public DVPLI.EstimationResult Estimate(List <object> data, DVPLI.IEstimationSettings settings = null, DVPLI.IController controller = null, Dictionary <string, object> properties = null) { DVPLI.InterestRateMarketData irmd = data[0] as DVPLI.InterestRateMarketData; //Date today = new Date(15, Month.February, 2002); //Date settlement = new Date(19, Month.February, 2002); Settings.setEvaluationDate(irmd.Date); Handle <YieldTermStructure> termStructure = new Handle <YieldTermStructure>(new Utilities.ZeroRateFunction(irmd.Date, irmd.ZRMarketDates, irmd.ZRMarket)); //termStructure.link HullWhite model = new HullWhite(termStructure); IborIndex index = new Euribor6M(termStructure); IPricingEngine engine = new JamshidianSwaptionEngine(model); List <CalibrationHelper> swaptions = new List <CalibrationHelper>(); for (int i = 0; i < irmd.SwapDates.Length; i++) { for (int j = 0; j < irmd.SwapDuration.Length; j++) { Quote vol = new SimpleQuote(irmd.SwaptionsVolatility[j, i]); CalibrationHelper helper = new SwaptionHelper(new Period((int)irmd.SwapDates[i], TimeUnit.Years), new Period((int)irmd.SwapDuration[j], TimeUnit.Years), new Handle <Quote>(vol), index, new Period(1, TimeUnit.Years), new Thirty360(), new Actual360(), termStructure, false); helper.setPricingEngine(engine); swaptions.Add(helper); } } // Set up the optimization problem LevenbergMarquardt optimizationMethod = new LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8); EndCriteria endCriteria = new EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8); //Optimize model.calibrate(swaptions, optimizationMethod, endCriteria, new Constraint(), new List <double>()); EndCriteria.Type ecType = model.endCriteria(); Vector xMinCalculated = model.parameters(); double yMinCalculated = model.value(xMinCalculated, swaptions); Vector xMinExpected = new Vector(2); double yMinExpected = model.value(xMinExpected, swaptions); DVPLI.EstimationResult r = new DVPLI.EstimationResult(new string[] { "Alpha", "Sigma" }, new double[] { xMinCalculated[0], xMinCalculated[1] }); return(r); }
public void testCalibration() { // Testing calibration of a Libor forward model const int size = 14; const double tolerance = 8e-3; double[] capVols = { 0.145708, 0.158465, 0.166248, 0.168672, 0.169007, 0.167956, 0.166261, 0.164239, 0.162082, 0.159923, 0.157781, 0.155745, 0.153776, 0.151950, 0.150189, 0.148582, 0.147034, 0.145598, 0.144248 }; double[] swaptionVols = { 0.170595, 0.166844, 0.158306, 0.147444, 0.136930, 0.126833, 0.118135, 0.175963, 0.166359, 0.155203, 0.143712, 0.132769, 0.122947, 0.114310, 0.174455, 0.162265, 0.150539, 0.138734, 0.128215, 0.118470, 0.110540, 0.169780, 0.156860, 0.144821, 0.133537, 0.123167, 0.114363, 0.106500, 0.164521, 0.151223, 0.139670, 0.128632, 0.119123, 0.110330, 0.103114, 0.158956, 0.146036, 0.134555, 0.124393, 0.115038, 0.106996, 0.100064 }; IborIndex index = makeIndex(); LiborForwardModelProcess process = new LiborForwardModelProcess(size, index); Handle <YieldTermStructure> termStructure = index.forwardingTermStructure(); // set-up the model LmVolatilityModel volaModel = new LmExtLinearExponentialVolModel(process.fixingTimes(), 0.5, 0.6, 0.1, 0.1); LmCorrelationModel corrModel = new LmLinearExponentialCorrelationModel(size, 0.5, 0.8); LiborForwardModel model = new LiborForwardModel(process, volaModel, corrModel); int swapVolIndex = 0; DayCounter dayCounter = index.forwardingTermStructure().link.dayCounter(); // set-up calibration helper List <CalibrationHelper> calibrationHelper = new List <CalibrationHelper>(); int i; for (i = 2; i < size; ++i) { Period maturity = i * index.tenor(); Handle <Quote> capVol = new Handle <Quote>(new SimpleQuote(capVols[i - 2])); CalibrationHelper caphelper = new CapHelper(maturity, capVol, index, Frequency.Annual, index.dayCounter(), true, termStructure, CalibrationHelper.CalibrationErrorType.ImpliedVolError); caphelper.setPricingEngine(new AnalyticCapFloorEngine(model, termStructure)); calibrationHelper.Add(caphelper); if (i <= size / 2) { // add a few swaptions to test