public double ObjFun(Vector <double> x) { var xMatrix = VecToMat(x); PopulateXi(xMatrix); double temp = Bound(x); if (temp > 0 && !ExpForm) { return(temp); } if (_param.NumberOfCaplets > 0) { temp += CWeight * QOFCplt(); } if (_param.NumberOfSwaptions > 0) { temp += SWeight * QOFSwpn(); } temp += HWeight * SmoothH(xMatrix) + VWeight * SmoothV(xMatrix); FunctionValue = temp; _iterationCount++; Pedersen.WriteRange(1, 1, $"{_iterationCount}, {temp:f9}, {_hit}"); return(temp); }
public double Go() { _discount = _economy.Discount; _xi = _economy.Xi; if (_xi == null) { throw new Exception("Run Calibrator first!"); } _shift = _economy.Shift; SetV(_param.UnderlyingExpiry, _param.UnderlyingTenor); if (Derivative == Derivative.Custom) { Payoff = new PayoffParser(_economy, PayoffFunction); } double temp = 0; double temp2 = 0; var p = new[] { Exp, Ten }; double k = SetStrike(p); for (int i = 0; i < Iterate; i++) { if (i % 100 == 0) { Pedersen.WriteRange($"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); }