public DVPLI.EstimationResult Estimate(List <object> data, DVPLI.IEstimationSettings settings = null, DVPLI.IController controller = null, Dictionary <string, object> properties = null)
{
DVPLI.InterestRateMarketData irmd = data[0] as DVPLI.InterestRateMarketData;
//Date today = new Date(15, Month.February, 2002);
//Date settlement = new Date(19, Month.February, 2002);
Settings.setEvaluationDate(irmd.Date);
Handle <YieldTermStructure> termStructure = new Handle <YieldTermStructure>(new Utilities.ZeroRateFunction(irmd.Date, irmd.ZRMarketDates, irmd.ZRMarket));
//termStructure.link
HullWhite model = new HullWhite(termStructure);
IborIndex index = new Euribor6M(termStructure);
IPricingEngine engine = new JamshidianSwaptionEngine(model);
List <CalibrationHelper> swaptions = new List <CalibrationHelper>();
for (int i = 0; i < irmd.SwapDates.Length; i++)
{
for (int j = 0; j < irmd.SwapDuration.Length; j++)
{
Quote vol = new SimpleQuote(irmd.SwaptionsVolatility[j, i]);
CalibrationHelper helper =
new SwaptionHelper(new Period((int)irmd.SwapDates[i], TimeUnit.Years),
new Period((int)irmd.SwapDuration[j], TimeUnit.Years),
new Handle <Quote>(vol),
index,
new Period(1, TimeUnit.Years),
new Thirty360(),
new Actual360(),
termStructure,
false);
helper.setPricingEngine(engine);
swaptions.Add(helper);
}
}
// Set up the optimization problem
LevenbergMarquardt optimizationMethod = new LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8);
EndCriteria endCriteria = new EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8);
//Optimize
model.calibrate(swaptions, optimizationMethod, endCriteria, new Constraint(), new List <double>());
EndCriteria.Type ecType = model.endCriteria();
Vector xMinCalculated = model.parameters();
double yMinCalculated = model.value(xMinCalculated, swaptions);
Vector xMinExpected = new Vector(2);
double yMinExpected = model.value(xMinExpected, swaptions);
DVPLI.EstimationResult r = new DVPLI.EstimationResult(new string[] { "Alpha", "Sigma" }, new double[] { xMinCalculated[0], xMinCalculated[1] });
return(r);
}
public DVPLI.EstimateRequirement[] GetRequirements(DVPLI.IEstimationSettings settings, DVPLI.EstimateQuery query)
{
return(new DVPLI.EstimateRequirement[] { new DVPLI.EstimateRequirement(typeof(DVPLI.InterestRateMarketData)) });
}
