Re: [Quantlib-dev] FW: SABR regression

[Luigi B. <lui...@gm...>]

It only fails on VC++9.  NoArbSabrTest::testAbsorptionMatrix fails to
verify the hash value of the absorption matrix.

On Wed, Nov 19, 2014 at 6:43 AM, Peter Caspers <pca...@gm...>
wrote:

> oops. For me the test suite in the current master both with and without
> #170 runs fine. Only the new regression case included in 170 fails without
> the patch. Let me know what error pops up on your side.
> Peter
>
>
>
> On 18 November 2014 21:57, Ferdinando M. Ametrano <na...@am...>
> wrote:
>
>> wow, this was fast!
>> btw by "sabr test" I meant one test in the QuantlIb test suite
>>
>> On Tue, Nov 18, 2014 at 9:47 PM, Peter Caspers <pca...@gm...>
>> wrote:
>>
>>> 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.
>>>
>>> Peter
>>>
>>> On 18 November 2014 20:31, Ferdinando M. Ametrano <na...@am...>
>>> 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" <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
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