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detail_wrong_when_too_local.txt
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WELLS FIRST SLICE
1
alpha: 0.16866663934196016 beta: 1.0 rho: -0.1552348353356748 nu: 4.406127672296468 b: 0.0 barrier: NaN } 0.15334819415675083
[END]
0
[LOG|DEBUG|31 May 2014 22:21:21,153|com.calypso.test.com.calypso.tk.analytics.impliedvolatilitysurface.TestSVJCalibration|main|-]
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.17376999999999998 beta: 1.0 rho: -0.15301958556359954 nu: 4.469914757366911 b: 0.0 barrier: NaN } 0.15913887173026195
[END]
[LOG|DEBUG|31 May 2014 22:21:21,167|com.calypso.test.com.calypso.tk.analytics.impliedvolatilitysurface.TestSVJCalibration|main|-]
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.281692435090393 beta: 1.0 rho: -0.1532995296742704 nu: 0.8690756657321813 b: 0.0 barrier: NaN } 0.05921970743090322
SECOND SLICE
1
x0=0.0 guess=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.22102837839946568 beta: 1.0 rho: -0.2953233435660477 nu: 2.9528298568276594 b: 0.0 barrier: NaN } 0.06312045699035018
0
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.23260000000000003 beta: 1.0 rho: -0.28882503256653785 nu: 3.019265949876082 b: 0.0 barrier: NaN } 0.07473288917988198
[END]
[LOG|DEBUG|31 May 2014 22:21:21,171|com.calypso.test.com.calypso.tk.analytics.impliedvolatilitysurface.TestSVJCalibration|main|-]
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.25398051907222347 beta: 1.0 rho: -0.3631805955097911 nu: 1.798989563721595 b: 0.0 barrier: NaN } 0.018077320789390727
SP500 SPLINE 3RD SLICE
0/1 spline
x0=0.0 guess=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.15979 beta: 1.0 rho: -1.0 nu: 1.0E-4 b: 0.0 barrier: NaN } 0.09164222488296218
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.20997207679391447 beta: 1.0 rho: -0.9999999998560788 nu: 0.4379205721016721 b: 0.0 barrier: NaN } 0.05240768174042631
1 para5
x0=0.0 guess=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.15777977546453628 beta: 1.0 rho: -0.5850905772478416 nu: 1.6947947773961554 b: 0.0 barrier: NaN } 0.017520183333535416
0 para5
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.15979 beta: 1.0 rho: -0.5832856524917449 nu: 1.7000391667226509 b: 0.0 barrier: NaN } 0.0188306772914897
[END]
[LOG|DEBUG|31 May 2014 22:40:43,825|com.calypso.test.com.calypso.tk.analytics.impliedvolatilitysurface.TestSVJCalibration|main|-]
solution=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.16223875367416085 beta: 1.0 rho: -0.6020084250319798 nu: 1.4331298541007644 b: 0.0 barrier: NaN } 0.00956167015430974
[END]
1 para3
x0=0.0 guess=com.calypso.tk.analytics.sabr.arbfree.ShiftedSABRModelSpec { alpha: 0.15886746892468856 beta: 1.0 rho: -0.6745037075001312 nu: 1.769269300624433 b: 0.0 barrier: NaN } 0.0225588758494651
[END]
0 para3
alpha: 0.15979 beta: 1.0 rho: -0.6738826443569412 nu: 1.7708998930757998 b: 0.0 barrier: NaN } 0.023042761636486393
[END]