Re: [Quantlib-dev] FW: SABR regression

[Peter C. <pca...@gm...>]

std::size_t could be the problem (noarbsabr.cpp L329), is that 32 Bit under
VC9 ? Should we use usigned long instead, is that always 64 Bit ?

On 19 November 2014 09:43, Luigi Ballabio <lui...@gm...> wrote:

> 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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>>
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