/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.smile.fitting;
import java.util.BitSet;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SVIVolatilityFunction;
import com.opengamma.analytics.math.function.ParameterizedFunction;
import com.opengamma.analytics.math.linearalgebra.DecompositionFactory;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.MatrixAlgebraFactory;
import com.opengamma.analytics.math.minimization.DoubleRangeLimitTransform;
import com.opengamma.analytics.math.minimization.NullTransform;
import com.opengamma.analytics.math.minimization.ParameterLimitsTransform;
import com.opengamma.analytics.math.minimization.ParameterLimitsTransform.LimitType;
import com.opengamma.analytics.math.minimization.SingleRangeLimitTransform;
import com.opengamma.analytics.math.minimization.UncoupledParameterTransforms;
import com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResults;
import com.opengamma.analytics.math.statistics.leastsquare.LeastSquareResultsWithTransform;
import com.opengamma.analytics.math.statistics.leastsquare.NonLinearLeastSquare;
import com.opengamma.util.CompareUtils;
/**
* @deprecated Please use SVIModelFitter
*/
@Deprecated
public class SVINonLinearLeastSquareFitter extends LeastSquareSmileFitter {
private static final int N_PARAMETERS = 5;
private static final ParameterLimitsTransform[] TRANSFORMS;
private static final SVIVolatilityFunction FORMULA = new SVIVolatilityFunction();
private final NonLinearLeastSquare _solver;
static {
TRANSFORMS = new ParameterLimitsTransform[N_PARAMETERS];
TRANSFORMS[0] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //a
TRANSFORMS[1] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //b
TRANSFORMS[2] = new DoubleRangeLimitTransform(-1.0, 1.0); //rho
TRANSFORMS[3] = new SingleRangeLimitTransform(0, LimitType.GREATER_THAN); //sigma
TRANSFORMS[4] = new NullTransform(); //m
}
public SVINonLinearLeastSquareFitter() {
this(new NonLinearLeastSquare(DecompositionFactory.SV_COLT, MatrixAlgebraFactory.OG_ALGEBRA, 1e-4));
}
public SVINonLinearLeastSquareFitter(final NonLinearLeastSquare solver) {
Validate.notNull(solver, "solver");
_solver = solver;
}
@Override
public LeastSquareResultsWithTransform getFitResult(final EuropeanVanillaOption[] options, final BlackFunctionData[] data, final double[] initialFitParameters, final BitSet fixed) {
return getFitResult(options, data, null, initialFitParameters, fixed);
}
@Override
public LeastSquareResultsWithTransform getFitResult(final EuropeanVanillaOption[] options, final BlackFunctionData[] data, final double[] errors, final double[] initialFitParameters,
final BitSet fixed) {
testData(options, data, errors, initialFitParameters, fixed, N_PARAMETERS);
final int n = options.length;
final double[] strikes = new double[n];
final double[] forwards = new double[n];
final double[] blackVols = new double[n];
final double maturity = options[0].getTimeToExpiry();
strikes[0] = options[0].getStrike();
blackVols[0] = data[0].getBlackVolatility();
forwards[0] = data[0].getForward();
for (int i = 1; i < n; i++) {
Validate.isTrue(CompareUtils.closeEquals(options[i].getTimeToExpiry(), maturity),
"All options must have the same maturity " + maturity + "; have one with maturity " + options[i].getTimeToExpiry());
strikes[i] = options[i].getStrike();
blackVols[i] = data[i].getBlackVolatility();
forwards[i] = data[i].getForward();
}
final double forward = data[0].getForward();
final UncoupledParameterTransforms transforms = new UncoupledParameterTransforms(new DoubleMatrix1D(initialFitParameters), TRANSFORMS, fixed);
final ParameterizedFunction<Double, DoubleMatrix1D, Double> function = new ParameterizedFunction<Double, DoubleMatrix1D, Double>() {
@SuppressWarnings("synthetic-access")
@Override
public Double evaluate(final Double strike, final DoubleMatrix1D fp) {
final DoubleMatrix1D mp = transforms.inverseTransform(fp);
final double a = mp.getEntry(0);
final double b = mp.getEntry(1);
final double rho = mp.getEntry(2);
final double sigma = mp.getEntry(3);
final double m = mp.getEntry(4);
final SVIFormulaData newData = new SVIFormulaData(a, b, rho, sigma, m);
return FORMULA.getVolatilityFunction(new EuropeanVanillaOption(strike, maturity, true), forward).evaluate(newData);
}
};
final DoubleMatrix1D fp = transforms.transform(new DoubleMatrix1D(initialFitParameters));
final LeastSquareResults lsRes = errors == null ? _solver.solve(new DoubleMatrix1D(strikes), new DoubleMatrix1D(blackVols), function, fp) : _solver.solve(new DoubleMatrix1D(strikes),
new DoubleMatrix1D(blackVols), new DoubleMatrix1D(errors), function, fp);
// final DoubleMatrix1D mp = transforms.inverseTransform(lsRes.getFitParameters());
return new LeastSquareResultsWithTransform(lsRes, transforms);
// return new LeastSquareResults(lsRes.getChiSq(), mp, new DoubleMatrix2D(new double[N_PARAMETERS][N_PARAMETERS]));
}
}