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

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

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    ArgumentChecker.notNull(curves, "curves");
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    //TODO: Create a way to chose the calibration type.
    final InstrumentDerivative[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    return CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount());
  }
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    if (!(curves instanceof SABRInterestRateDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueSABRHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
    }
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, METHOD_SWAPTION_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
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    if (!(curves instanceof SABRInterestRateDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueSABRHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
    }
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    final InstrumentDerivative[] calibrationBasket = annuity.calibrationBasket(RatchetIborCalibrationType.FORWARD_COUPON, curves);
    //TODO: set a way to chose the calibration type.
    calibrationEngine.addInstrument(calibrationBasket, METHOD_CAP_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
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   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
    final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvHw[loopexp] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getHwBundle());
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    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final HullWhiteOneFactorPiecewiseConstantParameters HwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
      final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(HwParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
    // Performance note: calibration: 31-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 410 ms for 100 calibration with 5 swaptions.
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   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), METHOD_CAP_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[CAP.getNumberOfPayments()];
    final CurrencyAmount[] pvHw = new CurrencyAmount[CAP.getNumberOfPayments()];
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      pvSabr[loopexp] = METHOD_CAP_SABR.presentValue(CAP.getNthPayment(loopexp), SABR_BUNDLE);
      pvHw[loopexp] = METHOD_CAP_HW.presentValue(CAP.getNthPayment(loopexp), objective.getHwBundle());
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    }
    // Calibration and price
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, METHOD_SABR);
    calibrationEngine.calibrate(sabrBundle);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, CURVES);
    final CurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmmBundle);
    final double pvAmortizedPrevious = 3058997.117;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(), 1.0E-2);
    // Method
    final SwaptionPhysicalFixedIborSABRLMMExactMethod method = new SwaptionPhysicalFixedIborSABRLMMExactMethod();
    final CurrencyAmount pvAmortizedMethod = method.presentValue(swaptionAmortized, sabrBundle);
    assertEquals("LMM Amortized pricing", pvAmortized.getAmount(), pvAmortizedMethod.getAmount(), 1.0E-2);

    // SABR parameters sensitivity in all-in-one method.
    final List<Object> results = method.presentValueCurveSABRSensitivity(swaptionAmortized, sabrBundle);
    final InterestRateCurveSensitivity pvcs1 = (InterestRateCurveSensitivity) results.get(1);
    final PresentValueSABRSensitivityDataBundle pvss1 = (PresentValueSABRSensitivityDataBundle) results.get(2);

    // SABR parameters sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = method.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);

    // SABR parameters sensitivity (all-in-one)
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      assertEquals("Sensitivity swaption pv to alpha", pvss1.getAlpha().getMap().get(expiryMaturity), pvss.getAlpha().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to rho", pvss1.getRho().getMap().get(expiryMaturity), pvss.getRho().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to nu", pvss1.getNu().getMap().get(expiryMaturity), pvss.getNu().getMap().get(expiryMaturity), 1E-2);
    }
    // SABR parameters sensitivity (parallel shift check)
    SABRInterestRateParameters sabrParameterShift;
    SABRInterestRateDataBundle sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objectiveShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParametersShift);
    final SuccessiveRootFinderCalibrationEngine calibrationEngineShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objectiveShift);
    calibrationEngineShift.addInstrument(swaptionCalibration2, METHOD_SABR);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundleShift = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParametersShift, CURVES);

    double alphaVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getAlpha().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      alphaVegaTotalComputed += pvss.getAlpha().getMap().get(expiryMaturity);
    }
    final double shiftAlpha = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftAlpha = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double alphaVegaTotalExpected = (pvAmortizedShiftAlpha.getAmount() - pvAmortized.getAmount()) / shiftAlpha;
    assertEquals("Alpha sensitivity value", alphaVegaTotalExpected, alphaVegaTotalComputed, 1.0E+2);

    double rhoVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getRho().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      rhoVegaTotalComputed += pvss.getRho().getMap().get(expiryMaturity);
    }
    final double shiftRho = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1RhoBumped(shiftRho);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftRho = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double rhoVegaTotalExpected = (pvAmortizedShiftRho.getAmount() - pvAmortized.getAmount()) / shiftRho;
    assertEquals("Rho sensitivity value", rhoVegaTotalExpected, rhoVegaTotalComputed, 1.0E+1);

    double nuVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getNu().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      nuVegaTotalComputed += pvss.getNu().getMap().get(expiryMaturity);
    }
    final double shiftNu = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1NuBumped(shiftNu);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftNu = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount() - pvAmortized.getAmount()) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, 1.0E+1);

    // Curve sensitivity
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   */
  public void calibration() {
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    final CurrencyAmount[] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvLmm[loopexp] = METHOD_LMM.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getLMMBundle());
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    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
          SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
      final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " LMM calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
    // Performance note: calibration: 1-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 130 ms for 100 calibration with 5 swaptions.
  }
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    final double[] meanReversion = new double[] {0.01, 0.30};
    final double ratio = 4.0;
    final double correlation = -0.50;
    final G2ppPiecewiseConstantParameters g2Parameters = new G2ppPiecewiseConstantParameters(meanReversion, new double[][] { {0.01}, {0.01 / ratio}}, new double[0], correlation);
    final SwaptionPhysicalG2ppCalibrationObjective objective = new SwaptionPhysicalG2ppCalibrationObjective(g2Parameters, ratio);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalG2ppSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
    final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvHw[loopexp] = METHOD_G2PP.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getG2Bundle());
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Related Classes of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine

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  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjectiveTest
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