Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.PresentValueHullWhiteMonteCarloCalculator


    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(ANNUITY_RATCHET_FIXED, CURVES_NAMES[0], BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned(1.0E-10, 1.0E-2); // (1.0E-10, 1.0E-2);

    final PresentValueHullWhiteMonteCarloCalculator calculator = new PresentValueHullWhiteMonteCarloCalculator(nbPath);

    // Dsc curve
    final DoubleAVLTreeSet dscTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final Coupon cpn = ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
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