FDM/optimization.h at master · hanxixuana/FDM · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
//
// Created by xixuan on 4/3/17.
//

#ifndef OPTIM_H
#define OPTIM_H

#include "evaluation.h"
#include "tools.h"

#define IDX(i, j, ld_i) (((j)*(ld_i))+(i))
#define IDXX(i, j, k, ld_i, ld_j) (((k)*((ld_i)*(ld_j)))+((j)*(ld_i))+(i))

struct params_mspe {

	double slop_mu_k;
	double slop_sigma_k;
	double intercept_sigma_k;
	double slop_sigma_f;
	double corr_coef;
	double mspe;

};

class Optim {

private:

	int num_maturities;

	int num_slop_mu_k_candidates;
	double *slop_mu_k_candidates;

	int num_slop_sigma_k_candidates;
	double *slop_sigma_k_candidates;

	int num_intercept_sigma_k_candidates;
	double *intercept_sigma_k_candidates;

	int num_slop_sigma_f_candidates;
	double *slop_sigma_f_candidates;

	int num_corr_coef_candidates;
	double *corr_coef_candidates;

	int num_strikes;
	double *strikes;
	double *maturities;
	double *prices;

	int num_init_vsrs_taus;
	double *init_vsrs_taus;
	double *init_vsrs;

	int num_mspes;
	params_mspe *results;

	VixOpt **options;

	double get_init_vsr(double tau);

public:

	Optim(	int num_K_val,
			double min_K_val,
			double max_K_val,

			int const *num_T_val,
			double const *min_T_val,
			double const *max_T_val,

			int const *roi_left_T_index_val,
			int const *roi_right_T_index_val,

			int num_threads_val,
			int const * gpu_indices_val,
			int num_evals_in_each_thread_val,

			int input_num_q_0_taus,
			double const *input_q_0_taus,
			double const *input_q_0,

			int num_rf_rates_val,
			double const *rf_rates_taus_val,
			double const *rf_rates_val,

			int num_div_rates_val,
			double const *div_rates_taus_val,
			double const *div_rates_val,

			int num_smk_candidates_on_a_side,
			int num_ssk_candidates_on_a_side,
			int num_isk_candidates_on_a_side,
			int num_ssf_candidates_on_a_side,
			int num_cc_candidates_on_a_side,

			int num_strikes_val,
			int num_maturities_val,
			double const *strikes_val,
			double const *prices_val,

			int num_init_vsrs_taus_val,
			double *init_vsrs_taus_val,
			double *init_vsrs_val);
	~Optim();

	void set_param_candidates(	double center_slop_mu_k,
								double radius_slop_mu_k,

								double center_slop_sigma_k,
								double radius_slop_sigma_k,

								double center_intercept_sigma_k,
								double radius_intercept_sigma_k,

								double center_slop_sigma_f,
								double radius_slop_sigma_f,

								double center_corr_coef,
								double radius_corr_coef);

	void optimize(	char opt_type_val,
					double c_val,
					int random_seed);

	params_mspe const *get_sorted_mspe(int index) const;

};

#endif //OPTIM_H