/// <summary>
/// Attempts a calibration through <see cref="CapsCIROptimizationProblem"/>
/// using caps matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">A controller used for the optimization process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List<object> data, IEstimationSettings settings = null, IController controller = null, Dictionary<string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
// Creates the context.
Document doc = new Document();
ProjectROV prj = new ProjectROV(doc);
doc.Part.Add(prj);
CapCIROptimizationProblem problem = new CapCIROptimizationProblem(dataset);
IOptimizationAlgorithm solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 50;
o.MaxIter = 50;
o.Verbosity = 1;
o.Parallel = false;
o.controller = controller;
SolutionInfo solution = null;
Vector x0 = new Vector(new double[] { 1, 0.01, 0.05 });
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
o.epsilon = 10e-10;
o.h = 10e-10;
o.MaxIter = 1000;
if (solution != null)
solution = solver2.Minimize(problem, o, solution.x);
else
solution = solver2.Minimize(problem, o, x0);
if (solution.errors)
return new EstimationResult(solution.message);
Console.WriteLine("Solution:");
Console.WriteLine(solution);
string[] names = CIR.parameterNames;
Vector values = new Vector(4);
values[Range.New(0, 2)] = solution.x;
values[3] = problem.r0;
EstimationResult result = new EstimationResult(names, values);
return result;
}
/// <summary>
/// Attempts a calibration through <see cref="CapsCIROptimizationProblem"/>
/// using caps matrices.
/// </summary>
/// <param name="data">The data to be used in order to perform the calibration.</param>
/// <param name="settings">The parameter is not used.</param>
/// <param name="controller">A controller used for the optimization process.</param>
/// <returns>The results of the calibration.</returns>
public EstimationResult Estimate(List <object> data, IEstimationSettings settings = null, IController controller = null, Dictionary <string, object> properties = null)
{
InterestRateMarketData dataset = data[0] as InterestRateMarketData;
// Creates the context.
Document doc = new Document();
ProjectROV prj = new ProjectROV(doc);
doc.Part.Add(prj);
CapCIROptimizationProblem problem = new CapCIROptimizationProblem(dataset);
IOptimizationAlgorithm solver = new QADE();
IOptimizationAlgorithm solver2 = new SteepestDescent();
DESettings o = new DESettings();
o.NP = 50;
o.MaxIter = 50;
o.Verbosity = 1;
o.Parallel = false;
o.controller = controller;
SolutionInfo solution = null;
Vector x0 = new Vector(new double[] { 1, 0.01, 0.05 });
solution = solver.Minimize(problem, o, x0);
if (solution.errors)
{
return(new EstimationResult(solution.message));
}
o.epsilon = 10e-10;
o.h = 10e-10;
o.MaxIter = 1000;
if (solution != null)
{
solution = solver2.Minimize(problem, o, solution.x);
}
else
{
solution = solver2.Minimize(problem, o, x0);
}
if (solution.errors)
{
return(new EstimationResult(solution.message));
}
Console.WriteLine("Solution:");
Console.WriteLine(solution);
string[] names = CIR.parameterNames;
Vector values = new Vector(4);
values[Range.New(0, 2)] = solution.x;
values[3] = problem.r0;
EstimationResult result = new EstimationResult(names, values);
return(result);
}