Re: Implement Bermudan swaption in QuantLibXL

Posted by Hyung-Seok Hahm on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p294.html

After sending the last one, I've found out that HullWhite and Vasicek derived from ShortRateModel have been exposed. 

Then the remaining part I guess is how to expose

(1) CalibrationHelper class 

(2) ShortRateModel->calibrate

I will follow the tutorial for template classes for (1). 

And I do not have a clue how to deal with (2), but think the closest function among already exposed is qlCTSMMCapletCalibrationCalibrate (), so I will try to reengineer it.

In the meantime, if you have any tips, please let me know.

Thanks!

- Hyung

On Wed, Jul 4, 2012 at 10:16 AM, Hyung-Seok Hahm <[hidden email]> wrote:

Hi Eric,

Yes, I have and I have successfully exposed simple classes such as Stock before. 

However, I believe this case is more complicated. As I understand, in order to run the following segment of the code, three building blocks have been exposed. 

>

    model->calibrate(helpers, om,

                     EndCriteria(400, 100, 1.0e-8, 1.0e-8, 1.0e-8));

>

Here is the breakdown.

(1) model is a ShortRateModel object and has not been exposed in QuantLibXL

(2) helpers is a CalibrationHelper object and has not been exposed

(3) om is a LevenbergMarquart object and HAS BEEN exposed

(4) EndCriteria HAS BEEN exposed

So now the question is how to expose ShortRateModel and CalibrationHelper.

There are 2 kinds of tutorials written by you. 

One for template classes 

http://quantlib.org/quantlibaddin/extend_template_tutorial.html

and the other for simple classes

http://quantlib.org/quantlibaddin/extend_tutorial.html

I believe ShortRateModel qualifies for simple classes and CalibrationHelper for template classes. Am I on the right track?

Or if you have any better ways, please enlighten me. 

Thanks!

- Hyung

On Wed, Jul 4, 2012 at 4:40 AM, Eric Ehlers <[hidden email]> wrote:

Hi Hyung,

Have you seen the document below?

http://quantlib.org/quantlibaddin/extend_tutorial.html

Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

Quoting Hyung-Seok Hahm <[hidden email]>:

> Hi all,
>
> I'm trying to implement Bermudan swaption in QuantLibXL.
>
> There is a swaption example, named InterestRateDerivatives.xls as one of
> the StandaloneExamples in QuantLIbXL. Plus, there is another example for
> Bermudan swaption named BermudanSwaption.cpp as one of the Quantlib
> examples.
>
> Basically what I'm trying to do is fill in the gap between these two
> examples. The problem lies in the fact that ShortRateModel and
> CalibrationHelper have not been implemented yet. To be more specific, I
> need to implement the following segment in BermudanSwaption.cpp.
>
> void calibrateModel(
>           const boost::shared_ptr<ShortRateModel>& model,
>           const std::vector<boost::shared_ptr<CalibrationHelper> >&
> helpers) {
>
>     LevenbergMarquardt om;

> *    model->calibrate(helpers, om,*
> *                     EndCriteria(400, 100, 1.0e-8, 1.0e-8, 1.0e-8));*

>
>     // Output the implied Black volatilities
>     for (Size i=0; i<numRows; i++) {
>         Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
>         Size k = i*numCols + j;
>         Real npv = helpers[i]->modelValue();
>         Volatility implied = helpers[i]->impliedVolatility(npv, 1e-4,
>                                                            100000, 0.05,
> 0.50);
>         Volatility diff = implied - swaptionVols[k];
>
>         std::cout << i+1 << "x" << swapLenghts[j]
>                   << std::setprecision(5) << std::noshowpos
>                   << ": model " << std::setw(7) << io::volatility(implied)
>                   << ", market " << std::setw(7)
>                   << io::volatility(swaptionVols[k])
>                   << " (" << std::setw(7) << std::showpos
>                   << io::volatility(diff) << std::noshowpos << ")\n";
>     }
> }
>
> I do not have a clue how to expose model->calibrate part in QuantLibXL.
>
> I've been struggling with this for days, so any suggestion would be
> appreciatedl.
>
> Thanks.
>
> - Hyung
>

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