public void Go() { _initialGuess = new DenseVector(_p.NumberOfExpiries * _p.NumberOfTenors); double initialGuess = _p.AverageSwaptionImpliedVolatility; if (initialGuess == 0) { initialGuess = _p.AverageCapletImpliedVolatility; } if (initialGuess == 0) { throw new Exception("The selected time range does not include any calibration targets."); } if (_objective.ExpForm) { for (var i = 0; i < _initialGuess.Count; i++) { _initialGuess[i] = Math.Log(initialGuess) / 20; } } else { for (var i = 0; i < _initialGuess.Count; i++) { _initialGuess[i] = initialGuess; } } var sw = new StopWatch(); _objective.StartOtherThreads(); var solution = BfgsSolver.Solve(_initialGuess, _f, _g); _objective.Finished = true; sw.Stop(); TimeSpan ts = sw.GetElapsedTime(); Pedersen.Write($" Value x: {solution[0]}\n", "cal"); _objective.OutputResult(solution); Pedersen.Write($" Process Time: {ts.Hours:d2}:{ts.Minutes:d2}:{ts.Seconds:d2}:{ts.Milliseconds:d3}\n", "cal"); }
public double Go() { _discount = _economy.Discount; _xi = _economy.Xi; if (_xi == null) { throw new Exception("Run Calibrator first!"); } _shift = _economy.Shift; SetV(_param.UnderlyingExpiry, _param.UnderlyingTenor); if (Derivative == Derivative.Custom) { Payoff = new PayoffParser(_economy, PayoffFunction); } double temp = 0; double temp2 = 0; var p = new[] { Exp, Ten }; double k = SetStrike(p); for (int i = 0; i < Iterate; i++) { if (i % 100 == 0) { Pedersen.WriteRange($"Iteration # {i}"); } Simulate(_param.UnderlyingExpiry, _param.UnderlyingTenor); double c = FindPayoff(p, k); temp += c; temp2 += c * c; } double actual = Notional * FindTheoretical(p, k); double mean = Notional * temp / Iterate; double sd = Notional * Math.Sqrt((temp2 / Iterate - (temp / Iterate) * (temp / Iterate)) / (Iterate - 1.0)); double error = (mean - actual) / sd; if (Derivative == Derivative.Caplet) { Pedersen.Write($"Caplet: {Exp}, ", "sim"); } else if (Derivative == Derivative.Swaption) { Pedersen.Write($"Swaption: ({Exp}, {Ten}), ", "sim"); } if (actual == 0) { Pedersen.Write($"Notional: {Notional}, Iterations: {Iterate}\n", "sim"); Pedersen.Write("Theoretical: N/A\n", "sim"); Pedersen.Write($"Sim Average: {mean}\n", "sim"); Pedersen.Write($"Sim Std.Dev: {sd}\n", "sim"); Pedersen.Write("Error / S.D: N/A\n", "sim"); } else { Pedersen.Write($"Notional: {Notional}, Iterations: {Iterate}\n", "sim"); Pedersen.Write($"Theoretical: {actual}\n", "sim"); Pedersen.Write($"Sim Average: {mean}\n", "sim"); Pedersen.Write($"Sim Std.Dev: {sd}\n", "sim"); Pedersen.Write($"Error / S.D: {error}\n", "sim"); } return(mean); }