Examples of SuccessiveRootFinderLMMDDCalibrationObjective

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

195
196
197
198
199
200
201
202
203
204
205
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

302
303
304
305
306
307
308
309
310
311
312
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

82
83
84
85
86
87
88
89
90
91
92
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

106
107
108
109
110
111
112
113
114
115
116
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveRootFinderLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

117
118
119
120
121
122
123
124
125
126
127
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
          SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
      final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
      final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
      for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
      }
      calibrationEngine.calibrate(SABR_MULTICURVES);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], PVSSC);
    }
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final MultipleCurrencyAmount[] pvSabr = new MultipleCurrencyAmount[SWAP_TENOR_YEAR.length];
    final MultipleCurrencyAmount[] pvLmm = new MultipleCurrencyAmount[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      pvSabr[loopexp] = SWAPTION_LONG_PAYER[loopexp].accept(PVSSC, SABR_MULTICURVES);
      pvLmm[loopexp] = METHOD_LMM.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getLMMProvider());
      assertEquals("Hull-White calibration: swaption " + loopexp, pvSabr[loopexp].getAmount(EUR), pvLmm[loopexp].getAmount(EUR), TOLERANCE_PV);
    }
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderLMMDDCalibrationObjective

349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
          METHOD_SABR.presentValue(swaptionCalibration2[loopcal], SABR_MULTICURVES).getAmount(EUR), TOLERANCE_PV);
    }
    // Calibration and price
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, PVSSC);
    calibrationEngine.calibrate(SABR_MULTICURVES);
    final LiborMarketModelDisplacedDiffusionProviderInterface lmm = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParameters, EUR);
    final MultipleCurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmm);
    final double pvAmortizedPrevious = 1125007.920;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(EUR), TOLERANCE_PV);
    // Method
    final SwaptionPhysicalFixedIborSABRLMMExactMethod method = new SwaptionPhysicalFixedIborSABRLMMExactMethod();
    final MultipleCurrencyAmount pvAmortizedMethod = method.presentValue(swaptionAmortized, SABR_MULTICURVES);
    assertEquals("LMM Amortized pricing", pvAmortized.getAmount(EUR), pvAmortizedMethod.getAmount(EUR), TOLERANCE_PV);

    // SABR parameters sensitivity in all-in-one method.
    final List<Object> results = method.presentValueCurveSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvcs1 = (MultipleCurrencyMulticurveSensitivity) results.get(1);
    final PresentValueSABRSensitivityDataBundle pvss1 = (PresentValueSABRSensitivityDataBundle) results.get(2);

    // SABR parameters sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = method.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);

    // SABR parameters sensitivity (all-in-one)
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
      final DoublesPair expiryMaturity = new DoublesPair(element.getTimeToExpiry(), element.getMaturityTime());
      assertEquals("Sensitivity swaption pv to alpha", pvss1.getAlpha().getMap().get(expiryMaturity), pvss.getAlpha().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to rho", pvss1.getRho().getMap().get(expiryMaturity), pvss.getRho().getMap().get(expiryMaturity), 1E-2);
      assertEquals("Sensitivity swaption pv to nu", pvss1.getNu().getMap().get(expiryMaturity), pvss.getNu().getMap().get(expiryMaturity), 1E-2);
    }
    // SABR parameters sensitivity (parallel shift check)
    SABRInterestRateParameters sabrParameterShift;
    SABRSwaptionProviderDiscount sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SuccessiveRootFinderLMMDDCalibrationObjective objectiveShift = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParametersShift, EUR);
    final CalibrationEngineWithCalculators<SABRSwaptionProviderInterface> calibrationEngineShift = new SuccessiveRootFinderLMMDDCalibrationEngine<>(objectiveShift);
    calibrationEngineShift.addInstrument(swaptionCalibration2, PVSSC);
    final LiborMarketModelDisplacedDiffusionProvider lmmBundleShift = new LiborMarketModelDisplacedDiffusionProvider(MULTICURVES, lmmParametersShift, EUR);

    double alphaVegaTotalComputed = 0.0;
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
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.