Package com.opengamma.analytics.math.random

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

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    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 int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, 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(CUR, 0.0);
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    final AnnuityCouponIborRatchet ratchetIbor = ratchetIborDefinition.toDerivative(referenceDate, fixing);
    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(referenceDate, fixing);
    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    //    long startTime, endTime;
    //    startTime = System.currentTimeMillis();
    final MultipleCurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, HW_MULTICURVES);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
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    final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL, EURIBOR3M,
        IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    final MultipleCurrencyMulticurveSensitivity[] pvcsMC = new MultipleCurrencyMulticurveSensitivity[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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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 CurrencyAmount pvMC = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    final CurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(), pvMC.getAmount(), 2.5E+4);
  }
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  public void presentValueMonteCarloConvergence() {
    final CurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
    final int[] nbPath = new int[] {12500, 100000, 1000000, 5000000 };
    final CurrencyAmount[] pvMC = new CurrencyAmount[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_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    }
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(), pvMC[nbPath.length - 1].getAmount(), 1.0E+3);
  }
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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")
    CurrencyAmount pvMC;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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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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