public double ObjFun(Vector <double> x)
{
var xMatrix = VecToMat(x);
PopulateXi(xMatrix);
double temp = Bound(x);
if (temp > 0 && !ExpForm)
{
return(temp);
}
if (_param.NumberOfCaplets > 0)
{
temp += CWeight * QOFCplt();
}
if (_param.NumberOfSwaptions > 0)
{
temp += SWeight * QOFSwpn();
}
temp += HWeight * SmoothH(xMatrix) + VWeight * SmoothV(xMatrix);
FunctionValue = temp;
_iterationCount++;
Pedersen.WriteRange(1, 1, $"{_iterationCount}, {temp:f9}, {_hit}");
return(temp);
}
private void SetV(int expiry, int tenor)
{
_v = new double[expiry + 1][];
_v[0] = new double[tenor + 1];
for (int i = 0; i < expiry; i++)
{
_v[i + 1] = new double[tenor + 1];
}
for (int i = 0; i < tenor; i++)
{
Pedersen.Debug(_discount[0][i].ToString(CultureInfo.InvariantCulture));
_v[0][i] = _discount[0][i] - (1 - 0.25 * _shift[i]) * _discount[0][i + 1];
}
_v[0][tenor] = _discount[0][tenor];
}
public void Go()
{
_initialGuess = new DenseVector(_p.NumberOfExpiries * _p.NumberOfTenors);
double initialGuess = _p.AverageSwaptionImpliedVolatility;
if (initialGuess == 0)
{
initialGuess = _p.AverageCapletImpliedVolatility;
}
if (initialGuess == 0)
{
throw new Exception("The selected time range does not include any calibration targets.");
}
if (_objective.ExpForm)
{
for (var i = 0; i < _initialGuess.Count; i++)
{
_initialGuess[i] = Math.Log(initialGuess) / 20;
}
}
else
{
for (var i = 0; i < _initialGuess.Count; i++)
{
_initialGuess[i] = initialGuess;
}
}
var sw = new StopWatch();
_objective.StartOtherThreads();
var solution = BfgsSolver.Solve(_initialGuess, _f, _g);
_objective.Finished = true;
sw.Stop();
TimeSpan ts = sw.GetElapsedTime();
Pedersen.Write($" Value x: {solution[0]}\n", "cal");
_objective.OutputResult(solution);
Pedersen.Write($" Process Time: {ts.Hours:d2}:{ts.Minutes:d2}:{ts.Seconds:d2}:{ts.Milliseconds:d3}\n", "cal");
}
public double Go()
{
_discount = _economy.Discount;
_xi = _economy.Xi;
if (_xi == null)
{
throw new Exception("Run Calibrator first!");
}
_shift = _economy.Shift;
SetV(_param.UnderlyingExpiry, _param.UnderlyingTenor);
if (Derivative == Derivative.Custom)
{
Payoff = new PayoffParser(_economy, PayoffFunction);
}
double temp = 0;
double temp2 = 0;
var p = new[] { Exp, Ten };
double k = SetStrike(p);
for (int i = 0; i < Iterate; i++)
{
if (i % 100 == 0)
{
Pedersen.WriteRange($"Iteration # {i}");
}
Simulate(_param.UnderlyingExpiry, _param.UnderlyingTenor);
double c = FindPayoff(p, k);
temp += c;
temp2 += c * c;
}
double actual = Notional * FindTheoretical(p, k);
double mean = Notional * temp / Iterate;
double sd = Notional * Math.Sqrt((temp2 / Iterate - (temp / Iterate) * (temp / Iterate)) / (Iterate - 1.0));
double error = (mean - actual) / sd;
if (Derivative == Derivative.Caplet)
{
Pedersen.Write($"Caplet: {Exp}, ", "sim");
}
else if (Derivative == Derivative.Swaption)
{
Pedersen.Write($"Swaption: ({Exp}, {Ten}), ", "sim");
}
if (actual == 0)
{
Pedersen.Write($"Notional: {Notional}, Iterations: {Iterate}\n", "sim");
Pedersen.Write("Theoretical: N/A\n", "sim");
Pedersen.Write($"Sim Average: {mean}\n", "sim");
Pedersen.Write($"Sim Std.Dev: {sd}\n", "sim");
Pedersen.Write("Error / S.D: N/A\n", "sim");
}
else
{
Pedersen.Write($"Notional: {Notional}, Iterations: {Iterate}\n", "sim");
Pedersen.Write($"Theoretical: {actual}\n", "sim");
Pedersen.Write($"Sim Average: {mean}\n", "sim");
Pedersen.Write($"Sim Std.Dev: {sd}\n", "sim");
Pedersen.Write($"Error / S.D: {error}\n", "sim");
}
return(mean);
}