Package com.opengamma.analytics.math.random

Examples of com.opengamma.analytics.math.random.NormalRandomNumberGenerator

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  public void performance() {
    long startTime, endTime;
    final int nbTest = 10;

    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final double[] pvMC = new double[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodLmmMc.presentValue(CAP_LAST, EUR, LMM_MULTICURVES).getAmount(EUR);
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  public void presentValueFixed() {
    /**
     * Test the Ratchet present value in the case where the first coupon is fixed. Tested against a previous run number.
     */
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, CUR, CURVES_NAMES[0], BUNDLE_HW);
    final double pvMCPreviousRun = 8431517.192;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }
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  @Test
  public void presentValueIbor() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, CUR, CURVES_NAMES[0], BUNDLE_HW);
    final double pvMCPreviousRun = 8172059.762;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }
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  /**
   * Test the Ratchet present value in the degenerate case where the coupon are fixed (floor=cap).
   */
  public void presentValueFixedLeg() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final double[] mainFixed = new double[] {0.0, 0.0, 0.0};
    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, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
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    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final int nbPath = 175000;
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);
    final double pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVC, CURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected, pvIborMC.getAmount(), 2.5E+3);
  }
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    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, IBOR_INDEX, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    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 CurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
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    final AnnuityCouponIborRatchet ratchetIbor = ratchetIborDefinition.toDerivative(referenceDate, fixing, CURVES_NAMES);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, IBOR_INDEX, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(referenceDate, fixing, CURVES_NAMES);
    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 CurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, CURVES_NAMES[0], BUNDLE_HW);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
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  public void presentValueCurveSensitivityFixed() {
    final double deltaTolerancePrice = 1.0E+4;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    HullWhiteMonteCarloMethod methodMC;
    final int nbPath = 50000;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(ANNUITY_RATCHET_FIXED, CURVES_NAMES[0], BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned(1.0E-10, 1.0E-2); // (1.0E-10, 1.0E-2);

    final PresentValueHullWhiteMonteCarloCalculator calculator = new PresentValueHullWhiteMonteCarloCalculator(nbPath);
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    final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL, IBOR_INDEX,
        IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount[] pvMC = new CurrencyAmount[nbTest];
    final InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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  /**
   * Test the Ratchet present value in the case where the first coupon is fixed. Tested against a previous run number.
   */
  public void presentValueFixed() {
    LiborMarketModelMonteCarloMethod methodMC;
    methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, EUR, LMM_MULTICURVES);
    final double pvMCPreviousRun = 8030175.607;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
  }
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Related Classes of com.opengamma.analytics.math.random.NormalRandomNumberGenerator

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  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.PresentValueHullWhiteMonteCarloCalculator
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