Package com.opengamma.analytics.financial.interestrate.method

Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveLeastSquareCalibrationEngine


   * Tests the correctness of LMM DD calibration to swaptions with SABR price.
   */
  public void calibration() {
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LMM_PARAM_INIT.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, NB_STRIKE);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(SWAPTION_AMORTIZED, MONEYNESS);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SABR);
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[][] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final CurrencyAmount[][] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[][] pvDiff = new double[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[] pvDiffTot = new double[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
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