/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.method;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.interestrate.definition.G2ppPiecewiseConstantParameters;
import com.opengamma.analytics.financial.provider.calculator.g2pp.PresentValueG2ppCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.G2ppProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.G2ppProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.util.money.Currency;
/**
* Specific objective function for Hull-White model calibration with cap/floor.
*/
public class SuccessiveRootFinderG2ppCalibrationObjective extends SuccessiveRootFinderCalibrationObjectiveWithMultiCurves {
/**
* The pricing method used to price the cap/floor.
*/
private static final PresentValueG2ppCalculator PVG2C = PresentValueG2ppCalculator.getInstance();
/**
* The ratio between the first factor volatility and the second factor volatility.
*/
private final double _ratio;
/**
* The G2++ parameters before calibration. The calibration is done on the last volatility.
*/
private final G2ppPiecewiseConstantParameters _g2Parameters;
/**
* The currency for which the Hull-White parameters are valid (Hull-White on the discounting curve).
*/
private final Currency _ccyG2;
/**
* The Hull-White parameters and curves bundle.
*/
private G2ppProviderInterface _g2Provider;
/**
* Constructor of the objective function with the Hull-White parameters. The parameters range and accuracy are set at some default value
* (minimum: 1.0E-6; maximum: 1.0, function value accuracy: 1.0E-4; parameter absolute accuracy: 1.0E-9).
* @param parameters The Hull-White parameters.
* @param ccy The currency for which the Hull-White parameters are valid (Hull-White on the discounting curve).
* @param ratio The ratio between the first factor volatility and the second factor volatility.
*/
public SuccessiveRootFinderG2ppCalibrationObjective(final G2ppPiecewiseConstantParameters parameters, final Currency ccy, final double ratio) {
super(new FXMatrix(ccy), ccy);
_g2Parameters = parameters;
_ratio = ratio;
_ccyG2 = ccy;
setMinimumParameter(1.0E-6);
setMaximumParameter(1.0);
setFunctionValueAccuracy(1.0E-4);
setVariableAbsoluteAccuracy(1.0E-9);
}
/**
* Sets the Hull-White curve bundle using the Hull-White parameters and a given set of curves.
* @param multicurves The multi-curves provider.
*/
@Override
public void setMulticurves(MulticurveProviderInterface multicurves) {
_g2Provider = new G2ppProvider(multicurves, _g2Parameters, _ccyG2);
}
/**
* Gets the G2++ data.
* @return The G2++ data.
*/
public G2ppPiecewiseConstantParameters getG2Parameters() {
return _g2Parameters;
}
/**
* Sets the Hull-White curve bundle.
* @return The Hull-White curve bundle.
*/
public G2ppProviderInterface getG2Provider() {
return _g2Provider;
}
/**
* Sets the calibration time for the next calibration.
* @param calibrationTime The calibration time.
*/
public void setNextCalibrationTime(double calibrationTime) {
_g2Parameters.addVolatility(_g2Parameters.getLastVolatilities(), calibrationTime);
}
@Override
public void setInstrument(InstrumentDerivative instrument) {
super.setInstrument(instrument);
}
@Override
public Double evaluate(Double x) {
_g2Provider.getG2ppParameters().setLastVolatilities(new double[] {x, x / _ratio });
return _g2Provider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVG2C, _g2Provider), _ccyG2).getAmount() - getPrice();
}
}