Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()

com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency. @param hwData The Hull-White data (curves and Hull-White parameters). @return The present value.

    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);


    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);

View Full Code Here

      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final int nbPath = 175000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(CUR), pvIborMC.getAmount(CUR), 3.0E+3);
  }


  @Test(enabled = true)

View Full Code Here

    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, EURIBOR3M, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(CUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES));

View Full Code Here

    final int nbPath = 100000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    //    long startTime, endTime;
    //    startTime = System.currentTimeMillis();
    final MultipleCurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, HW_MULTICURVES);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate);

View Full Code Here

    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    final MultipleCurrencyMulticurveSensitivity[] pvcsMC = new MultipleCurrencyMulticurveSensitivity[nbTest];


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 565 ms for 10 Ratchet (20 coupons each).

View Full Code Here

    System.out.println(nbTest + " delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC delta (40 deltas - 12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1220 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES);
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv/delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths) - pv/delta: 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1760 ms for 10 Ratchet (20 coupons each).

View Full Code Here

0 1

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.