Examples of HullWhiteOneFactorPiecewiseConstantParameters

com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters
Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.

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

    Validate.notNull(annuity);
    Validate.notNull(curves);
    if (!(curves instanceof SABRInterestRateDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueSABRHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
    }
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    final InstrumentDerivative[] calibrationBasket = annuity.calibrationBasket(RatchetIborCalibrationType.FORWARD_COUPON, curves);
    //TODO: set a way to chose the calibration type.

View Full Code Here

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

    System.arraycopy(HW_PARAMETERS.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    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(EUR);
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW.presentValue(instrument, bundleBumped).getAmount(EUR);
      hwSensitivityExpected[loopvol] = (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol);
      assertEquals("Cap/floor Ibor - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + (hwSensitivityExpected[loopvol] - hwSensitivity[loopvol]),
          hwSensitivityExpected[loopvol], hwSensitivity[loopvol], 1.0E-0);
      volatilityBumped[loopvol] = HW_PARAMETERS.getVolatility()[loopvol];

View Full Code Here

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

    private static final String CURRENCY_FIELD = "currency";


    @Override
    public HullWhiteOneFactorProviderDiscount buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final MulticurveProviderDiscount multicurves = deserializer.fieldValueToObject(MulticurveProviderDiscount.class, message.getByName(CURVE_PROVIDER_FIELD));
      final HullWhiteOneFactorPiecewiseConstantParameters parameters = deserializer.fieldValueToObject(HullWhiteOneFactorPiecewiseConstantParameters.class,
          message.getByName(HULL_WHITE_PARAMETERS_FIELD));
      final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
      return new HullWhiteOneFactorProviderDiscount(multicurves, parameters, currency);
    }

View Full Code Here

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

      n = timeFields.size();
      final double[] times = new double[n];
      for (int i = 0; i < n; i++) {
        times[i] = (Double) timeFields.get(i).getValue();
      }
      return new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, volatilities, times);
    }

View Full Code Here

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

   * Create a set of Hull-White parameters with constant volatility for testing. The mean reversion is 1%.
   * @param sigma The Hull-White volatility.
   * @return The hull-White parameters.
   */
  public static HullWhiteOneFactorPiecewiseConstantParameters createHullWhiteParametersCst(final double sigma) {
    return new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, new double[] {sigma}, new double[0]);
  }

View Full Code Here

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

   * Create a set of Hull-White parameters with constant volatility for testing. The mean reversion is 1%.
   * @param sigma The Hull-White volatility.
   * @return The hull-White parameters.
   */
  public static HullWhiteOneFactorPiecewiseConstantParameters createHullWhiteParametersCst(final double sigma) {
    return new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, new double[] {sigma}, new double[0]);
  }

View Full Code Here

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

    assertEquals(bundle, cycleObject(CurveBuildingBlockBundle.class, bundle));
  }


  @Test
  public void testHullWhiteParameters() {
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(0.04,
        new double[] {0.1, 0.2, 0.3, 0.4, 0.5}, new double[] {1, 2, 3, 4, 5});
    assertEquals(parameters, cycleObject(HullWhiteOneFactorPiecewiseConstantParameters.class, parameters));
  }

View Full Code Here

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

        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount multicurve = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(0.04, new double[] {0.1, 0.2, 0.3, 0.4, 0.5}, new double[] {1, 2, 3, 4, 5});
    final HullWhiteOneFactorProviderDiscount provider = new HullWhiteOneFactorProviderDiscount(multicurve, parameters, Currency.USD);
    assertEquals(provider, cycleObject(HullWhiteOneFactorProviderDiscount.class, provider));
  }

View Full Code Here

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

  @Test
  /**
   * Tests the equal and hash code methods.
   */
  public void equalHash() {
    final HullWhiteOneFactorPiecewiseConstantParameters newParameter = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, VOLATILITY, VOLATILITY_TIME);
    assertTrue("Hull-White model equals", MODEL_PARAMETERS.equals(newParameter));
    assertTrue("Hull-White model hash code", MODEL_PARAMETERS.hashCode() == newParameter.hashCode());
    final HullWhiteOneFactorPiecewiseConstantParameters modifiedParameter = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION + 0.01, VOLATILITY, VOLATILITY_TIME);
    assertFalse("Hull-White model equals", MODEL_PARAMETERS.equals(modifiedParameter));
  }

View Full Code Here

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

    final double[] sigmaBarExpected = new double[nbSigma];
    final double shift = 1E-6;
    for (int loops = 0; loops < nbSigma; loops++) {
      double[] volBumped = VOLATILITY.clone();
      volBumped[loops] += shift;
      HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volBumped, VOLATILITY_TIME);
      double factorPlus = MODEL.futuresConvexityFactor(parametersBumped, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
      volBumped[loops] -= 2 * shift;
      parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volBumped, VOLATILITY_TIME);
      double factorMinus = MODEL.futuresConvexityFactor(parametersBumped, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
      sigmaBarExpected[loops] = (factorPlus - factorMinus) / (2 * shift);
      assertEquals("Hull-White one factor: future convexity adjusment factor", sigmaBarExpected[loops], sigmaBar[loops], TOLERANCE_RATE);
    }
  }

View Full Code Here

0 1 2 3 4 5

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.