swaption calibration as well for (int j = 1; j <= size / 2; ++j) { Period len = j * index.tenor(); Handle <Quote> swaptionVol = new Handle <Quote>( new SimpleQuote(swaptionVols[swapVolIndex++])); CalibrationHelper swaptionHelper = new SwaptionHelper(maturity, len, swaptionVol, index, index.tenor(), dayCounter, index.dayCounter(), termStructure, CalibrationHelper.CalibrationErrorType.ImpliedVolError); swaptionHelper.setPricingEngine(new LfmSwaptionEngine(model, termStructure)); calibrationHelper.Add(swaptionHelper); } } } LevenbergMarquardt om = new LevenbergMarquardt(1e-6, 1e-6, 1e-6); //ConjugateGradient gc = new ConjugateGradient(); model.calibrate(calibrationHelper, om, new EndCriteria(2000, 100, 1e-6, 1e-6, 1e-6), new Constraint(), new List <double>()); // measure the calibration error double calculated = 0.0; for (i = 0; i < calibrationHelper.Count; ++i) { double diff = calibrationHelper[i].calibrationError(); calculated += diff * diff; } if (Math.Sqrt(calculated) > tolerance) { QAssert.Fail("Failed to calibrate libor forward model" + "\n calculated diff: " + Math.Sqrt(calculated) + "\n expected : smaller than " + tolerance); } }
static void Main(string[] args) { DateTime startTime = DateTime.Now; Date todaysDate = new Date(15, Month.February, 2002); Calendar calendar = new TARGET(); Date settlementDate = new Date(19, Month.February, 2002); Settings.instance().setEvaluationDate(todaysDate); // flat yield term structure impling 1x5 swap at 5% Quote flatRate = new SimpleQuote(0.04875825); FlatForward myTermStructure = new FlatForward( settlementDate, new QuoteHandle(flatRate), new Actual365Fixed()); RelinkableYieldTermStructureHandle rhTermStructure = new RelinkableYieldTermStructureHandle(); rhTermStructure.linkTo(myTermStructure); // Define the ATM/OTM/ITM swaps Period fixedLegTenor = new Period(1, TimeUnit.Years); BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted; BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing; DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Convention.European); Period floatingLegTenor = new Period(6, TimeUnit.Months); double dummyFixedRate = 0.03; IborIndex indexSixMonths = new Euribor6M(rhTermStructure); Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years, floatingLegConvention); Date maturity = calendar.advance(startDate, 5, TimeUnit.Years, floatingLegConvention); Schedule fixedSchedule = new Schedule(startDate, maturity, fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false); Schedule floatSchedule = new Schedule(startDate, maturity, floatingLegTenor, calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false); VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000.0, fixedSchedule, dummyFixedRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); DiscountingSwapEngine swapEngine = new DiscountingSwapEngine(rhTermStructure); swap.setPricingEngine(swapEngine); double fixedATMRate = swap.fairRate(); double fixedOTMRate = fixedATMRate * 1.2; double fixedITMRate = fixedATMRate * 0.8; VanillaSwap atmSwap = new VanillaSwap( VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedATMRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); VanillaSwap otmSwap = new VanillaSwap( VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedOTMRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); VanillaSwap itmSwap = new VanillaSwap( VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedITMRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); atmSwap.setPricingEngine(swapEngine); otmSwap.setPricingEngine(swapEngine); itmSwap.setPricingEngine(swapEngine); // defining the swaptions to be used in model calibration PeriodVector swaptionMaturities = new PeriodVector(); swaptionMaturities.Add(new Period(1, TimeUnit.Years)); swaptionMaturities.Add(new Period(2, TimeUnit.Years)); swaptionMaturities.Add(new Period(3, TimeUnit.Years)); swaptionMaturities.Add(new Period(4, TimeUnit.Years)); swaptionMaturities.Add(new Period(5, TimeUnit.Years)); CalibrationHelperVector swaptions = new CalibrationHelperVector(); // List