Package com.opengamma.analytics.financial.montecarlo.provider

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

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  @Test
  /**
   * Test the present value: approximated formula vs Monte Carlo.
   */
  public void presentValueMC() {
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvMC = methodLmmMc.presentValue(SWAPTION_PAYER_LONG, EUR, LMM_MULTICURVES);
    final double pvMCPreviousRun = 1997241.514;
    assertEquals("Swaption physical - LMM - present value Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvApprox = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, LMM_MULTICURVES);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_RECEIVER, MULTICURVES);
    final double forward = SWAP_RECEIVER.accept(PRDC, MULTICURVES);
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    // Performance note: LMM approximation - LMM sensi: 1-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 30 ms for 1000 swaptions.

    System.out.println("Approximation: " + Arrays.toString(pvPayerLongApproximation));

    final int nbPaths = 12500;
    final LiborMarketModelMonteCarloMethod methodLMMMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0), nbPaths, 4.0);
    final int nbTest2 = 5;
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest2; looptest++) {
      pvMC[looptest] = methodLMMMC.presentValue(swaption[looptest], EUR, lmmMulticurves);
    }
    endTime = System.currentTimeMillis();
    System.out.println("[SwaptionPhysicalFixedIborLMMDDMethod] " + nbTest2 + " swaption LMM Monte Carlo method (" + nbPaths + " paths): " + (endTime - startTime) + " ms");
    // Performance note: LMM Monte Carlo: 20-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 swaptions 5Yx5Y/12500 paths/5 jumps.
  }
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  @Test(enabled = true)
  /**
   * Test the present value.
   */
  public void presentValueMCMultiCurves() {
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvLastMC = methodLmmMc.presentValue(CAP_LAST, EUR, LMM_MULTICURVES);
    final double pvLastPreviousRun = 45829.535; // 12500 paths - 1Y jump
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastPreviousRun, pvLastMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvLastExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST, LMM_MULTICURVES);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastExplicit.getAmount(EUR), pvLastMC.getAmount(EUR), 2.5E+2);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pv6MC = methodLmmMc.presentValue(CAP_6, EUR, LMM_MULTICURVES);
    final double pv6PreviousRun = 12081.062; // 12500 paths - 1Y jump
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pv6PreviousRun, pv6MC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pv6Explicit = METHOD_LMM_CAP.presentValue(CAP_6, LMM_MULTICURVES);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pv6Explicit.getAmount(EUR), pv6MC.getAmount(EUR), 1.0E+2);
  }
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   */
  public void longShortParity() {
    final MultipleCurrencyAmount pvLongExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST, LMM_MULTICURVES);
    final MultipleCurrencyAmount pvShortExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST_SHORT, LMM_MULTICURVES);
    assertEquals("Cap/floor - LMM - present value - long/short parity", pvLongExplicit.getAmount(EUR), -pvShortExplicit.getAmount(EUR), TOLERANCE_PV);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvLongMC = methodLmmMc.presentValue(CAP_LAST, EUR, LMM_MULTICURVES);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodLmmMc.presentValue(CAP_LAST_SHORT, EUR, LMM_MULTICURVES);
    assertEquals("Cap/floor - LMM - present value MC- long/short parity", pvLongMC.getAmount(EUR), -pvShortMC.getAmount(EUR), TOLERANCE_PV);
  }
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    final MultipleCurrencyAmount pvFloorExplicit = METHOD_LMM_CAP.presentValue(FLOOR_LAST, LMM_MULTICURVES);
    final MultipleCurrencyAmount pvFixedExplicit = SWAP_PAYER.getFirstLeg().getNthPayment(NB_CPN_IBOR - 1).accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount pvIborExplicit = SWAP_PAYER.getSecondLeg().getNthPayment(NB_CPN_IBOR - 1).accept(PVDC, MULTICURVES);
    assertEquals("Cap/floor - LMM - present value Explcit- cap/floor/strike/Ibor parity", pvCapExplicit.getAmount(EUR) - pvFloorExplicit.getAmount(EUR) - pvFixedExplicit.getAmount(EUR),
        pvIborExplicit.getAmount(EUR), TOLERANCE_PV);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvCapMC = methodLmmMc.presentValue(CAP_LAST, EUR, LMM_MULTICURVES);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvFloorMC = methodLmmMc.presentValue(FLOOR_LAST, EUR, LMM_MULTICURVES);
    assertEquals("Cap/floor - LMM - present value - cap/floor/strike/Ibor parity", pvCapMC.getAmount(EUR) - pvFloorMC.getAmount(EUR) - pvFixedExplicit.getAmount(EUR), pvIborExplicit.getAmount(EUR),
        1.0E+3);
  }
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   */
  public void performance() {
    long startTime, endTime;
    final int nbTest = 10;

    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final double[] pvMC = new double[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodLmmMc.presentValue(CAP_LAST, EUR, LMM_MULTICURVES).getAmount(EUR);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " cap/floor LMM Monte Carlo method (" + NB_PATH + " paths): " + (endTime - startTime) + " ms");
    // Performance note: LMM Monte Carlo: 15-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 995 ms for 10 cap (12,500 paths).

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  @Test
  /**
   * Test the Ratchet present value in the case where the first coupon is fixed. Tested against a previous run number.
   */
  public void presentValueFixed() {
    LiborMarketModelMonteCarloMethod methodMC;
    methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, EUR, LMM_MULTICURVES);
    final double pvMCPreviousRun = 8030175.607;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
  }
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  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    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 MultipleCurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, EUR, bundleLMM);
    final double pvMCPreviousRun = 7675269.115;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Test the Ratchet present value in the degenerate case where the coupon are fixed (floor=cap).
   */
  public void presentValueFixedLeg() {
    final int nbPath = 12500;
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final double[] mainFixed = new double[] {0.0, 0.0, 0.0};
    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(EUR), pvFixedMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }
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    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE, ratchetFixedDefinition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, EUR, bundleLMM);
    final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(EUR), pvIborMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }
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Related Classes of com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod

  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborLMMDDMethodTest
  • com.opengamma.analytics.financial.model.interestrate.definition.LiborMarketModelDisplacedDiffusionParameters
  • com.opengamma.analytics.financial.montecarlo.DecisionSchedule
  • com.opengamma.analytics.financial.montecarlo.MonteCarloIborRateDataBundle
  • com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface
  • com.opengamma.analytics.math.matrix.CommonsMatrixAlgebra
  • com.opengamma.analytics.math.matrix.DoubleMatrix2D
  • com.opengamma.analytics.math.matrix.MatrixAlgebra
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