public double StaticNS3FactorModelObjfun(double[] para)
{
var sns3factor = new StaticNS3FactorModel();
sns3factor.beta1 = para[0];
sns3factor.beta2 = para[1];
sns3factor.beta3 = para[2];
sns3factor.lambda = para[3];
sns3factor.tau = maturities;
var modelyields = sns3factor.GetYield();
var error = 0.0;
if (checkpara(sns3factor) == false)
{
error = 9999999999999999.99;
}
else
{
for (int i = 0; i < yields.Length; i++)
{
var temperror = (modelyields[i] - yields[i]);
error = error + temperror * temperror;
}
}
return(error);
}
public bool checkpara(StaticNS3FactorModel n3factor)
{
var result = true;
if (n3factor.beta1 + n3factor.beta2 <= 0)
{
result = false;
}
return(result);
}
public double[] CalculateModelOutput(double[] tau, double[] para)
{
var sns3factor = new StaticNS3FactorModel();
sns3factor.beta1 = para[0];
sns3factor.beta2 = para[1];
sns3factor.beta3 = para[2];
sns3factor.lambda = para[3];
sns3factor.tau = tau;
var modelyields = sns3factor.GetYield();
return(modelyields);
}
