Package com.opengamma.analytics.math.statistics.distribution

Examples of com.opengamma.analytics.math.statistics.distribution.NormalDistribution

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      public Double evaluate(final Double s) {
        if (s == 0) {
          return 0.0;
        }
        final double x = Math.log(s / forward.getSpot());
        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };

    return new ExtendedCoupledPDEDataBundle(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(aStar),
        FunctionalDoublesSurface.from(bStar), -lambda2, initialCondition);
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      public Double evaluate(final Double s) {
        if (s == 0) {
          return 0.0;
        }
        final double x = Math.log(s / forward.getSpot());
        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };

    return new ExtendedCoupledPDEDataBundle(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(alpha),
        FunctionalDoublesSurface.from(beta), lambda2, initialCondition);
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      public Double evaluate(final Double s) {
        if (s <= 0 || initialProb == 0) {
          return 0.0;
        }
        final double x = Math.log(s / forward.getSpot());
        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };
  }
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      public Double evaluate(final Double s) {
        if (s == 0) {
          return 0.0;
        }
        final double x = Math.log(s / forward);
        final NormalDistribution dist = new NormalDistribution(0, sigmaRootT);
        return dist.getPDF(x) / s;
      }
    };
  }
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   */
  public VarianceSwapPureMonteCarloCalculator(final int seed) {
    _useAntithetics = true;
    _calculateVariance = true;
    final RandomEngine random = new MersenneTwister64(seed);
    _norm = new NormalDistribution(0, 1.0, random);
  }
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   */
  public VarianceSwapPureMonteCarloCalculator(final int seed, final boolean useAntithetics, final boolean calculateVariance) {
    _useAntithetics = useAntithetics;
    _calculateVariance = calculateVariance;
    final RandomEngine random = new MersenneTwister64(seed);
    _norm = new NormalDistribution(0, 1.0, random);
  }
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   */
  public EquityVarianceSwapMonteCarloCalculator(final int seed) {
    _useAntithetics = true;
    _calculateVariance = true;
    final RandomEngine random = new MersenneTwister64(seed);
    _norm = new NormalDistribution(0, 1.0, random);
  }
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   */
  public EquityVarianceSwapMonteCarloCalculator(final int seed, final boolean useAntithetics, final boolean calculateVariance) {
    _useAntithetics = useAntithetics;
    _calculateVariance = calculateVariance;
    final RandomEngine random = new MersenneTwister64(seed);
    _norm = new NormalDistribution(0, 1.0, random);
  }
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    final double pt0 = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(t0);
    final double pt1 = CURVES.getCurve(CURVES_NAME[1]).getDiscountFactor(t1);
    double kappa = Math.log((1.0 + deltaF * STRIKE) * pt1 / pt0);
    kappa += -(alpha1 * alpha1 - alpha0 * alpha0) / 2.0;
    kappa /= alpha1 - alpha0;
    final ProbabilityDistribution<Double> normal = new NormalDistribution(0, 1);
    double priceExpected = pt0 / pt1 * normal.getCDF(-kappa - alpha0) - (1.0 + deltaF * STRIKE) * normal.getCDF(-kappa - alpha1);
    priceExpected *= deltaP / deltaF * ptp;
    priceExpected *= NOTIONAL;
    final CurrencyAmount priceMethod = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    assertEquals("Cap/floor: Hull-White pricing", priceExpected, priceMethod.getAmount(), TOLERANCE_PV);
    assertEquals("Cap/floor: Hull-White pricing", CUR, priceMethod.getCurrency());
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    final double ptp = MULTICURVES.getDiscountFactor(EUR, tp);
    final double forward = MULTICURVES.getForwardRate(EURIBOR3M, t0, t1, CAP_LONG.getFixingAccrualFactor());
    double kappa = Math.log((1.0 + deltaF * STRIKE) / (1.0 + deltaF * forward));
    kappa += -(alpha1 * alpha1 - alpha0 * alpha0) / 2.0;
    kappa /= alpha1 - alpha0;
    final ProbabilityDistribution<Double> normal = new NormalDistribution(0, 1);
    double priceExpected = (1.0 + deltaF * forward) * normal.getCDF(-kappa - alpha0) - (1.0 + deltaF * STRIKE) * normal.getCDF(-kappa - alpha1);
    priceExpected *= deltaP / deltaF * ptp;
    priceExpected *= NOTIONAL;
    final MultipleCurrencyAmount priceMethod = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    assertEquals("Cap/floor: Hull-White pricing", priceExpected, priceMethod.getAmount(EUR), TOLERANCE_PV);
  }
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Related Classes of com.opengamma.analytics.math.statistics.distribution.NormalDistribution

  • cern.jet.random.engine.MersenneTwister64
  • cern.jet.random.Normal
  • com.opengamma.analytics.financial.credit.creditdefaultswapoption.pricing.PresentValueCreditDefaultSwapOption
  • com.opengamma.analytics.financial.credit.portfoliolosssimulationmodel.ScenarioGenerator
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapMonteCarloCalculator
  • com.opengamma.analytics.financial.equity.variance.pricing.VarianceSwapPureMonteCarloCalculator
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.CoupledPDEDataBundleProvider
  • com.opengamma.analytics.financial.model.finitedifference.applications.InitialConditionsProvider
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