Package com.opengamma.analytics.math.random

Examples of com.opengamma.analytics.math.random.NormalRandomNumberGenerator

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    long startTime, endTime;
    final int nbTest = 25;
    MultipleCurrencyAmount pvMC = MultipleCurrencyAmount.of(EUR, 0.0);
    final MultipleCurrencyMulticurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    MultipleCurrencyMulticurveSensitivity pvcsMC = pvcsExplicit;
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    }
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    double[] aaGuess1 = new double[nParams];
    final double[] aaGuess1X = new double[nParamsX];
    final double[] aaGuess1Y = new double[nParamsY];

    final Random objRand = new Random();
    final NormalRandomNumberGenerator objRandNorm = new NormalRandomNumberGenerator(0, 5e-3);

    final double[] inRelativePartialForwardsX = {1., 1. };
    final double[] inRelativePartialForwardsY = {Math.exp(-0.2), (1. - Math.exp(-0.2) * 0.7) / 0.3 };

    final double[] inSigmasX = {0.25, 0.7 };
    final double[] inSigmasY = {0.3, 0.5 };

    final double[] inWeights = {0.7, 0.3 };

    final MixedLogNormalModelData inObjX = new MixedLogNormalModelData(inWeights, inSigmasX, inRelativePartialForwardsX);
    final MixedLogNormalModelData inObjY = new MixedLogNormalModelData(inWeights, inSigmasY, inRelativePartialForwardsY);

    final double[] xx = new double[] {0.5, 0.7, 0.9, 1.0, 1.2, 1.5, 1.8, 0.5, 0.7, 0.9, 1.0, 1.2, 1.5, 1.8 };

    final MixedLogNormalVolatilityFunction volfunc = MixedLogNormalVolatilityFunction.getInstance();
    Arrays.fill(yy, 0.);

    for (int j = 0; j < nDataPtsX; ++j) {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(xx[j], time, true);
      final double[] tmpRandNorm = objRandNorm.getVector(1);
      yyNoRand[j] = volfunc.getVolatility(option, fwdX, inObjX);
      yy[j] = yyNoRand[j] * (1. + tmpRandNorm[0]);
    }

    for (int j = nDataPtsX; j < nDataPts; ++j) {
      final EuropeanVanillaOption option = new EuropeanVanillaOption(xx[j], time, true);
      final double[] tmpRandNorm = objRandNorm.getVector(1);
      yyNoRand[j] = volfunc.getVolatility(option, fwdY, inObjY);
      yy[j] = yyNoRand[j] * (1. + tmpRandNorm[0]);
    }

    for (int j = 0; j < nDataPts; ++j) {
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  /**
   * 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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  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++) {
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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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  /**
   * 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 MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(EUR), pvShortMC.getAmount(EUR), TOLERANCE_PV);
  }
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  public void performance() {
    long startTime, endTime;
    final MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    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();
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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 MultipleCurrencyAmount pvMC = methodMC.presentValue(SWAPTION_LONG_PAYER, CUR, G2PP_MULTICURVES);
    final MultipleCurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, G2PP_MULTICURVES);
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(CUR), pvMC.getAmount(CUR), 2.5E+4);
  }
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    final MultipleCurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, G2PP_MULTICURVES);
    final int[] nbPath = new int[] {12500, 100000, 1000000, 10000000};
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbPath.length];
    final double[] pvDiff = new double[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_LONG_PAYER, CUR, G2PP_MULTICURVES);
      pvDiff[loopmc] = pvApproximation.getAmount(CUR) - pvMC[loopmc].getAmount(CUR);
    }
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(CUR), pvMC[nbPath.length - 1].getAmount(CUR), 1.0E+3);
  }
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