Package com.opengamma.analytics.financial.montecarlo

Examples of com.opengamma.analytics.financial.montecarlo.G2ppMonteCarloMethod

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  /**
   * Test the present value by approximation vs Monte Carlo.
   */
  public void presentValueMonteCarlo() {
    final int nbPath = 12500;
    final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount pvMC = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    final CurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(), pvMC.getAmount(), 2.5E+4);
  }
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  public void presentValueMonteCarloConvergence() {
    final CurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
    final int[] nbPath = new int[] {12500, 100000, 1000000, 5000000 };
    final CurrencyAmount[] pvMC = new CurrencyAmount[nbPath.length];
    for (int loopmc = 0; loopmc < nbPath.length; loopmc++) {
      final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath[loopmc]);
      pvMC[loopmc] = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    }
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(), pvMC[nbPath.length - 1].getAmount(), 1.0E+3);
  }
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  public void performanceMC() {
    long startTime, endTime;
    final int nbTest = 10;

    final int nbPath = 12500;
    final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    @SuppressWarnings("unused")
    CurrencyAmount pvMC;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv swaption G2++ Monte Carlo with " + nbPath + " paths: " + (endTime - startTime) + " ms");
    // Performance note: G2++ price: 18-Jul-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 140 ms for 10 swaptions (12500 paths).
  }
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Related Classes of com.opengamma.analytics.financial.montecarlo.G2ppMonteCarloMethod

  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborG2ppMethodTest
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve
  • com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionCommons
  • com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionResult
  • com.opengamma.analytics.math.matrix.DoubleMatrix2D
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