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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Marco Bianchetti
Copyright (C) 2006, 2007 Giorgio Facchinetti
Copyright (C) 2014 Peter Caspers
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
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 license for more details.
*/
/*! \file cmsmarketcalibration.hpp
*/
#ifndef quantlib_cms_market_calibration_h
#define quantlib_cms_market_calibration_h
#include <ql/math/optimization/endcriteria.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/array.hpp>
#include <ql/handle.hpp>
namespace QuantLib {
class SwaptionVolatilityStructure;
class CmsMarket;
class OptimizationMethod;
class CmsMarketCalibration {
public:
enum CalibrationType {OnSpread, OnPrice, OnForwardCmsPrice };
CmsMarketCalibration(
Handle<SwaptionVolatilityStructure>& volCube,
ext::shared_ptr<CmsMarket>& cmsMarket,
const Matrix& weights,
CalibrationType calibrationType);
Handle<SwaptionVolatilityStructure> volCube_;
ext::shared_ptr<CmsMarket> cmsMarket_;
Matrix weights_;
CalibrationType calibrationType_;
Matrix sparseSabrParameters_, denseSabrParameters_, browseCmsMarket_;
Array compute(const ext::shared_ptr<EndCriteria>& endCriteria,
const ext::shared_ptr<OptimizationMethod>& method,
const Array& guess,
bool isMeanReversionFixed);
Matrix compute(const ext::shared_ptr<EndCriteria>& endCriteria,
const ext::shared_ptr<OptimizationMethod>& method,
const Matrix& guess,
bool isMeanReversionFixed,
Real meanReversionGuess = Null<Real>());
Matrix computeParametric(const ext::shared_ptr<EndCriteria>& endCriteria,
const ext::shared_ptr<OptimizationMethod>& method,
const Matrix& guess,
bool isMeanReversionFixed,
Real meanReversionGuess = Null<Real>());
Real error() const { return error_; }
EndCriteria::Type endCriteria() { return endCriteria_; };
static Real betaTransformInverse(Real beta) {
return std::sqrt(-std::log(beta));
}
static Real betaTransformDirect(Real y) {
return std::max(
std::min(std::fabs(y) < 10.0 ? Real(std::exp(-(y * y))) : 0.0,
0.999999),
0.000001);
}
static Real reversionTransformInverse(Real reversion) {
return reversion * reversion;
}
static Real reversionTransformDirect(Real y) {
return std::sqrt(y);
}
private:
Real error_;
EndCriteria::Type endCriteria_;
};
}
#endif
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