public void Test()
{
double k = 1.0;
double theta = 0.02;
double sigma = 0.08;
double r0 = 0.01;
Vector par = new Vector(3);
par[0] = k;
par[1] = theta;
par[2] = sigma;
double strike = 0.98;
double noz = 100.0;
double T = 1.0;
double S = 2.0;
double callFairmat = noz * CIRCap.BondCall(r0, 0.0, T, S, strike, par);
double callBenchmark = 0.317304505282290;
Console.WriteLine("CallFairmat = " + callFairmat);
Console.WriteLine("CallBenchmark = " + callBenchmark);
double maxError = 1e-10;
Assert.Less(Math.Abs(callFairmat - callBenchmark), maxError);
}
/// <summary>
/// Calibration objective function:
/// squared difference between black caps and Cox-Ingersoll-Ross caps.
/// </summary>
/// <param name='x'>
/// The tested [kappa, theta, sigma] vector.
/// </param>
/// <returns>
/// The distance (using the L2 norm) between
/// black Caps and the Cox-Ingersoll-Ross Caps.
/// </returns>
public double Obj(DVPLI.Vector x)
{
Matrix cirCapMatrix = CIRCap.CIRCapMatrix(this.capMaturity, this.capRate,
this.tau, this.r0, x);
double sum = 0;
for (int r = 0; r < cirCapMatrix.R; r++)
{
for (int c = 0; c < cirCapMatrix.C; c++)
{
if (this.blackCaps[r, c] != 0.0)
{
sum += Math.Pow(cirCapMatrix[r, c] - this.blackCaps[r, c], 2);
}
}
}
return(Math.Sqrt(sum));
}