/// <summary>
/// Gradient Function
/// </summary>
/// <param name="inputVolVec"></param>
/// <returns></returns>
public Vector <double> ObjGrad(Vector <double> inputVolVec)
{
_taskCounter = new TaskCounter();
_grad = new DenseVector(inputVolVec.Count);
var result = new DenseVector(inputVolVec.Count);
_currentInput = new DenseVector(inputVolVec.Count);
inputVolVec.CopyTo(_currentInput);
_gradPhase = true;
EvaluateGrad();
_grad.CopyTo(result);
return(result);
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="targets">Calibration targets containing swaption and caplet data</param>
/// <param name="timeGrid">Time discretisation</param>
/// <param name="volatilities">Volatility to be calibrated</param>
/// <param name="parameters">Calibration parameter settings</param>
public CalibrationObjective(CalibrationTargets targets, PedersenTimeGrid timeGrid,
InterestRateVolatilities volatilities, CalibrationSettings parameters)
{
Finished = false;
_gradPhase = false;
_iterationCounter = 0;
_taskCounter = new TaskCounter();
//_currentInput = new DenseVector(0);
_targets = targets;
_timeGrid = timeGrid;
_volatilities = volatilities;
_parameters = parameters;
_hFactor = 1.0 / (_timeGrid.ExpiryCount * (_timeGrid.TenorCount - 1));
_vFactor = 1.0 / ((_timeGrid.ExpiryCount - 1) * _timeGrid.TenorCount);
_sFactor = 1.0 / _targets.SwaptionCount;
_cFactor = 1.0 / _targets.CapletCount;
}
