Package com.opengamma.analytics.math.random

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

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  public void performanceMC() {
    long startTime, endTime;
    final int nbTest = 10;

    final int nbPath = 12500;
    final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    @SuppressWarnings("unused")
    MultipleCurrencyAmount pvMC;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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  /**
   * 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);
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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);
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  /**
   * 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 CurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    final double pvMCPreviousRun = 8525698.689;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }
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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, CURVES_NAMES);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    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 CurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, EUR, CURVES.getCurve(CURVES_NAMES[0]), bundleLMM);
    final double pvMCPreviousRun = 8259675.715;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }
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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, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
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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 LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), bundleLMM);
    final double pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVC, CURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected, pvIborMC.getAmount(), 1.0E+4);
    // For 500,000 path the difference is 755.92
  }
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    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = new CapFloorIborLMMDDMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
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        INDEX_EURIBOR3M, IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, annuityRatchetIbor20Definition);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount[] pvMC = new CurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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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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Related Classes of com.opengamma.analytics.math.random.NormalRandomNumberGenerator

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  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.PresentValueHullWhiteMonteCarloCalculator
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