QPR-12325 handle too few market points, fixes

Author: pcaspers

QuantExt/qle/termstructures/sabrparametricvolatility.cpp

@@ -258,13 +258,26 @@ std::tuple<std::vector<Real>, Real, Size>
 SabrParametricVolatility::calibrateModelParameters(const MarketSmile& marketSmile,
                                                    const std::vector<std::pair<Real, bool>>& params) const {
 
-    // check the number of free parameters vs. the number of given market points
+    // determine the number of free parameters
 
     Size noFreeParams = 0;
     for (auto const& p : params)
         if (!p.second)
             ++noFreeParams;
 
+    // if there are no free parameters, we just pass back the fixed parameters as the result
+
+    if(noFreeParams == 0) {
+        std::vector<Real> resultParams;
+        for(auto const& p : params)
+            resultParams.push_back(p.first);
+        return std::make_tuple(resultParams, 0.0, 0);
+    }
+
+    // if we have less data points than free parameters -> exit early
+
+    QL_REQUIRE(noFreeParams <= marketSmile.strikes.size(), "internal: less data points than free parameters");
+
     // define the target function
 
     struct TargetFunction : public QuantLib::CostFunction {

QuantExt/qle/termstructures/sabrparametricvolatility.hpp

@@ -61,16 +61,15 @@ class SabrParametricVolatility final : public ParametricVolatility {
     const std::vector<Real>& underlyingLenghts() const;
     // calibrated or interpolated model parameters (rows = underlying lenghts, cols = option expiries)
     const QuantLib::Matrix& alpha() const { return alpha_; }
-    const QuantLib::Matrix& beta() const  { return beta_; }
+    const QuantLib::Matrix& beta() const { return beta_; }
     const QuantLib::Matrix& nu() const { return nu_; }
     const QuantLib::Matrix& rho() const { return rho_; }
     const QuantLib::Matrix& lognormalShift() const { return lognormalShift_; }
     const QuantLib::Matrix& numberOfCalibrationAttempts() const { return numberOfCalibrationAttempts_; }
     // calibration error
-    const QuantLib::Matrix& calibrationError() const;
+    const QuantLib::Matrix& calibrationError() const { return calibrationError_; }
     // indicator whether smile params were interpolated (1) or calibrated (0)
-    const QuantLib::Matrix& isInterpolated() const;
-
+    const QuantLib::Matrix& isInterpolated() const { return isInterpolated_; }
 
 private:
     static constexpr double eps1 = .0000001;