Package com.opengamma.analytics.financial.interestrate.annuity.derivative

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

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    final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL,
        INDEX_EURIBOR3M, IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, annuityRatchetIbor20Definition);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount[] pvMC = new CurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

    startTime = System.currentTimeMillis();
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  }

  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, EUR, bundleLMM);
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    final double[] mainFixed = new double[] {0.0, 0.0, 0.0};
    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
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    final double[] mainIbor = new double[] {0.0, 1.0, 0.0};
    final double[] floorIbor = new double[] {0.0, 0.0, -10.0};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE, ratchetFixedDefinition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
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    final double[] mainIbor = new double[] {0.0, factor, 0.0};
    final double[] floorIbor = new double[] {0.0, 0.0, factor * strike};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    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(REFERENCE_DATE, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = CapFloorIborLMMDDMethod.getInstance();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(EUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES));
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected = pvFlooredExpected.plus(methodCapLMM.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), LMM_MULTICURVES).multipliedBy(factor));
      pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor));
    }
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
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    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 LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, annuityRatchetIbor20Definition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount LMMmulticurves = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

    startTime = System.currentTimeMillis();
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  }

  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, CUR, HW_MULTICURVES);
    final double pvMCPreviousRun = 4406845.218;
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    final double[] mainFixed = new double[] {0.0, 0.0, 0.0};
    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
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    final double[] mainIbor = new double[] {0.0, 1.0, 0.0};
    final double[] floorIbor = new double[] {0.0, 0.0, -10.0};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final int nbPath = 175000;
    HullWhiteMonteCarloMethod methodMC;
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    final double[] mainIbor = new double[] {0.0, factor, 0.0};
    final double[] floorIbor = new double[] {0.0, 0.0, factor * strike};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    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(REFERENCE_DATE, FIXING_TS);
    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);
    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(REFERENCE_DATE);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(CUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.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), pvFloorMC.getAmount(CUR), 2.5E+3);
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Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet

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