Package com.opengamma.analytics.financial.montecarlo

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

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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC
        .presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }
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    Validate.notNull(annuity);
    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }
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  @Test(enabled = true)
  /**
   * Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities.
   */
  public void monteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    final CurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(), pvMC.getAmount(), 4.0E+2);
    final double pvMCPreviousRun = 150060.593;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final CurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(), pvShortMC.getAmount(), 1.0E-2);
  }
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   * Performance for a high number of paths.
   */
  public void performance() {
    long startTime, endTime;
    final CurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    HullWhiteMonteCarloMethod methodMC;
    final int nbPath = 1000000;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final int nbTest = 10;
    final double[] pv = new double[nbTest];
    final double[] pvDiff = new double[nbTest];
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pv[looptest] = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW).getAmount();
      pvDiff[looptest] = pv[looptest] - pvExplicit.getAmount();
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv cap/floor Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    // Performance note: price: 12-Jun-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 cap with 1,000,000 paths.
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    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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    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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    final int nbTest = 25;
    CurrencyAmount pvMC = CurrencyAmount.of(CUR, 0.0);
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    InterestRateCurveSensitivity pvcsMC = pvcsExplicit;
    final int nbPath = 12500;
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " swaption Hull-White Monte Carlo method (" + NB_PATH + " paths): " + (endTime - startTime) + " ms / price:" + pvMC.toString());
    // Performance note: HW approximation: 14-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 240 ms for 25 swaptions (12500 paths).
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " curve sensitivity swaption Hull-White MC method: (" + nbPath + " paths) " + (endTime - startTime) + " ms / risk:" + pvcsMC.toString());
    // Performance note: curve sensitivity (40): 12-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 765 ms for 25 swaptions (12500 paths).
  }
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  /**
   * Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities.
   */
  public void presentValueMonteCarlo() {
    final int nbPath = 12500;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final CurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_HW);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(), pvPayerLongMC.getAmount(), 1.0E+4);
    final double pvMCPreviousRun = 5137844.655;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(), 1.0E-2);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_PAYER_SHORT, CUR, FUNDING_CURVE_NAME, BUNDLE_HW);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(), pvPayerShortMC.getAmount(), 1.0E-2);
    final CurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_RECEIVER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_HW);
    final double pvSwap = SWAP_RECEIVER.accept(PVC, CURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount() + pvPayerShortMC.getAmount(), pvSwap, 1.0E+5);
  }
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   */
  public void presentValueCurveSensitivityMonteCarlo() {
    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final int nbPath = 30000; // 10000 path -> 200 USD by bp
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned();
    final InterestRateCurveSensitivity diff = pvcsExplicit.cleaned().plus(pvcsMC.multipliedBy(-1)).cleaned();
    final List<DoublesPair> sensiDsc = diff.getSensitivities().get(FUNDING_CURVE_NAME);
    final int nbDsc = sensiDsc.size();
    for (int loopdsc = 0; loopdsc < nbDsc; loopdsc++) {
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  @Test
  public void presentValueFixed() {
    /**
     * Test the Ratchet present value in the case where the first coupon is fixed. Tested against a previous run number.
     */
    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 CurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, CUR, CURVES_NAMES[0], BUNDLE_HW);
    final double pvMCPreviousRun = 8431517.192;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }
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