Package com.opengamma.analytics.financial.model.interestrate.definition

Examples of com.opengamma.analytics.financial.model.interestrate.definition.LiborMarketModelDisplacedDiffusionDataBundle

89
90
91
92
93
94
95
96
97
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    final CurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle);
    return pv;
  }
View Full Code Here
111
112
113
114
115
116
117
118
119
120
121
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
View Full Code Here
214
215
216
217
218
219
220
221
222
223
224
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);

    // 1. PV

    final CurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle);
View Full Code Here
80
81
82
83
84
85
86
87
    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());
  }
View Full Code Here
110
111
112
113
114
115
116
117
118
119
120
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    //TODO: Create a way to chose the calibration type.
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
View Full Code Here
197
198
199
200
201
202
203
204
205
206
207
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
View Full Code Here
302
303
304
305
306
307
308
309
310
311
312
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    // Risks
    final int nbCal = swaptionCalibration.length;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
View Full Code Here
80
81
82
83
84
85
86
    return _lmmBundle;
  }

  @Override
  public void setCurves(final YieldCurveBundle curves) {
    _lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(_lmmParameters, curves);
  }
View Full Code Here
85
86
87
88
89
90
91
    return _lmmBundle;
  }

  @Override
  public void setCurves(final YieldCurveBundle curves) {
    _lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(_lmmParameters, curves);
  }
View Full Code Here
94
95
96
97
98
99
100
101
102
103
104
  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    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 CurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, EUR, CURVES.getCurve(CURVES_NAMES[0]), bundleLMM);
    final double pvMCPreviousRun = 8259675.715;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.model.interestrate.definition.LiborMarketModelDisplacedDiffusionDataBundle

  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRLMMAtBestMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRLMMExactMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.