Examples of AnnuityCouponIborRatchet


Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet

    final double[] floorIbor = new double[] {0.0, 0.0, factor * strike};
    final double[] capIbor = new double[] {0.0, 0.0, 100.0};
    final AnnuityCouponIborRatchetDefinition ratchetIborDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        mainIbor, floorIbor, capIbor, TARGET);
    final DoubleTimeSeries<ZonedDateTime> fixing = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {referenceDate}, new double[] {FIRST_CPN_RATE});
    final AnnuityCouponIborRatchet ratchetIbor = ratchetIborDefinition.toDerivative(referenceDate, fixing);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, EURIBOR3M, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(referenceDate, fixing);
    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    //    long startTime, endTime;
    //    startTime = System.currentTimeMillis();
    final MultipleCurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, HW_MULTICURVES);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(CUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetIbor.getNthPayment(0).accept(PVDC, MULTICURVES));
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected = pvFlooredExpected.plus(METHOD_HW_CAP.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), HW_MULTICURVES).multipliedBy(factor));
      pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor));
    }
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected.getAmount(CUR), pvFlooredMC.getAmount(CUR), 2.5E+3);
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Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet

    final int nbTest = 10;
    final int nbPath = 12500;
    final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL, EURIBOR3M,
        IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    final MultipleCurrencyMulticurveSensitivity[] pvcsMC = new MultipleCurrencyMulticurveSensitivity[nbTest];
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