Package com.opengamma.analytics.math.random

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

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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);
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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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    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, EURIBOR3M, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = CapFloorIborLMMDDMethod.getInstance();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(EUR, 0.0);
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        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 LiborMarketModelDisplacedDiffusionProviderDiscount LMMmulticurves = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

    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() {
    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 pvMC = methodLmmMc.presentValue(SWAPTION_PAYER_LONG, CUR, dsc, BUNDLE_LMM);
    final double pvMCPreviousRun = 4371960.422;
    assertEquals("Swaption physical - LMM - present value Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    final CurrencyAmount pvApprox = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, BUNDLE_LMM);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_RECEIVER, CURVES);
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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() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(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, CUR, HW_MULTICURVES);
    final double pvMCPreviousRun = 4658897.913;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(CUR), TOLERANCE_PV);
  }
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  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(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, CUR, HW_MULTICURVES);
    final double pvMCPreviousRun = 4406845.218;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(CUR), 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() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    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);
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    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final int nbPath = 175000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(CUR), pvIborMC.getAmount(CUR), 3.0E+3);
  }
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Related Classes of com.opengamma.analytics.math.random.NormalRandomNumberGenerator

  • com.opengamma.analytics.financial.credit.portfoliolosssimulationmodel.ScenarioGenerator
  • 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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