//* calibration of shift*/
private double calibrationOfShift(double Rs)
{
if (Rs.IsNotEqual(tmpRs_))
{
double initialGuess;
double N = 0;
double D = 0;
for (int i = 0; i < accruals_.Count; i++)
{
N += accruals_[i] * swapPaymentDiscounts_[i];
D += accruals_[i] * swapPaymentDiscounts_[i] * shapedSwapPaymentTimes_[i];
}
N *= Rs;
D *= Rs;
N += accruals_.Last() * swapPaymentDiscounts_.Last() - objectiveFunction_.gFunctionWithShifts().discountAtStart_;
D += accruals_.Last() * swapPaymentDiscounts_.Last() * shapedSwapPaymentTimes_.Last();
initialGuess = N / D;
objectiveFunction_.setSwapRateValue(Rs);
Newton solver = new Newton();
solver.setMaxEvaluations(1000);
// these boundaries migth not be big enough if the volatility
// of big swap rate values is too high . In this case the G function
// is not even integrable, so better to fix the vol than increasing
// these values
double lower = -20;
double upper = 20.0;
try
{
calibratedShift_ = solver.solve(objectiveFunction_, accuracy_, Math.Max(Math.Min(initialGuess, upper * .99), lower * .99), lower, upper);
}
catch (Exception e)
{
Utils.QL_FAIL("meanReversion: " + meanReversion_.link.value() + ", swapRateValue: " + swapRateValue_ + ", swapStartTime: " + swapStartTime_ + ", shapedPaymentTime: " + shapedPaymentTime_ + "\n error message: " + e.Message);
}
tmpRs_ = Rs;
}
return(calibratedShift_);
}
//* calibration of shift*/
private double calibrationOfShift(double Rs) {
if (Rs != tmpRs_) {
double initialGuess;
double N = 0;
double D = 0;
for (int i = 0; i < accruals_.Count; i++) {
N += accruals_[i] * swapPaymentDiscounts_[i];
D += accruals_[i] * swapPaymentDiscounts_[i] * shapedSwapPaymentTimes_[i];
}
N *= Rs;
D *= Rs;
N += accruals_.Last() * swapPaymentDiscounts_.Last() - objectiveFunction_.gFunctionWithShifts().discountAtStart_;
D += accruals_.Last() * swapPaymentDiscounts_.Last() * shapedSwapPaymentTimes_.Last();
initialGuess = N / D;
objectiveFunction_.setSwapRateValue(Rs);
Newton solver = new Newton();
solver.setMaxEvaluations(1000);
// these boundaries migth not be big enough if the volatility
// of big swap rate values is too high . In this case the G function
// is not even integrable, so better to fix the vol than increasing
// these values
double lower = -20;
double upper = 20.0;
try {
calibratedShift_ = solver.solve(objectiveFunction_, accuracy_, Math.Max(Math.Min(initialGuess, upper * .99), lower * .99), lower, upper);
} catch (Exception e) {
throw new ApplicationException("meanReversion: " + meanReversion_.link.value() + ", swapRateValue: " + swapRateValue_ + ", swapStartTime: " + swapStartTime_ + ", shapedPaymentTime: " + shapedPaymentTime_ + "\n error message: " + e.Message);
}
tmpRs_ = Rs;
}
return calibratedShift_;
}