Examples of calibrate()

Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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      rhoVegaTotalComputed += pvss.getRho().getMap().get(expiryMaturity);
    }
    final double shiftRho = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1RhoBumped(shiftRho);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftRho = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double rhoVegaTotalExpected = (pvAmortizedShiftRho.getAmount() - pvAmortized.getAmount()) / shiftRho;
    assertEquals("Rho sensitivity value", rhoVegaTotalExpected, rhoVegaTotalComputed, 1.0E+1);

    double nuVegaTotalComputed = 0.0;
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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      nuVegaTotalComputed += pvss.getNu().getMap().get(expiryMaturity);
    }
    final double shiftNu = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1NuBumped(shiftNu);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftNu = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount() - pvAmortized.getAmount()) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, 1.0E+1);

    // Curve sensitivity
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    final CurrencyAmount[] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvLmm[loopexp] = METHOD_LMM.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getLMMBundle());
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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      final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " LMM calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
    // Performance note: calibration: 1-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 130 ms for 100 calibration with 5 swaptions.
  }
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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    final SwaptionPhysicalG2ppCalibrationObjective objective = new SwaptionPhysicalG2ppCalibrationObjective(g2Parameters, ratio);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalG2ppSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
    final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      pvSabr[loopexp] = METHOD_SABR.presentValue(SWAPTION_LONG_PAYER[loopexp], SABR_BUNDLE);
      pvHw[loopexp] = METHOD_G2PP.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getG2Bundle());
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.calibrate()

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      final SwaptionPhysicalG2ppCalibrationObjective objective = new SwaptionPhysicalG2ppCalibrationObjective(g2Parameters, ratio);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalG2ppSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
      pv[looptest] = METHOD_G2PP.presentValue(SWAPTION_LONG_PAYER[EXPIRY_TENOR.length - 1], objective.getG2Bundle());
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions) + price: " + (endTime - startTime) + " ms");
    // Performance note: calibration: 12-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 135 ms for 100 calibration with 5 swaptions.
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine.calibrate()

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    // Calibration instruments
    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.interestrate.swaption.method.SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine.calibrate()

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    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    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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