private LinearRateModel ReturnModelWithReplacedFwdCurve(CurveTenor tenor, Curve newCurve)
{
FwdCurveContainer newCollection = FwdCurveCollection.Copy();
newCollection.AddCurve(newCurve, tenor);
return(new LinearRateModel(DiscCurve.Copy(), newCollection, Interpolation));
}
public void SetEverything(Curve discCurve, CurveCalibrationProblem[] problems, CurveTenor[] tenors, CalibrationSpec settings, int[] OrderOfCalibration = null)
{
if (problems.Length != tenors.Length)
{
throw new InvalidOperationException("Number of problems and number of tenors have to match. ");
}
_problemMap = new Dictionary <CurveTenor, CurveCalibrationProblem>();
_hasBeenCalibrated = new Dictionary <CurveTenor, bool>();
_discCurve = discCurve;
_tenors = tenors;
_settings = settings;
_fwdCurveCollection = new FwdCurveContainer();
List <int> curvePoints = new List <int>();
for (int i = 0; i < problems.Length; i++)
{
_problemMap[tenors[i]] = problems[i];
_fwdCurveCollection.AddCurve(problems[i].CurveToBeCalibrated, tenors[i]);
curvePoints.Add(_fwdCurveCollection.GetCurve(tenors[i]).Dimension);
}
_curvePoints = curvePoints.ToArray();
_internalState = 0;
}
private void OptimizationFunction(double[] x, ref double func, 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;
}
func = _problem.GoalFunction(tempModel, _settings.Scaling);
}
public double[] ConstructStartingValuesFromCurves_AD_Current(FwdCurveContainer fwdCurves)
{
// This method constructs starting values based on existing forward curves.
// Intended to be used for fast calibration for "live" calibration
List <double> output = new List <double>();
for (int i = 0; i < _currentTenors.Length; i++)
{
for (int j = 0; j < _currentCurvePoints[i]; j++)
{
output.Add(fwdCurves.GetCurve(_currentTenors[i]).Values[j]);
}
}
return(output.ToArray());
}
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();
}
public void SetExistingFwdCurves(FwdCurveContainer fwdCurves)
{
_existingFwdCurveCollection = fwdCurves;
}
public LinearRateModel(Curve discCurve, FwdCurveContainer fwdCurveCollection, InterpMethod interpolation)
{
Interpolation = interpolation;
DiscCurve = discCurve;
FwdCurveCollection = fwdCurveCollection;
}