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public abstract minimize ( |
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| P | ||
| endCriteria | QLNet.EndCriteria | |
| return | EndCriteria.Type | |
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List <CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
Constraint additionalConstraint, List <double> weights)
{
if (!(weights.Count == 0 || weights.Count == instruments.Count))
{
throw new ApplicationException("mismatch between number of instruments and weights");
}
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights;
CalibrationFunction f = new CalibrationFunction(this, instruments, w);
Problem prob = new Problem(f, c, parameters());
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(result);
// recheck
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List <CalibrationHelper> instruments,
OptimizationMethod method,
EndCriteria endCriteria,
Constraint additionalConstraint = null,
List <double> weights = null,
List <bool> fixParameters = null)
{
if (weights == null)
{
weights = new List <double>();
}
if (additionalConstraint == null)
{
additionalConstraint = new Constraint();
}
Utils.QL_REQUIRE(weights.empty() || weights.Count == instruments.Count, () =>
"mismatch between number of instruments (" +
instruments.Count + ") and weights(" +
weights.Count + ")");
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights;
Vector prms = parameters();
List <bool> all = new InitializedList <bool>(prms.size(), false);
Projection proj = new Projection(prms, fixParameters ?? all);
CalibrationFunction f = new CalibrationFunction(this, instruments, w, proj);
ProjectedConstraint pc = new ProjectedConstraint(c, proj);
Problem prob = new Problem(f, pc, proj.project(prms));
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(proj.include(result));
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
//CalibrationFunction f = new CalibrationFunction(this, instruments, w);
//Problem prob = new Problem(f, c, parameters());
//shortRateEndCriteria_ = method.minimize(prob, endCriteria);
//Vector result = new Vector(prob.currentValue());
//setParams(result);
//// recheck
//Vector shortRateProblemValues_ = prob.values(result);
//notifyObservers();
}
//! Solve least square problem using numerix solver
public Vector perform(ref LeastSquareProblem lsProblem)
{
double eps = accuracy_;
// wrap the least square problem in an optimization function
LeastSquareFunction lsf = new LeastSquareFunction(lsProblem);
// define optimization problem
Problem P = new Problem(lsf, c_, initialValue_);
// minimize
EndCriteria ec = new EndCriteria(maxIterations_, Math.Min(maxIterations_ / 2, 100), eps, eps, eps);
exitFlag_ = (int)om_.minimize(P, ec);
results_ = P.currentValue();
resnorm_ = P.functionValue();
bestAccuracy_ = P.functionValue();
return(results_);
}
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
Constraint additionalConstraint, List<double> weights)
{
if (!(weights.Count == 0 || weights.Count == instruments.Count))
throw new ApplicationException("mismatch between number of instruments and weights");
Constraint c;
if (additionalConstraint.empty())
c = constraint_;
else
c = new CompositeConstraint(constraint_,additionalConstraint);
List<double> w = weights.Count == 0 ? new InitializedList<double>(instruments.Count, 1.0): weights;
CalibrationFunction f = new CalibrationFunction(this, instruments, w);
Problem prob = new Problem(f, c, parameters());
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(result);
// recheck
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}