of times that have to be included in the timegrid DoubleVector times = new DoubleVector(); for (int i = 0; i < numRows; i++) { int j = numCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1 int k = i * numCols + j; Quote vol = new SimpleQuote(swaptionVols[k]); SwaptionHelper helper = new SwaptionHelper( swaptionMaturities[i], new Period(swapLengths[j], TimeUnit.Years), new QuoteHandle(vol), indexSixMonths, indexSixMonths.tenor(), indexSixMonths.dayCounter(), indexSixMonths.dayCounter(), rhTermStructure); swaptions.Add(helper); times.AddRange(helper.times()); } // Building time-grid TimeGrid grid = new TimeGrid(times, 30); // defining the models // G2 modelG2 = new G2(rhTermStructure)); HullWhite modelHW = new HullWhite(rhTermStructure); HullWhite modelHW2 = new HullWhite(rhTermStructure); BlackKarasinski modelBK = new BlackKarasinski(rhTermStructure); // model calibrations // Console.WriteLine( "G2 (analytic formulae) calibration" ); // for (int i=0; i<swaptions.Count; i++) // NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine( // new G2SwaptionEngine( modelG2, 6.0, 16 ) ); // // calibrateModel( modelG2, swaptions, 0.05); // Console.WriteLine( "calibrated to:" ); // Console.WriteLine( "a = " + modelG2.parameters()[0] ); // Console.WriteLine( "sigma = " + modelG2.parameters()[1] ); // Console.WriteLine( "b = " + modelG2.parameters()[2] ); // Console.WriteLine( "eta = " + modelG2.parameters()[3] ); // Console.WriteLine( "rho = " + modelG2.parameters()[4] ); Console.WriteLine("Hull-White (analytic formulae) calibration"); for (int i = 0; i < swaptions.Count; i++) { NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine( new JamshidianSwaptionEngine(modelHW)); } calibrateModel(modelHW, swaptions, 0.05); // Console.WriteLine( "calibrated to:" ); // Console.WriteLine( "a = " + modelHW.parameters()[0] ); // Console.WriteLine( "sigma = " + modelHW.parameters()[1] ); Console.WriteLine("Hull-White (numerical) calibration"); for (int i = 0; i < swaptions.Count; i++) { NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine( new TreeSwaptionEngine(modelHW2, grid)); } calibrateModel(modelHW2, swaptions, 0.05); // std::cout << "calibrated to:\n" // << "a = " << modelHW2->params()[0] << ", " // << "sigma = " << modelHW2->params()[1] // << std::endl << std::endl; Console.WriteLine("Black-Karasinski (numerical) calibration"); for (int i = 0; i < swaptions.Count; i++) { NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine( new TreeSwaptionEngine(modelBK, grid)); } calibrateModel(modelBK, swaptions, 0.05); // std::cout << "calibrated to:\n" // << "a = " << modelBK->params()[0] << ", " // << "sigma = " << modelBK->params()[1] // << std::endl << std::endl; // ATM Bermudan swaption pricing Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)", fixedATMRate); DateVector bermudanDates = new DateVector(); Schedule schedule = new Schedule(startDate, maturity, new Period(3, TimeUnit.Months), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false); for (uint i = 0; i < schedule.size(); i++) { bermudanDates.Add(schedule.date(i)); } Exercise bermudaExercise = new BermudanExercise(bermudanDates); Swaption bermudanSwaption = new Swaption(atmSwap, bermudaExercise); bermudanSwaption.setPricingEngine( new TreeSwaptionEngine(modelHW, 50)); Console.WriteLine("HW: " + bermudanSwaption.NPV()); bermudanSwaption.setPricingEngine( new TreeSwaptionEngine(modelHW2, 50)); Console.WriteLine("HW (num): " + bermudanSwaption.NPV()); bermudanSwaption.setPricingEngine( new TreeSwaptionEngine(modelBK, 50)); Console.WriteLine("BK (num): " + bermudanSwaption.NPV()); DateTime endTime = DateTime.Now; TimeSpan delta = endTime - startTime; Console.WriteLine(); Console.WriteLine("Run completed in {0} s", delta.TotalSeconds); Console.WriteLine(); }
