Add possibility to reset guess in fitted bond curves (#1992)

lballabio · Jun 20, 2024 · 0a34fa0 · 0a34fa0
2 parents 8770770 + c79c8e0
commit 0a34fa0
Show file tree

Hide file tree

Showing 3 changed files with 61 additions and 2 deletions.
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -86,6 +86,13 @@ namespace QuantLib {
     }
 
 
+    void FittedBondDiscountCurve::resetGuess(const Array& guess) {
+        QL_REQUIRE(guess.empty() || guess.size() == fittingMethod_->size(), "guess is of wrong size");
+        guessSolution_ = guess;
+        update();
+    }
+
+
     void FittedBondDiscountCurve::performCalculations() const {
 
         QL_REQUIRE(!bondHelpers_.empty(), "no bondHelpers given");
@@ -186,6 +193,7 @@ namespace QuantLib {
         // start with the guess solution, if it exists
         Array x(size(), 0.0);
         if (!curve_->guessSolution_.empty()) {
+            QL_REQUIRE(curve_->guessSolution_.size() == size(), "wrong size for guess");
             x = curve_->guessSolution_;
         }
 

diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.hpp b/ql/termstructures/yield/fittedbonddiscountcurve.hpp
@@ -117,6 +117,12 @@ namespace QuantLib {
         const FittingMethod& fitResults() const;
         //@}
 
+        //! \name Other utilities
+        //@{
+        /*! This allows to try out multiple guesses and avoid local minima */
+        void resetGuess(const Array& guess);
+        //@}
+
         //! \name Observer interface
         //@{
         void update() override;

diff --git a/test-suite/fittedbonddiscountcurve.cpp b/test-suite/fittedbonddiscountcurve.cpp
@@ -189,12 +189,29 @@ BOOST_AUTO_TEST_CASE(testFlatExtrapolation) {
         // Real modelYield1 = bonds[i]->yield(modelPrices1[i], Actual365Fixed(), Continuous, NoFrequency);
         Real modelYield2 =
             bonds[i]->yield(modelPrices2[i], Actual365Fixed(), Continuous, NoFrequency);
-        // Real curveYield1 = curve1->zeroRate(t, Continuous).rate();
+        Real curveYield1 = curve1->zeroRate(t, Continuous).rate();
         Real curveYield2 = curve2->zeroRate(t, Continuous).rate();
 
+        if (curveYield1 < 1.0) {
+            BOOST_ERROR("Expecting huge yield; the test premise might be outdated");
+        }
         QL_CHECK_CLOSE(modelYield2, curveYield2, 1.0); // 1.0 percent relative tolerance
     }
-
+
+    // resetting the guess changes the calibration
+
+    curve1->resetGuess({ 0.02, 0.0, 0.0, 0.0 });
+
+    BOOST_CHECK_EQUAL(curve1->fitResults().errorCode(), EndCriteria::StationaryPoint);
+
+    for (Size i = 0; i < helpers.size(); ++i) {
+        Real t = curve1->timeFromReference(helpers[i]->bond()->maturityDate());
+        Real modelYield1 = bonds[i]->yield(modelPrices1[i], Actual365Fixed(), Continuous, NoFrequency);
+        Real curveYield1 = curve1->zeroRate(t, Continuous).rate();
+
+        QL_CHECK_CLOSE(modelYield1, curveYield1, 6); // somewhat better, within a dozen bps
+    }
+
 }
 
 BOOST_AUTO_TEST_CASE(testRequiredGuess) {
@@ -227,6 +244,34 @@ BOOST_AUTO_TEST_CASE(testRequiredGuess) {
                           ExpectedErrorMessage("L2 penalty requires a guess"));
 }
 
+BOOST_AUTO_TEST_CASE(testGuessSize) {
+
+    BOOST_TEST_MESSAGE("Testing that fitted bond curves check the guess size when given...");
+
+    Date today = Settings::instance().evaluationDate();
+    auto bond1 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(1, Years));
+    auto bond2 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(2, Years));
+    auto bond3 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(5, Years));
+    auto bond4 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(10, Years));
+
+    std::vector<ext::shared_ptr<BondHelper> > helpers(4);
+    helpers[0] = ext::make_shared<BondHelper>(makeQuoteHandle(99.0), bond1);
+    helpers[1] = ext::make_shared<BondHelper>(makeQuoteHandle(98.0), bond2);
+    helpers[2] = ext::make_shared<BondHelper>(makeQuoteHandle(95.0), bond3);
+    helpers[3] = ext::make_shared<BondHelper>(makeQuoteHandle(90.0), bond4);
+
+    NelsonSiegelFitting fittingMethod;
+
+    Real accuracy = 1e-10;
+    Size maxIterations = 10000;
+    Array guess = { 0.01, 0.0, 0.0 };  // too few
+    FittedBondDiscountCurve curve(0, TARGET(), helpers, Actual365Fixed(),
+                                  fittingMethod, accuracy, maxIterations, guess);
+
+    BOOST_CHECK_EXCEPTION(curve.discount(3.0), Error,
+                          ExpectedErrorMessage("wrong size for guess"));
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()