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

  /**
   * Test the present value: approximated formula vs Monte Carlo.
   */
  public void presentValueMC() {
    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvMC = methodLmmMc.presentValue(SWAPTION_PAYER_LONG, CUR, dsc, BUNDLE_LMM);
    final double pvMCPreviousRun = 4371960.422;
    assertEquals("Swaption physical - LMM - present value Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    final CurrencyAmount pvApprox = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, BUNDLE_LMM);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_RECEIVER, CURVES);
    final double forward = SWAP_RECEIVER.accept(PRC, CURVES);

    final YieldCurveBundle curves1 = new YieldCurveBundle();
    curves1.setCurve(CURVES_NAME[0], CURVES.getCurve(CURVES_NAME[1]));
    curves1.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLmm1 = new LiborMarketModelDisplacedDiffusionDataBundle(PARAMETERS_LMM, curves1);
    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[1]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvLastMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, bundleLmm1);
    final double pvLastPreviousRun = 187362.915; // 12500 paths - 1Y jump
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastPreviousRun, pvLastMC.getAmount(), 1E-2);
    final CurrencyAmount pvLastExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST, bundleLmm1);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastExplicit.getAmount(), pvLastMC.getAmount(), 2.0E+2);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pv6MC = methodLmmMc.presentValue(CAP_6, CUR, dsc, bundleLmm1);
    final double pv6PreviousRun = 154023.582; // 12500 paths - 1Y jump
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pv6PreviousRun, pv6MC.getAmount(), 1E-2);
    final CurrencyAmount pv6Explicit = METHOD_LMM_CAP.presentValue(CAP_6, bundleLmm1);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pv6Explicit.getAmount(), pv6MC.getAmount(), 1.25E+3);
  }

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

Related Classes of com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod