Examples of LiborMarketModelMonteCarloMethod

com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod
Monte Carlo pricing method in the Libor Market Model with Displaced Diffusion. @deprecated Use {@link com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod}
com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod
Monte Carlo pricing method in the Libor Market Model with Displaced Diffusion.

Examples of com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod

  /**
   * Test the Ratchet present value in the degenerate case where the coupon are fixed (floor=cap).
   */
  public void presentValueFixedLeg() {
    final int nbPath = 12500;
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    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, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, 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);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(EUR), pvFixedMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod

    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE, ratchetFixedDefinition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount bundleLMM = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, EUR, bundleLMM);
    final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(EUR), pvIborMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod

    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    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 LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = CapFloorIborLMMDDMethod.getInstance();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, 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(EUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES));
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected = pvFlooredExpected.plus(methodCapLMM.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), LMM_MULTICURVES).multipliedBy(factor));
      pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor));
    }
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - LMM - Degenerate in floor leg", pvFlooredExpected.getAmount(EUR), pvFloorMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }

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Examples of com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod

        IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET);
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, annuityRatchetIbor20Definition);
    final LiborMarketModelDisplacedDiffusionProviderDiscount LMMmulticurves = new LiborMarketModelDisplacedDiffusionProviderDiscount(MULTICURVES, parameterLMM, EUR);
    final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    //    InterestRateCurveSensitivity[] pvcsMC = new InterestRateCurveSensitivity[nbTest];


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, EUR, LMMmulticurves);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv Ratchet Ibor LMM MC method (provider): " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths): 18-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 5900 ms for 5 Ratchet (20 coupons each). ???
  }

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