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(***************************************************************************)
(* Copyright (C) 2000-2013 LexiFi SAS. All rights reserved. *)
(* *)
(* This program is free software: you can redistribute it and/or modify *)
(* it under the terms of the GNU General Public License as published *)
(* by the Free Software Foundation, either version 3 of the License, *)
(* or (at your option) any later version. *)
(* *)
(* This program is distributed in the hope that it will be useful, *)
(* but WITHOUT ANY WARRANTY; without even the implied warranty of *)
(* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the *)
(* GNU General Public License for more details. *)
(* *)
(* You should have received a copy of the GNU General Public License *)
(* along with this program. If not, see <http://www.gnu.org/licenses/>. *)
(***************************************************************************)
open G2pp_calibration
open Date
let swaption_quotes =
[|
{swaption_maturity_in_year = 1; swap_term_in_year = 1; swap_frequency = Freq_6M}, 1.052;
{swaption_maturity_in_year = 2; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.81485;
{swaption_maturity_in_year = 3; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.6165;
{swaption_maturity_in_year = 4; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.46995;
{swaption_maturity_in_year = 5; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.38295;
{swaption_maturity_in_year = 6; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.3325;
{swaption_maturity_in_year = 7; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.3016;
{swaption_maturity_in_year = 8; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.2815;
{swaption_maturity_in_year = 9; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.26435;
{swaption_maturity_in_year = 10; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.2496;
{swaption_maturity_in_year = 15; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.2516;
{swaption_maturity_in_year = 20; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.28835;
{swaption_maturity_in_year = 25; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.27155;
{swaption_maturity_in_year = 30; swap_term_in_year = 1; swap_frequency = Freq_6M}, 0.23465;
{swaption_maturity_in_year = 1; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.61445;
{swaption_maturity_in_year = 2; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.54805;
{swaption_maturity_in_year = 3; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.46795;
{swaption_maturity_in_year = 4; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.3919;
{swaption_maturity_in_year = 5; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.3434;
{swaption_maturity_in_year = 6; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.3083;
{swaption_maturity_in_year = 7; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.28655;
{swaption_maturity_in_year = 8; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.2697;
{swaption_maturity_in_year = 9; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.25775;
{swaption_maturity_in_year = 10; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.2443;
{swaption_maturity_in_year = 15; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.26495;
{swaption_maturity_in_year = 20; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.28195;
{swaption_maturity_in_year = 25; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.26845;
{swaption_maturity_in_year = 30; swap_term_in_year = 2; swap_frequency = Freq_6M}, 0.20995;
{swaption_maturity_in_year = 1; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.5835;
{swaption_maturity_in_year = 2; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.49255;
{swaption_maturity_in_year = 3; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.42825;
{swaption_maturity_in_year = 4; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.3695;
{swaption_maturity_in_year = 5; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.329;
{swaption_maturity_in_year = 6; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.3022;
{swaption_maturity_in_year = 7; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.28165;
{swaption_maturity_in_year = 8; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.26615;
{swaption_maturity_in_year = 9; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.25485;
{swaption_maturity_in_year = 10; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.24375;
{swaption_maturity_in_year = 15; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.2718;
{swaption_maturity_in_year = 20; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.28135;
{swaption_maturity_in_year = 25; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.26865;
{swaption_maturity_in_year = 30; swap_term_in_year = 3; swap_frequency = Freq_6M}, 0.2131;
{swaption_maturity_in_year = 1; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.5415;
{swaption_maturity_in_year = 2; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.46235;
{swaption_maturity_in_year = 3; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.403;
{swaption_maturity_in_year = 4; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.3559;
{swaption_maturity_in_year = 5; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.3232;
{swaption_maturity_in_year = 6; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.29675;
{swaption_maturity_in_year = 7; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.27715;
{swaption_maturity_in_year = 8; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.26385;
{swaption_maturity_in_year = 9; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.254;
{swaption_maturity_in_year = 10; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.2454;
{swaption_maturity_in_year = 15; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.27845;
{swaption_maturity_in_year = 20; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.2821;
{swaption_maturity_in_year = 25; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.2678;
{swaption_maturity_in_year = 30; swap_term_in_year = 4; swap_frequency = Freq_6M}, 0.2131;
{swaption_maturity_in_year = 1; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.517;
{swaption_maturity_in_year = 2; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.446;
{swaption_maturity_in_year = 3; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.3903;
{swaption_maturity_in_year = 4; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.34755;
{swaption_maturity_in_year = 5; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.3166;
{swaption_maturity_in_year = 6; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.29305;
{swaption_maturity_in_year = 7; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.2745;
{swaption_maturity_in_year = 8; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.2639;
