internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CapHelper obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
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);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CapHelper obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
