Examples of HullWhiteMonteCarloMethod

    final DoubleTimeSeries<ZonedDateTime> fixing = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {referenceDate}, new double[] {FIRST_CPN_RATE});
    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");
    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(referenceDate);

    final int nbPath = 12500;
    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++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 565 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC delta (40 deltas - 12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1220 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES);
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv/delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths) - pv/delta: 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1760 ms for 10 Ratchet (20 coupons each).
  }

Examples of HullWhiteMonteCarloMethod

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

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