public void testCachedHullWhite() { //("Testing Hull-White calibration against cached values..."); Date today = new Date(15, Month.February, 2002); Date settlement = new Date(19, Month.February, 2002); Settings.setEvaluationDate(today); Handle <YieldTermStructure> termStructure = new Handle <YieldTermStructure>(Utilities.flatRate(settlement, 0.04875825, new Actual365Fixed())); //termStructure.link HullWhite model = new HullWhite(termStructure); CalibrationData[] data = { new CalibrationData(1, 5, 0.1148), new CalibrationData(2, 4, 0.1108), new CalibrationData(3, 3, 0.1070), new CalibrationData(4, 2, 0.1021), new CalibrationData(5, 1, 0.1000) }; IborIndex index = new Euribor6M(termStructure); IPricingEngine engine = new JamshidianSwaptionEngine(model); List <CalibrationHelper> swaptions = new List <CalibrationHelper>(); for (int i = 0; i < data.Length; i++) { Quote vol = new SimpleQuote(data[i].volatility); CalibrationHelper helper = new SwaptionHelper(new Period(data[i].start, TimeUnit.Years), new Period(data[i].length, TimeUnit.Years), new Handle <Quote>(vol), index, new Period(1, TimeUnit.Years), new Thirty360(), new Actual360(), termStructure, false); helper.setPricingEngine(engine); swaptions.Add(helper); } // Set up the optimization problem // Real simplexLambda = 0.1; // Simplex optimizationMethod(simplexLambda); LevenbergMarquardt optimizationMethod = new LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8); EndCriteria endCriteria = new EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8); //Optimize model.calibrate(swaptions, optimizationMethod, endCriteria, new Constraint(), new List <double>()); EndCriteria.Type ecType = model.endCriteria(); // Check and print out results #if QL_USE_INDEXED_COUPON double cachedA = 0.0488199, cachedSigma = 0.00593579; #else double cachedA = 0.0488565, cachedSigma = 0.00593662; #endif double tolerance = 1.120e-5; //double tolerance = 1.0e-6; Vector xMinCalculated = model.parameters(); double yMinCalculated = model.value(xMinCalculated, swaptions); Vector xMinExpected = new Vector(2); xMinExpected[0] = cachedA; xMinExpected[1] = cachedSigma; double yMinExpected = model.value(xMinExpected, swaptions); if (Math.Abs(xMinCalculated[0] - cachedA) > tolerance || Math.Abs(xMinCalculated[1] - cachedSigma) > tolerance) { Assert.Fail("Failed to reproduce cached calibration results:\n" + "calculated: a = " + xMinCalculated[0] + ", " + "sigma = " + xMinCalculated[1] + ", " + "f(a) = " + yMinCalculated + ",\n" + "expected: a = " + xMinExpected[0] + ", " + "sigma = " + xMinExpected[1] + ", " + "f(a) = " + yMinExpected + ",\n" + "difference: a = " + (xMinCalculated[0] - xMinExpected[0]) + ", " + "sigma = " + (xMinCalculated[1] - xMinExpected[1]) + ", " + "f(a) = " + (yMinCalculated - yMinExpected) + ",\n" + "end criteria = " + ecType); } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionHelper obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }
private static void Main() { DateTime startTime = DateTime.Now; var todaysDate = new DateTime(2002, 2, 15); Settings.instance().setEvaluationDate(todaysDate); Calendar calendar = new TARGET(); var settlementDate = new Date(19, Month.February, 2002); // flat yield term structure impling 1x5 swap at 5% Quote flatRate = new SimpleQuote(0.04875825); var myTermStructure = new FlatForward(settlementDate, new QuoteHandle(flatRate), new Actual365Fixed()); var rhTermStructure = new RelinkableYieldTermStructureHandle(); rhTermStructure.linkTo(myTermStructure); // Define the ATM/OTM/ITM swaps var fixedLegTenor = new Period(1, TimeUnit.Years); const BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted; const BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing; DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Convention.European); var floatingLegTenor = new Period(6, TimeUnit.Months); const double dummyFixedRate = 0.03; IborIndex indexSixMonths = new Euribor6M(rhTermStructure); Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years, floatingLegConvention); Date maturity = calendar.advance(startDate, 5, TimeUnit.Years, floatingLegConvention); var fixedSchedule = new Schedule(startDate, maturity, fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false); var floatSchedule = new