Examples of HullWhiteMonteCarloMethod

com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod
Monte Carlo pricing method in the hull-White one factor model. The Monte Carlo is on the solution of the discount factor (not on the equation of the short rate). @deprecated Use {@link com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod}
com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod
Monte Carlo pricing method in the hull-White one factor model. The Monte Carlo is on the solution of the discount factor (not on the equation of the short rate).

Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

  @Test(enabled = true)
  /**
   * Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities.
   */
  public void presentValueMonteCarlo() {
    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 pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    final MultipleCurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(EUR), pvPayerLongMC.getAmount(EUR), 1.0E+4);
    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(EUR), pvPayerShortMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR), pvSwap.getAmount(EUR), 1.0E+5);
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

   * Tests the curve sensitivity in Monte Carlo approach.
   */
  public void presentValueCurveSensitivityMonteCarlo() {
    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final MultipleCurrencyMulticurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES).cleaned(TOLERANCE_PV_DELTA);
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyMulticurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES).cleaned(TOLERANCE_PV_DELTA);
    AssertSensivityObjects.assertEquals("Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity", pvcsExplicit, pvcsMC, toleranceDelta);
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

    long startTime, endTime;
    final int nbTest = 25;
    MultipleCurrencyAmount pvMC = MultipleCurrencyAmount.of(EUR, 0.0);
    final MultipleCurrencyMulticurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    MultipleCurrencyMulticurveSensitivity pvcsMC = pvcsExplicit;
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = METHOD_HW_MONTECARLO.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " swaption Hull-White Monte Carlo method (" + NB_PATH + " paths): " + (endTime - startTime) + " ms / price:" + pvMC.toString());
    // Performance note: HW approximation: 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250 ms for 25 swaptions (12500 paths).
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " curve sensitivity swaption Hull-White MC method: (" + NB_PATH + " paths) " + (endTime - startTime) + " ms / risk:" + pvcsMC.toString());
    // Performance note: curve sensitivity (40): 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 600 ms for 25 swaptions (12500 paths).

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

  @Test(enabled = true)
  /**
   * Compare explicit formula with Monte-Carlo and long/short and payer/receiver parities.
   */
  public void monteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(EUR), pvShortMC.getAmount(EUR), TOLERANCE_PV);
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

   * Performance for a high number of paths.
   */
  public void performance() {
    long startTime, endTime;
    final MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    HullWhiteMonteCarloMethod methodMC;
    final int nbPath = 1000000;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final int nbTest = 10;
    final double[] pv = new double[nbTest];
    final double[] pvDiff = new double[nbTest];


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pv[looptest] = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES).getAmount(EUR);
      pvDiff[looptest] = pv[looptest] - pvExplicit.getAmount(EUR);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv cap/floor Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms. Error: " + pvDiff[0]);
    // Performance note: price: 12-Jun-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 cap with 1,000,000 paths.

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

  @Test
  /**
   * 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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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod


  @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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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

  @Test
  /**
   * 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);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final MultipleCurrencyAmount pvFixedMC = 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, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    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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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod

        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 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);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES));

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