public double[] CalcualteModelOutput(double[] para)
{
var x10 = para[0];
var x20 = para[1];
var mu = para[2];
var rho12 = para[3];
var theta1 = para[4];
var theta2 = para[5];
var c1 = para[6];
var c2 = para[7];
var epsilon1 = para[8];
var epsilon2 = para[9];
var SV2Factor = new StaticVasicekTwoFactorModel();
SV2Factor.maturities = maturities;
SV2Factor.x10 = x10;
SV2Factor.x20 = x20;
SV2Factor.mu = mu;
SV2Factor.rho12 = rho12;
SV2Factor.theta1 = theta1;
SV2Factor.theta2 = theta2;
SV2Factor.c1 = c1;
SV2Factor.c2 = c2;
SV2Factor.epsilon1 = epsilon1;
SV2Factor.epsilon2 = epsilon2;
var modelyields = SV2Factor.GetYields();
return(modelyields);
}
private double StaticVasicekTwoFactorModelObj(double[] para)
{
var error = 0.0;
var lowerbound = new double[10] {
-14.99, -14.99, -14.99, -0.9999999, -4.99, -4.99, 0.0000001, 0.0000001, 0.0000001, 0.0000001
};
var upperbound = new double[10] {
14.99, 14.99, 14.99, 0.9999999, 4.99, 4.99, 4.99, 4.99, 14.99, 14.99
};
if (CheckStaticVasicekTwoFactorModelPara(para, lowerbound, upperbound) == false)
{
error = 99999999999999.99;
}
else
{
var x10 = para[0];
var x20 = para[1];
var mu = para[2];
var rho12 = para[3];
var theta1 = para[4];
var theta2 = para[5];
var c1 = para[6];
var c2 = para[7];
var epsilon1 = para[8];
var epsilon2 = para[9];
var SV2Factor = new StaticVasicekTwoFactorModel();
SV2Factor.maturities = maturities;
SV2Factor.x10 = x10;
SV2Factor.x20 = x20;
SV2Factor.mu = mu;
SV2Factor.rho12 = rho12;
SV2Factor.theta1 = theta1;
SV2Factor.theta2 = theta2;
SV2Factor.c1 = c1;
SV2Factor.c2 = c2;
SV2Factor.epsilon1 = epsilon1;
SV2Factor.epsilon2 = epsilon2;
var modelyields = SV2Factor.GetYields();
for (int i = 0; i < modelyields.Length; i++)
{
error = error + (modelyields[i] - yields[i]) * (modelyields[i] - yields[i]);
}
}
return(error);
}
