Package com.opengamma.analytics.financial.interestrate.method

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);
    //TODO: Create a way to chose the calibration type.
    final InstrumentDerivative[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    return CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount());
  }

  @Override
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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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    // 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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    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(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_HW.presentValue(SWAPTION_LONG_PAYER[loopexp], objective.getHwBundle());
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      final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(HwParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
    // Performance note: calibration: 31-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 410 ms for 100 calibration with 5 swaptions.
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    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), METHOD_CAP_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[CAP.getNumberOfPayments()];
    final CurrencyAmount[] pvHw = new CurrencyAmount[CAP.getNumberOfPayments()];
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      pvSabr[loopexp] = METHOD_CAP_SABR.presentValue(CAP.getNthPayment(loopexp), SABR_BUNDLE);
      pvHw[loopexp] = METHOD_CAP_HW.presentValue(CAP.getNthPayment(loopexp), objective.getHwBundle());
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    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, METHOD_SABR);
    calibrationEngine.calibrate(sabrBundle);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, CURVES);
    final CurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmmBundle);
    final double pvAmortizedPrevious = 3058997.117;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(), 1.0E-2);
    // Method
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      alphaVegaTotalComputed += pvss.getAlpha().getMap().get(expiryMaturity);
    }
    final double shiftAlpha = 0.00001;
    sabrParameterShift = TestsDataSetsSABR.createSABR1AlphaBumped(shiftAlpha);
    sabrBundleShift = new SABRInterestRateDataBundle(sabrParameterShift, CURVES);
    calibrationEngineShift.calibrate(sabrBundleShift);
    final CurrencyAmount pvAmortizedShiftAlpha = METHOD_LMM.presentValue(swaptionAmortized, lmmBundleShift);
    final double alphaVegaTotalExpected = (pvAmortizedShiftAlpha.getAmount() - pvAmortized.getAmount()) / shiftAlpha;
    assertEquals("Alpha sensitivity value", alphaVegaTotalExpected, alphaVegaTotalComputed, 1.0E+2);

    double rhoVegaTotalComputed = 0.0;
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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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      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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