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Re: [Quantlib-dev] FW: SABR regression
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From: Ferdinando M. A. <na...@am...> - 2014-11-18 19:32:35
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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" <pca...@gm...> 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 like > > for random input x > - y = direct(x) generates admissable values > - direct( inverse( y ) ) = y > > for sabr, noarbsabr, zabr and svi. What do you think ? > > Peter > > > On 17 November 2014 20:07, Ferdinando M. Ametrano <na...@am...> > 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" < >> pao...@es...> 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 >>> >>> *pao...@es... <pao...@es...>* >>> >>> >>> >>> *From:* Peter Caspers [mailto:pca...@gm...] >>> *Sent:* Monday, November 17, 2014 7:00 PM >>> *To:* Ferdinando M. Ametrano >>> *Cc:* maz...@li...; 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/170 >>> >>> As 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 <pca...@gm...> 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. >>> >>> Thanks >>> >>> Peter >>> >>> >>> >>> On 17 November 2014 12:06, Ferdinando M. Ametrano <na...@am...> >>> 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 >>> >>> >>> >>> >>> >>> >>> Prima di stampare, pensa all'ambiente ** Think about the environment >>> before printing >>> >>> ------------------------------ >>> >>> Il presente messaggio, inclusi gli eventuali allegati, ha natura >>> aziendale e potrebbe contenere informazioni confidenziali e/o riservate. >>> Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il >>> mittente e di cancellarlo. >>> E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o >>> diffusione non autorizzata del contenuto di questo messaggio o di parte di >>> esso. >>> Pur essendo state assunte le dovute precauzioni per ridurre al minimo il >>> rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni >>> controlli sui documenti allegati al presente messaggio. 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