Package com.opengamma.analytics.math.random

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

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   */
  public void presentValueCurveSensitivityMonteCarlo() {
    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final int nbPath = 30000; // 10000 path -> 200 USD by bp
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned();
    final InterestRateCurveSensitivity diff = pvcsExplicit.cleaned().plus(pvcsMC.multipliedBy(-1)).cleaned();
    final List<DoublesPair> sensiDsc = diff.getSensitivities().get(FUNDING_CURVE_NAME);
    final int nbDsc = sensiDsc.size();
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    final int nbTest = 25;
    CurrencyAmount pvMC = CurrencyAmount.of(CUR, 0.0);
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    InterestRateCurveSensitivity pvcsMC = pvcsExplicit;
    final int nbPath = 12500;
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_HW);
    }
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    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);
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   * Test the present value.
   */
  public void presentValueMCMultiCurves() {
    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 pvLastMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM);
    final double pvLastPreviousRun = 190791.921; // 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, BUNDLE_LMM);
    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, BUNDLE_LMM);
    final double pv6PreviousRun = 159886.927; // 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, BUNDLE_LMM);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pv6Explicit.getAmount(), pv6MC.getAmount(), 1.25E+3);
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    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    final CurrencyAmount pvLongExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST, BUNDLE_LMM);
    final CurrencyAmount pvShortExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST_SHORT, BUNDLE_LMM);
    assertEquals("Cap/floor - LMM - present value - long/short parity", pvLongExplicit.getAmount(), -pvShortExplicit.getAmount(), 1E-2);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvLongMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvShortMC = methodLmmMc.presentValue(CAP_LAST_SHORT, CUR, dsc, BUNDLE_LMM);
    assertEquals("Cap/floor - LMM - present value MC- long/short parity", pvLongMC.getAmount(), -pvShortMC.getAmount(), 1E-2);
  }
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    final double pvFixedExplicit = -SWAP_PAYER.getFirstLeg().getNthPayment(NB_CPN_IBOR - 1).accept(PVC, CURVES);
    final double pvIborExplicit = SWAP_PAYER.getSecondLeg().getNthPayment(NB_CPN_IBOR - 1).accept(PVC, CURVES);
    assertEquals("Cap/floor - LMM - present value Explcit- cap/floor/strike/Ibor parity", pvCapExplicit.getAmount() - pvFloorExplicit.getAmount() + pvFixedExplicit, pvIborExplicit, 1E-2);
    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 pvCapMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvFloorMC = methodLmmMc.presentValue(FLOOR_LAST, CUR, dsc, BUNDLE_LMM);
    assertEquals("Cap/floor - LMM - present value - cap/floor/strike/Ibor parity", pvCapMC.getAmount() - pvFloorMC.getAmount() + pvFixedExplicit, pvIborExplicit, 1.1E+3);
  }
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    long startTime, endTime;
    final int nbTest = 10;

    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    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, CUR, dsc, BUNDLE_LMM).getAmount();
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  /**
   * 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 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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