/**
* This calibrated to all the cap volatilities (excluding ATM) at once
*
* <p>The output is this surface sampled on a grid (101 by 101), such that it can be plotted as an
* Excel surface plot (or imported into some other visualisation tool).
*/
@Test(description = "Demo of infering a caplet volatility surface")
public void globalVolFitExATMDemo() {
final double lambda = 0.03; // this is chosen to give a chi2/DoF of around 1
final MultiCapFloorPricerGrid pricer =
new MultiCapFloorPricerGrid(getAllCapsExATM(), getYieldCurves());
final CapletStripperDirect stripper = new CapletStripperDirect(pricer, lambda);
final double[] capVols = getAllCapVolsExATM();
final int n = capVols.length;
final double[] errors = new double[n];
Arrays.fill(errors, 1e-4); // 1bps
final DoubleMatrix1D guess = new DoubleMatrix1D(pricer.getGridSize(), 0.7);
final CapletStrippingResult res = stripper.solve(capVols, MarketDataType.VOL, errors, guess);
System.out.println(res);
// print the caplet volatilities
System.out.println("\n");
res.printCapletVols(System.out);
System.out.println("Caplet volatility surface");
res.printSurface(System.out, 101, 101);
}
