Package com.opengamma.analytics.financial.provider.method

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderHullWhiteCalibrationObjective

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  public MultipleCurrencyAmount visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, ccy);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, PVSSC);
    // Calibration
    calibrationEngine.calibrate(sabrData);
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   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
    }
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final MultipleCurrencyAmount[] pvSabr = new MultipleCurrencyAmount[EXPIRY_TENOR.length];
    final MultipleCurrencyAmount[] pvHw = new MultipleCurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      pvSabr[loopexp] = SWAPTION_LONG_PAYER[loopexp].accept(PVSSC, SABR_MULTICURVES);
      pvHw[loopexp] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getHwProvider());
      assertEquals("Hull-White calibration: swaption " + loopexp, pvSabr[loopexp].getAmount(EUR), pvHw[loopexp].getAmount(EUR), TOLERANCE_PV);
    }
  }
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    final int nbTest = 100;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
      final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
      final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
      }
      calibrationEngine.calibrate(SABR_MULTICURVES);
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   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRCapProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), PVSCC);
    }
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final MultipleCurrencyAmount[] pvSabr = new MultipleCurrencyAmount[CAP.getNumberOfPayments()];
    final MultipleCurrencyAmount[] pvHw = new MultipleCurrencyAmount[CAP.getNumberOfPayments()];
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      pvSabr[loopexp] = CAP.getNthPayment(loopexp).accept(PVSCC, SABR_MULTICURVES);
      pvHw[loopexp] = METHOD_CAP_HW.presentValue((CapFloorIbor) CAP.getNthPayment(loopexp), objective.getHwProvider());
      assertEquals("Hull-White calibration: cap/floor " + loopexp, pvSabr[loopexp].getAmount(EUR), pvHw[loopexp].getAmount(EUR), TOLERANCE_PV);
    }
  }
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Related Classes of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderHullWhiteCalibrationObjective

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  • com.opengamma.analytics.financial.interestrate.swaption.provider.SuccessiveRootFinderSwaptionPhysicalHullWhiteCalibrationObjectiveTest
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