/// <summary>
/// Method for calibrating the heston model.
/// </summary>
/// <param name="guessModelParameters">Object implementing IHestonModelParameters interface containing the risk-free rate, initial stock price
/// and initial guess parameters to be used in the calibration.</param>
/// <param name="referenceData">A collection of objects implementing IOptionMarketData<IEuropeanOption> interface. These should contain the reference data used for calibration.</param>
/// <param name="calibrationSettings">An object implementing ICalibrationSettings interface.</param>
/// <returns>Object implementing IHestonCalibrationResult interface which contains calibrated model parameters and additional diagnostic information</returns>
public static IHestonCalibrationResult CalibrateHestonParameters(IHestonModelParameters guessModelParameters,
IEnumerable <IOptionMarketData <IEuropeanOption> > referenceData,
ICalibrationSettings calibrationSettings)
{
HestonCalibrator calibrator = new HestonCalibrator(guessModelParameters.RiskFreeRate,
guessModelParameters.InitialStockPrice,
calibrationSettings.Accuracy,
calibrationSettings.MaximumNumberOfIterations);
calibrator.SetGuessParameters(guessModelParameters.VarianceParameters.V0,
guessModelParameters.VarianceParameters.Kappa,
guessModelParameters.VarianceParameters.Theta,
guessModelParameters.VarianceParameters.Rho,
guessModelParameters.VarianceParameters.Sigma);
foreach (IOptionMarketData <IEuropeanOption> M in referenceData)
{
calibrator.AddObservedOption(M.Option.StrikePrice, M.Option.Maturity, M.Price);
}
calibrator.Calibrate();
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
var calibratedModel = calibrator.GetCalibratedModel();
Console.WriteLine("Calibration outcome: {0} and error: {1}", outcome, error);
return(new HestonCalibrationResult(outcome, error, new HestonParametersGrading(guessModelParameters.InitialStockPrice, guessModelParameters.RiskFreeRate,
calibratedModel.GetK(), calibratedModel.GetTheta(), calibratedModel.GetSigma(), calibratedModel.GetRho(), calibratedModel.GetNv())));
/*foreach (CalibrationOutcome MinimizerStatus in sss)*/
/*object[,] ansTable =*/
}
/// <summary>
/// Method for calibrating the heston model.
/// </summary>
/// <param name="guessModelParameters">Object implementing IHestonModelParameters interface containing the risk-free rate, initial stock price
/// and initial guess parameters to be used in the calibration.</param>
/// <param name="referenceData">A collection of objects implementing IOptionMarketData<IEuropeanOption> interface. These should contain the reference data used for calibration.</param>
/// <param name="calibrationSettings">An object implementing ICalibrationSettings interface.</param>
/// <returns>Object implementing IHestonCalibrationResult interface which contains calibrated model parameters and additional diagnostic information</returns>
public static IHestonCalibrationResult CalibrateHestonParameters(IHestonModelParameters guessModelParameters, IEnumerable <IOptionMarketData <IEuropeanOption> > referenceData, ICalibrationSettings calibrationSettings)
{
try
{
// Copy Linked List
LinkedList <OptionMarketData <EuropeanOption> > data =
new LinkedList <OptionMarketData <EuropeanOption> >();
foreach (OptionMarketData <IEuropeanOption> marketData in referenceData)
{
OptionMarketData <EuropeanOption> newMarketData =
new OptionMarketData <EuropeanOption>((EuropeanOption)marketData.Option, marketData.Price);
data.AddLast(newMarketData);
}
// Heston Calibrator
HestonCalibrator calibrator =
new HestonCalibrator((HestonModelParameters)guessModelParameters,
data,
(CalibrationSettings)calibrationSettings);
// Calibration procedure
calibrator.Calibrate();
// Retrieve outcome
double error = 0;
CalibrationOutcome outcome = CalibrationOutcome.NotStarted;
calibrator.GetCalibrationStatus(ref outcome, ref error);
HestonModelParameters parameters = calibrator.GetCalibratedModel();
// Form calibration result object
HestonCalibrationResult result = new HestonCalibrationResult(error, outcome, parameters);
return(result);
}
catch (Exception ex)
{
throw ex;
}
}
