24 std::map<std::string, boost::any> result;
26 result[
"lgmCalibrationError"] = info.
rmse;
27 std::vector<Real> timeToExpiry, swapLength, strike, atmForward, annuity, vega, vols;
28 std::vector<Real> modelTime, modelVol, marketVol, modelValue, marketValue, modelAlpha, modelKappa, modelHwSigma;
29 std::vector<Real> volDiff, valueDiff;
31 timeToExpiry.push_back(d.timeToExpiry);
32 swapLength.push_back(d.swapLength);
33 strike.push_back(d.strike);
34 atmForward.push_back(d.atmForward);
35 annuity.push_back(d.annuity);
36 vega.push_back(d.vega);
37 vols.push_back(d.stdDev / std::sqrt(d.timeToExpiry));
40 modelTime.push_back(d.modelTime);
41 modelVol.push_back(d.modelVol);
42 marketVol.push_back(d.marketVol);
43 modelValue.push_back(d.modelValue);
44 marketValue.push_back(d.marketValue);
45 modelAlpha.push_back(d.modelAlpha);
46 modelKappa.push_back(d.modelKappa);
47 modelHwSigma.push_back(d.modelHwSigma);
48 volDiff.push_back(d.modelVol - d.marketVol);
49 valueDiff.push_back(d.modelValue - d.marketValue);
51 result[
"lgmCalibrationBasketExpiryTimes"] = timeToExpiry;
52 result[
"lgmCalibrationBasketSwapLengths"] = swapLength;
53 result[
"lgmCalibrationBasketStrikes"] = strike;
54 result[
"lgmCalibrationBasketAtmForwards"] = atmForward;
55 result[
"lgmCalibrationBasketAnnuities"] = annuity;
56 result[
"lgmCalibrationBasketVegas"] = vega;
57 result[
"lgmCalibrationBasketVols"] = vols;
58 result[
"lgmCalibrationTimes"] = modelTime;
59 result[
"lgmCalibrationModelVols"] = modelVol;
60 result[
"lgmCalibrationMarketVols"] = marketVol;
61 result[
"lgmCalibrationModelValues"] = modelValue;
62 result[
"lgmCalibrationMarketValues"] = marketValue;
63 result[
"lgmCalibrationModelAlphas"] = modelAlpha;
64 result[
"lgmCalibrationModelKappas"] = modelKappa;
65 result[
"lgmCalibrationModelHwSigmas"] = modelHwSigma;
66 result[
"lgmCalibrationModelMarketVolDiffs"] = volDiff;
67 result[
"lgmCalibrationModelMarketValueDiffs"] = valueDiff;
info data on how a lgm model was calibrated
std::map< std::string, boost::any > getAdditionalResultsMap(const LgmCalibrationInfo &info)
std::vector< LgmCalibrationData > lgmCalibrationData
std::vector< SwaptionData > swaptionData