(Curve_AD discCurve, ADFwdCurveContainer fwdCurveCollection, InterpMethod interpolation = InterpMethod.Linear)
{
ADDiscCurve = discCurve;
ADFwdCurveCollection = fwdCurveCollection;
Interpolation = interpolation;
}
public void AddCurve(Curve_AD curve, CurveTenor curveType)
{
Curves[curveType] = curve;
}