{swaption_maturity_in_year = 9; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.2534;
{swaption_maturity_in_year = 10; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.2499;
{swaption_maturity_in_year = 15; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.28315;
{swaption_maturity_in_year = 20; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.2825;
{swaption_maturity_in_year = 25; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.277;
{swaption_maturity_in_year = 30; swap_term_in_year = 5; swap_frequency = Freq_6M}, 0.21175;
{swaption_maturity_in_year = 1; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.478;
{swaption_maturity_in_year = 2; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.42105;
{swaption_maturity_in_year = 3; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.37715;
{swaption_maturity_in_year = 4; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.3378;
{swaption_maturity_in_year = 5; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.311;
{swaption_maturity_in_year = 6; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.2895;
{swaption_maturity_in_year = 7; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.2745;
{swaption_maturity_in_year = 8; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.264;
{swaption_maturity_in_year = 9; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.2573;
{swaption_maturity_in_year = 10; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.25475;
{swaption_maturity_in_year = 15; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.28815;
{swaption_maturity_in_year = 20; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.28195;
{swaption_maturity_in_year = 25; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.26015;
{swaption_maturity_in_year = 30; swap_term_in_year = 6; swap_frequency = Freq_6M}, 0.2097;
{swaption_maturity_in_year = 1; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.452;
{swaption_maturity_in_year = 2; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.4074;
{swaption_maturity_in_year = 3; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.368;
{swaption_maturity_in_year = 4; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.3307;
{swaption_maturity_in_year = 5; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.30645;
{swaption_maturity_in_year = 6; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.2877;
{swaption_maturity_in_year = 7; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.27475;
{swaption_maturity_in_year = 8; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.2664;
{swaption_maturity_in_year = 9; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.26155;
{swaption_maturity_in_year = 10; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.26035;
{swaption_maturity_in_year = 15; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.292;
{swaption_maturity_in_year = 20; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.2825;
{swaption_maturity_in_year = 25; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.25685;
{swaption_maturity_in_year = 30; swap_term_in_year = 7; swap_frequency = Freq_6M}, 0.2081;
{swaption_maturity_in_year = 1; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.43395;
{swaption_maturity_in_year = 2; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.39445;
{swaption_maturity_in_year = 3; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.35885;
{swaption_maturity_in_year = 4; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.3281;
{swaption_maturity_in_year = 5; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.30395;
{swaption_maturity_in_year = 6; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.28745;
{swaption_maturity_in_year = 7; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.2767;
{swaption_maturity_in_year = 8; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.27065;
{swaption_maturity_in_year = 9; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.26625;
{swaption_maturity_in_year = 10; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.26625;
{swaption_maturity_in_year = 15; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.2921;
{swaption_maturity_in_year = 20; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.2814;
{swaption_maturity_in_year = 25; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.25265;
{swaption_maturity_in_year = 30; swap_term_in_year = 8; swap_frequency = Freq_6M}, 0.2083;
{swaption_maturity_in_year = 1; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.42285;
{swaption_maturity_in_year = 2; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.3857;
{swaption_maturity_in_year = 3; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.3521;
{swaption_maturity_in_year = 4; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.3239;
{swaption_maturity_in_year = 5; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.30285;
{swaption_maturity_in_year = 6; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.2895;
{swaption_maturity_in_year = 7; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.2799;
{swaption_maturity_in_year = 8; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.27485;
{swaption_maturity_in_year = 9; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.2712;
{swaption_maturity_in_year = 10; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.27205;
{swaption_maturity_in_year = 15; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.29205;
{swaption_maturity_in_year = 20; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.27855;
{swaption_maturity_in_year = 25; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.24945;
{swaption_maturity_in_year = 30; swap_term_in_year = 9; swap_frequency = Freq_6M}, 0.219;
{swaption_maturity_in_year = 1; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.41765;
{swaption_maturity_in_year = 2; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.38095;
{swaption_maturity_in_year = 3; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.34795;
{swaption_maturity_in_year = 4; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.3217;
{swaption_maturity_in_year = 5; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.30365;
{swaption_maturity_in_year = 6; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2916;
{swaption_maturity_in_year = 7; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2842;
{swaption_maturity_in_year = 8; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.27985;
{swaption_maturity_in_year = 9; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2769;
{swaption_maturity_in_year = 10; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2775;
{swaption_maturity_in_year = 15; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.306;
{swaption_maturity_in_year = 20; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2763;
{swaption_maturity_in_year = 25; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.2458;
{swaption_maturity_in_year = 30; swap_term_in_year = 10; swap_frequency = Freq_6M}, 0.22;
