Examples of HullWhiteOneFactorPiecewiseConstantDataBundle

Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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   * Sets the Hull-White curve bundle using the Hull-White parameters and a given set of curves.
   * @param curves The curves.
   */
  @Override
  public void setCurves(final YieldCurveBundle curves) {
    _hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(_hwParameters, curves);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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   * Sets the Hull-White curve bundle using the Hull-White parameters and a given set of curves.
   * @param curves The curves.
   */
  @Override
  public void setCurves(final YieldCurveBundle curves) {
    _hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(_hwParameters, curves);
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    final double[] hwSensitivityExpected = new double[hwSensitivity.length];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(instrument, bundleBumped).getAmount();
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, METHOD_SWAPTION_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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    final InstrumentDerivative[] calibrationBasket = annuity.calibrationBasket(RatchetIborCalibrationType.FORWARD_COUPON, curves);
    //TODO: set a way to chose the calibration type.
    calibrationEngine.addInstrument(calibrationBasket, METHOD_CAP_SABR);
    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
  }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    final double[] hwSensitivityExpected = new double[nbVolatility];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantDataBundle

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
      volatilityBumped[loopvol] -= 2 * shiftVol;
 
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