Re: [Quantlib-dev] FW: SABR regression

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

No, I think long is 32 bits too.

How about simply checking the hash against two different values depending
on the size of std::size_t?


On Wed, Nov 19, 2014 at 10:25 AM, Peter Caspers <pca...@gm...>
wrote:

> 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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>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>
>


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