Alright, I added a test case for the regression you found and one for the direct/inverse functions (a deterministic one, yes). I'll have a look at your data and see if we can extract more interesting test cases from that.
And please send the new case when you are back.
PeterOn 18 November 2014 20:31, Ferdinando M. Ametrano <[hidden email]> wrote:Yes Peter, I can provide a caplet snapshot for a test.
As for a direct/inverse test: yes please, but avoid random numbers as that would make tests unpredictable.
Please also note that one sabr test is currently failing: I don't know if because of yesterday's patch or it has been failing for a while. thurdays, back at my desk, I can provide more details, but you might want to check it up on your setup in the meantime
On Nov 18, 2014 9:33 AM, "Peter Caspers" <[hidden email]> wrote:yes, please send an example (otherwise I could already take the one from the excel you sent earlier ? or was that made up ?). In addtion I think I should add a technical test likefor random input x- y = direct(x) generates admissable values- direct( inverse( y ) ) = yfor sabr, noarbsabr, zabr and svi. What do you think ?PeterOn 17 November 2014 20:07, Ferdinando M. Ametrano <[hidden email]> wrote:Thank you Peter for the timely fix.
One takeaway is to create a unit test to check for possible future regressions.
Do you have a relevant dataset from some paper to suggest? If not, I could provide a snapshot of current euro caplets.On Nov 17, 2014 7:40 PM, "MAZZOCCHI PAOLO" <[hidden email]> wrote:Hi Peter,
I tested your modifications and they work properly. The results are in line with the ones obtained using QL 1.2.
Anyway, the details (forward and time to expiry) are written in the excel file attached in the previous email.
time
fwd
0.1342
1.1075%
0.3833
1.1025%
Thank you very much for your help.
Paolo
Paolo Mazzocchi
Deloitte Consulting Srl
consulente di
FINANCIAL ENGINEERING - Banca IMI
Tel: 02-72615029 Int: 35029
From: Peter Caspers [mailto:[hidden email]]
Sent: Monday, November 17, 2014 7:00 PM
To: Ferdinando M. Ametrano
Cc: [hidden email]; QuantLib Mailing Lists; maddalena zanzi
Subject: Re: [Quantlib-dev] FW: SABR regression
Hi Ferdinando,
I pushed a fix here (effectively it should yield the same results as the file attached earlier)
https://github.com/lballabio/quantlib/pull/170As far as I remember the reason for the change in the transformation function (for 1.3 or 1.4 ?) were nan / inf values occuring from time to time in the calibration. This is why I replaced the parabolas by truncated parabolas with linear wings (such that the result is C^1).
If you feel that your test case is still working better in 1.2, could you please send some more details (forward, time to expiry), I'd be happy to discuss again then.
Best regards
Peter
On 17 November 2014 13:25, Peter Caspers <[hidden email]> wrote:
Hi Ferdinando,
one problem is the transformation function direct(...) which is buggy for alpha and nu. Can you try the attached version instead and see if it works better ?
I'd like to have a closer look and try on more cases before I send a PR though.
ThanksPeter
On 17 November 2014 12:06, Ferdinando M. Ametrano <[hidden email]> wrote:
Hi Peter
SABR implementation on the current trunk has a regression compared with QuantLib 1.2.1
While trying to calibrate problematic smiles as:
strike
1.00%
1.13%
1.25%
1.38%
1.50%
vol1
23.20%
20.25%
31.21%
39.02%
50.45%
vol2
16.67%
20.20%
27.85%
32.79%
37.27%
1.2.1 was able to offer these (non-optimal but decent) solutions:
max error
rms error
end criteria
alpha
beta
nu
rho
1.79%
0.94%
StationaryPoint
0.58%
25.00%
346.03%
34.19%
0.65%
0.43%
StationaryPoint
0.62%
25.00%
193.97%
63.66%
the current trunk instead fails for the second smile with error "qlSABRInterpolationAlpha - nu must be non negative: -124.897 not allowed".
If one tries to just use the four leftmost volatilities to simplify the problem, both calibrations fail with the same error. This leads me to believe the problem is about the solver looking for a solution in the negative nu region. If this is the case it could be solved having a positive constraint for nu. Do you agree? Could you please look into it?
Please find attached a spreadsheet reproducing the error. We might even want to add a non regression test to the test suite.
thank you for your help
regards
F
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