Smith-Wilson method #1484
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Smith-Wilson method #1484
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yukiiwashita
commented
Feb 22, 2017
•
yukiiwashita
commented
- Implemented Smith-Wilson formula
- The formula is used via ParameterizedFunctionalCurve
- Created an interface CurveDefinition for the existing interface, NodalCurveDefinition, and added a new implementation ParameterizedFunctionalCurveDefinition
- Calibration example in CalibrationDiscountingSmithWilsonTest.
marc-henrard
requested changes
Feb 24, 2017
| for (CurveNode node : defn.getNodes()) { | ||
| result.add(node.initialGuess(marketData, valueType)); | ||
| for (CurveDefinition defn : curveDefinitions) { | ||
| if (defn instanceof ParameterizedFunctionalCurveDefinition) { |
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A method initialGuess(MarketData marketData) should probably be created in CurveDefinition. For the ParameterizedFunctionalCurveDefinition it will the one already implemented; for the other it will return the array resulting from the loop on the nodes. The cast will not be necessary anymore.
| * <p> | ||
| * The curve is controlled by {@code omega}, {@code alpha} and {@code weights}: | ||
| * {@code omega} is related to the ultimate forward rate (UFR) by {@code omega = log(1 + UFR)}, | ||
| * the {@code alpha} parameter determines the rate of convergence to the UFR, |
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Why a difference between the alpha and the omega treatment?
| -0.380409008626438, 0.228249649568978, -0.160902407241201); | ||
| DoubleArray nodes = DoubleArray.of(3d, 5d, 7d, 10d, 15d, 20d, 30d); | ||
| double alpha = 0.162009; | ||
| double[] dfExp = new double[] { |
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Where are those number coming from? Is it from an external implementation?
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Added comment "Source: EIOPA - European Insurance and Occupational Pensions Authority".
| * @param x the x value | ||
| * @param alpha the alpha parameter | ||
| * @param nodes the nodes | ||
| * @param weights the weights |
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Weights not in method signature.
marc-henrard
approved these changes
Feb 24, 2017
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