public EstimationResult Estimate(System.Collections.Generic.List<object> marketData, IEstimationSettings settings = null, IController controller = null, System.Collections.Generic.Dictionary<string, object> properties = null) { CurveMarketData discountingCurve = (CurveMarketData)marketData[0]; CallPriceMarketData Hdataset = (CallPriceMarketData)marketData[1]; //gets the settings calibrationSettings = settings as DupireCalibrationSettings; //return this.FairmatEstimate(discountingCurve, Hdataset); // Removed quantlib estimate, it does not work correctly switch (calibrationSettings.LocalVolatilityCalculation) { case LocalVolatilityCalculation.Method1: return this.FairmatEstimate(discountingCurve, Hdataset); case LocalVolatilityCalculation.QuantLib: return QuantLibEstimate(discountingCurve, Hdataset); default: throw new NotImplementedException("Method not implemented"); } }
public EstimationResult Estimate(System.Collections.Generic.List <object> marketData, IEstimationSettings settings = null, IController controller = null, System.Collections.Generic.Dictionary <string, object> properties = null) { CurveMarketData discountingCurve = (CurveMarketData)marketData[0]; CallPriceMarketData Hdataset = (CallPriceMarketData)marketData[1]; //gets the settings calibrationSettings = settings as DupireCalibrationSettings; //return this.FairmatEstimate(discountingCurve, Hdataset); // Removed quantlib estimate, it does not work correctly switch (calibrationSettings.LocalVolatilityCalculation) { case LocalVolatilityCalculation.Method1: return(this.FairmatEstimate(discountingCurve, Hdataset)); case LocalVolatilityCalculation.QuantLib: return(QuantLibEstimate(discountingCurve, Hdataset)); default: throw new NotImplementedException("Method not implemented"); } }
public void TestCalibration() { InterestRateMarketData IData = InterestRateMarketData.FromFile("../../TestData/IRMD-sample.xml"); CallPriceMarketData HData = CallPriceMarketData.FromFile("../../TestData/CallData-sample.xml"); //InterestRateMarketData IData = InterestRateMarketData.FromFile("../../../EquityModels.Tests/TestData/IRMD-EU-30102012-close.xml"); //CallPriceMarketData HData = CallPriceMarketData.FromFile("../../../EquityModels.Tests/TestData/30102012-SX5E_Index-HestonData.xml"); //CallPriceMarketData HData = ObjectSerialization.ReadFromXMLFile("../../../EquityModels.Tests/TestData/FTSE.xml") as CallPriceMarketData; List <object> l = new List <object>(); l.Add(IData.DiscountingCurve); l.Add(HData); DupireEstimator DE = new DupireEstimator(); DupireCalibrationSettings settings = new DupireCalibrationSettings(); settings.LocalVolatilityCalculation = LocalVolatilityCalculation.Method1; //settings.LocalVolatilityCalculation = LocalVolatilityCalculation.QuantLib; EstimationResult res = DE.Estimate(l, settings); //int nmat = HData.Maturity.Length; //int nstrike = HData.Strike.Length; int i = 5; // Maturity. int j = 4; // Strike. Engine.MultiThread = true; Document doc = new Document(); ProjectROV rov = new ProjectROV(doc); doc.Part.Add(rov); doc.DefaultProject.NMethods.m_UseAntiteticPaths = true; int n_sim = 10000; int n_steps = 500; double strike = HData.Strike[j]; //double volatility = HData.Volatility[i, j]; /* * PFunction2D.PFunction2D impvolfunc = new PFunction2D.PFunction2D(rov); * impvolfunc = res.Objects[3] as PFunction2D.PFunction2D; * impvolfunc.VarName = "impvol"; * rov.Symbols.Add(impvolfunc); * double volatility = impvolfunc.Evaluate(HData.Maturity[i], HData.Strike[j]); */ double volatility = 0.2; double maturity = HData.Maturity[i]; ModelParameter Pstrike = new ModelParameter(strike, string.Empty, "strike"); rov.Symbols.Add(Pstrike); AFunction payoff = new AFunction(rov); payoff.VarName = "payoff"; payoff.m_IndependentVariables = 1; payoff.m_Value = (RightValue)("max(x1 - strike ; 0)"); rov.Symbols.Add(payoff); bool found; double S0 = PopulateHelper.GetValue("S0", res.Names, res.Values, out found); ModelParameter PS0 = new ModelParameter(S0, string.Empty, "S0"); rov.Symbols.Add(PS0); PFunction rfunc = new PFunction(rov); rfunc = res.Objects[0] as PFunction; rfunc.VarName = "r"; rov.Symbols.Add(rfunc); PFunction qfunc = new PFunction(rov); qfunc = res.Objects[1] as PFunction; qfunc.VarName = "q"; rov.Symbols.Add(qfunc); PFunction2D.PFunction2D volfunc = new PFunction2D.PFunction2D(rov); volfunc = res.Objects[2] as PFunction2D.PFunction2D; volfunc.VarName = "localvol"; rov.Symbols.Add(volfunc); DupireProcess process = new DupireProcess(); process.s0 = (ModelParameter)"S0"; process.r = (ModelParameter)"@r"; process.q = (ModelParameter)"@q"; process.localVol = (ModelParameter)"@localvol"; double rate = rfunc.Evaluate(maturity); double dy = qfunc.Evaluate(maturity); StochasticProcessExtendible s = new StochasticProcessExtendible(rov, process); rov.Processes.AddProcess(s); // Set the discounting. RiskFreeInfo rfi = rov.GetDiscountingModel() as RiskFreeInfo; rfi.ActualizationType = EActualizationType.RiskFree; rfi.m_deterministicRF = rate; OptionTree op = new OptionTree(rov); op.PayoffInfo.PayoffExpression = "payoff(v1)"; op.PayoffInfo.Timing.EndingTime.m_Value = (RightValue)maturity; op.PayoffInfo.European = true; rov.Map.Root = op; rov.NMethods.Technology = ETechType.T_SIMULATION; rov.NMethods.PathsNumber = n_sim; rov.NMethods.SimulationSteps = n_steps; ROVSolver solver = new ROVSolver(); solver.BindToProject(rov); solver.DoValuation(-1); if (rov.HasErrors) { rov.DisplayErrors(); } Assert.IsFalse(rov.HasErrors); ResultItem price = rov.m_ResultList[0] as ResultItem; double samplePrice = price.value; double sampleDevSt = price.stdDev / Math.Sqrt((double)n_sim); Console.WriteLine("Surf = " + volfunc.Expr); // Calculation of the theoretical value of the call. double theoreticalPrice = BlackScholes.Call(rate, S0, strike, volatility, maturity, dy); Console.WriteLine("Theoretical Price = " + theoreticalPrice.ToString()); Console.WriteLine("Monte Carlo Price = " + samplePrice); Console.WriteLine("Standard Deviation = " + sampleDevSt.ToString()); double tol = 4.0 * sampleDevSt; doc.WriteToXMLFile("Dupire.fair"); Assert.LessOrEqual(Math.Abs(theoreticalPrice - samplePrice), tol); }