Schedule(startDate, maturity, floatingLegTenor, calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false); var swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0, fixedSchedule, dummyFixedRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); var swapEngine = new DiscountingSwapEngine(rhTermStructure); swap.setPricingEngine(swapEngine); double fixedAtmRate = swap.fairRate(); double fixedOtmRate = fixedAtmRate * 1.2; double fixedItmRate = fixedAtmRate * 0.8; var atmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedAtmRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); var otmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedOtmRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); var itmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0, fixedSchedule, fixedItmRate, fixedLegDayCounter, floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter()); atmSwap.setPricingEngine(swapEngine); otmSwap.setPricingEngine(swapEngine); itmSwap.setPricingEngine(swapEngine); // defining the swaptions to be used in model calibration var swaptionMaturities = new PeriodVector { new Period(1, TimeUnit.Years), new Period(2, TimeUnit.Years), new Period(3, TimeUnit.Years), new Period(4, TimeUnit.Years), new Period(5, TimeUnit.Years) }; var swaptions = new CalibrationHelperVector(); // List of times that have to be included in the timegrid var times = new DoubleVector(); for (int i = 0; i < NUM_ROWS; i++) { int j = NUM_COLS - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1 int k = i * NUM_COLS + j; Quote vol = new SimpleQuote(SWAPTION_VOLS[k]); var helper = new SwaptionHelper(swaptionMaturities[i], new Period(SWAP_LENGHTS[j], TimeUnit.Years), new QuoteHandle(vol), indexSixMonths, indexSixMonths.tenor(), indexSixMonths.dayCounter(), indexSixMonths.dayCounter(), rhTermStructure); swaptions.Add(helper); times.AddRange(helper.times()); } // Building time-grid var grid = new TimeGrid(times, 30); // defining the models // G2 modelG2 = new G2(rhTermStructure)); var modelHw = new HullWhite(rhTermStructure); var modelHw2 = new HullWhite(rhTermStructure); var modelBk = new BlackKarasinski(rhTermStructure); // model calibrations Console.WriteLine("Hull-White (analytic formulae) calibration"); foreach (CalibrationHelper calibrationHelper in swaptions) { NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new JamshidianSwaptionEngine(modelHw)); } CalibrateModel(modelHw, swaptions, 0.05); Console.WriteLine("Hull-White (numerical) calibration"); foreach (CalibrationHelper calibrationHelper in swaptions) { NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelHw2, grid)); } CalibrateModel(modelHw2, swaptions, 0.05); Console.WriteLine("Black-Karasinski (numerical) calibration"); foreach (CalibrationHelper calibrationHelper in swaptions) { NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelBk, grid)); } CalibrateModel(modelBk, swaptions, 0.05); // ATM Bermudan swaption pricing Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)", fixedAtmRate); var bermudanDates = new DateVector(); var schedule = new Schedule(startDate, maturity, new Period(3, TimeUnit.Months), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false); for (uint i = 0; i < schedule.size(); i++) { bermudanDates.Add(schedule.date(i)); } Exercise bermudaExercise = new BermudanExercise(bermudanDates); var bermudanSwaption = new Swaption(atmSwap, bermudaExercise); bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50)); Console.WriteLine("HW: " + bermudanSwaption.NPV()); bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50)); Console.WriteLine("HW (num): " + bermudanSwaption.NPV()); bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50)); Console.WriteLine("BK (num): " + bermudanSwaption.NPV()); DateTime endTime = DateTime.Now; TimeSpan delta = endTime - startTime; Console.WriteLine(); Console.WriteLine("Run completed in {0} s", delta.TotalSeconds); Console.WriteLine(); }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionHelper obj) { return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr; }