{swaption_maturity_in_year = 1; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.37905;
{swaption_maturity_in_year = 2; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.35465;
{swaption_maturity_in_year = 3; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.33505;
{swaption_maturity_in_year = 4; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.31725;
{swaption_maturity_in_year = 5; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.3008;
{swaption_maturity_in_year = 6; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.29075;
{swaption_maturity_in_year = 7; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.28365;
{swaption_maturity_in_year = 8; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.2787;
{swaption_maturity_in_year = 9; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.27385;
{swaption_maturity_in_year = 10; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.2709;
{swaption_maturity_in_year = 15; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.2689;
{swaption_maturity_in_year = 20; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.24225;
{swaption_maturity_in_year = 25; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.2096;
{swaption_maturity_in_year = 30; swap_term_in_year = 15; swap_frequency = Freq_6M}, 0.18285;
{swaption_maturity_in_year = 1; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.37975;
{swaption_maturity_in_year = 2; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.3605;
{swaption_maturity_in_year = 3; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.3407;
{swaption_maturity_in_year = 4; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.321;
{swaption_maturity_in_year = 5; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.3063;
{swaption_maturity_in_year = 6; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.29315;
{swaption_maturity_in_year = 7; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.28395;
{swaption_maturity_in_year = 8; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.2777;
{swaption_maturity_in_year = 9; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.27205;
{swaption_maturity_in_year = 10; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.26675;
{swaption_maturity_in_year = 15; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.24875;
{swaption_maturity_in_year = 20; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.21735;
{swaption_maturity_in_year = 25; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.1939;
{swaption_maturity_in_year = 30; swap_term_in_year = 20; swap_frequency = Freq_6M}, 0.17205;
{swaption_maturity_in_year = 1; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.38115;
{swaption_maturity_in_year = 2; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.3627;
{swaption_maturity_in_year = 3; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.34425;
{swaption_maturity_in_year = 4; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.3222;
{swaption_maturity_in_year = 5; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.3084;
{swaption_maturity_in_year = 6; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.2941;
{swaption_maturity_in_year = 7; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.28285;
{swaption_maturity_in_year = 8; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.2751;
{swaption_maturity_in_year = 9; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.2663;
{swaption_maturity_in_year = 10; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.26055;
{swaption_maturity_in_year = 15; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.2338;
{swaption_maturity_in_year = 20; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.20735;
{swaption_maturity_in_year = 25; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.1823;
{swaption_maturity_in_year = 30; swap_term_in_year = 25; swap_frequency = Freq_6M}, 0.1686;
{swaption_maturity_in_year = 1; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.38285;
{swaption_maturity_in_year = 2; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.3633;
{swaption_maturity_in_year = 3; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.34125;
{swaption_maturity_in_year = 4; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.3188;
{swaption_maturity_in_year = 5; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.30305;
{swaption_maturity_in_year = 6; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.2888;
{swaption_maturity_in_year = 7; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.2748;
{swaption_maturity_in_year = 8; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.26725;
{swaption_maturity_in_year = 9; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.25985;
{swaption_maturity_in_year = 10; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.25165;
{swaption_maturity_in_year = 15; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.2267;
{swaption_maturity_in_year = 20; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.1989;
{swaption_maturity_in_year = 25; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.18115;
{swaption_maturity_in_year = 30; swap_term_in_year = 30; swap_frequency = Freq_6M}, 0.16355;
|]
let named_variables =
let open Optimization in
[|
("a", Optimize_value {lower_bound = 0.; upper_bound = 1.; initial_value = 0.02});
("b", Optimize_value {lower_bound = 0.; upper_bound = 1.; initial_value = 0.02});
("sigma", Optimize_value {lower_bound = 0.; upper_bound = 0.2; initial_value = 0.04});
("nu", Optimize_value {lower_bound = 0.; upper_bound = 0.2; initial_value = 0.01});
("rho", Optimize_value {lower_bound = -1.; upper_bound = 1.; initial_value = 0.0});
|]
let variables = Array.map snd named_variables
let r = 0.03
let today = Date.of_string "2012-01-01"
let zc t = exp (-.0.03 *. (act_365 t today))
let sq x = x *. x
let () =
let {Optimization.cr_parameters = params; cr_root_mean_squared_error; cr_quoted_prices = _; cr_calibrated_prices = _} =
calibrate ~feedback: print_endline ~max_global: 2000 ~today ~swaption_quotes ~variables ~zc ()
in
let {g_a; g_b; g_sigma; g_nu; g_rho} = params in
let l = Array.to_list swaption_quotes in
let rms =
List.fold_left
(fun acc (swaption, quote) ->
let g2pp_price = pricer_of_swaption ~today ~zc swaption params in
let market_price = black_price ~today ~zc swaption quote in
Printf.printf "%dY%dY Swaption Calibrated Price: %.2f Market Price: %.2f\n" swaption.swaption_maturity_in_year swaption.swap_term_in_year (10000. *. g2pp_price) (10000. *. market_price);
acc +. sq ((g2pp_price -. market_price) /. market_price)
) 0. l;
in
let rms = 100. *. sqrt (rms /. (float (List.length l))) in
Printf.printf "a = %.5f, b = %.5f, sigma = %.5f, nu = %.5f, rho = %.5f\n" g_a g_b g_sigma g_nu g_rho;
Printf.printf "RMS = %.5f%%, re calculated RMS = %.5f%%\n" cr_root_mean_squared_error rms
let () =
try
let fn = Sys.getenv "OCAML_GC_STATS" in
let oc = open_out fn in
Gc.print_stat oc
with _ -> ()
|
