//! Calibrate to a set of market instruments (caps/swaptions) /*! An additional constraint can be passed which must be * satisfied in addition to the constraints of the model. */ //public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, // Constraint constraint = new Constraint(), List<double> weights = new List<double>()) { public void calibrate(List <CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint additionalConstraint, List <double> weights) { if (!(weights.Count == 0 || weights.Count == instruments.Count)) { throw new ApplicationException("mismatch between number of instruments and weights"); } Constraint c; if (additionalConstraint.empty()) { c = constraint_; } else { c = new CompositeConstraint(constraint_, additionalConstraint); } List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights; CalibrationFunction f = new CalibrationFunction(this, instruments, w); Problem prob = new Problem(f, c, parameters()); shortRateEndCriteria_ = method.minimize(prob, endCriteria); Vector result = new Vector(prob.currentValue()); setParams(result); // recheck Vector shortRateProblemValues_ = prob.values(result); notifyObservers(); }
//! Calibrate to a set of market instruments (caps/swaptions) /*! An additional constraint can be passed which must be * satisfied in addition to the constraints of the model. */ //public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, // Constraint constraint = new Constraint(), List<double> weights = new List<double>()) { public void calibrate(List <CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint additionalConstraint = null, List <double> weights = null, List <bool> fixParameters = null) { if (weights == null) { weights = new List <double>(); } if (additionalConstraint == null) { additionalConstraint = new Constraint(); } Utils.QL_REQUIRE(weights.empty() || weights.Count == instruments.Count, () => "mismatch between number of instruments (" + instruments.Count + ") and weights(" + weights.Count + ")"); Constraint c; if (additionalConstraint.empty()) { c = constraint_; } else { c = new CompositeConstraint(constraint_, additionalConstraint); } List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights; Vector prms = parameters(); List <bool> all = new InitializedList <bool>(prms.size(), false); Projection proj = new Projection(prms, fixParameters ?? all); CalibrationFunction f = new CalibrationFunction(this, instruments, w, proj); ProjectedConstraint pc = new ProjectedConstraint(c, proj); Problem prob = new Problem(f, pc, proj.project(prms)); shortRateEndCriteria_ = method.minimize(prob, endCriteria); Vector result = new Vector(prob.currentValue()); setParams(proj.include(result)); Vector shortRateProblemValues_ = prob.values(result); notifyObservers(); //CalibrationFunction f = new CalibrationFunction(this, instruments, w); //Problem prob = new Problem(f, c, parameters()); //shortRateEndCriteria_ = method.minimize(prob, endCriteria); //Vector result = new Vector(prob.currentValue()); //setParams(result); //// recheck //Vector shortRateProblemValues_ = prob.values(result); //notifyObservers(); }
//! Calibrate to a set of market instruments (caps/swaptions) /*! An additional constraint can be passed which must be satisfied in addition to the constraints of the model. */ //public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, // Constraint constraint = new Constraint(), List<double> weights = new List<double>()) { public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria, Constraint additionalConstraint, List<double> weights) { if (!(weights.Count == 0 || weights.Count == instruments.Count)) throw new ApplicationException("mismatch between number of instruments and weights"); Constraint c; if (additionalConstraint.empty()) c = constraint_; else c = new CompositeConstraint(constraint_,additionalConstraint); List<double> w = weights.Count == 0 ? new InitializedList<double>(instruments.Count, 1.0): weights; CalibrationFunction f = new CalibrationFunction(this, instruments, w); Problem prob = new Problem(f, c, parameters()); shortRateEndCriteria_ = method.minimize(prob, endCriteria); Vector result = new Vector(prob.currentValue()); setParams(result); // recheck Vector shortRateProblemValues_ = prob.values(result); notifyObservers(); }