Examples of com.opengamma.analytics.financial.montecarlo.provider.G2ppMonteCarloMethod.presentValue()

com.opengamma.analytics.financial.montecarlo.provider.G2ppMonteCarloMethod.presentValue()
Computes the present value in the G2++ two factors 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 g2Data The G2++ data (curves and G2++ parameters). @return The present value.

   * Test the present value by approximation vs Monte Carlo.
   */
  public void presentValueMonteCarlo() {
    final int nbPath = 12500;
    final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(SWAPTION_LONG_PAYER, CUR, G2PP_MULTICURVES);
    final MultipleCurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_LONG_PAYER, G2PP_MULTICURVES);
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(CUR), pvMC.getAmount(CUR), 2.5E+4);
  }


  @Test(enabled = false)

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    final int[] nbPath = new int[] {12500, 100000, 1000000, 10000000};
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbPath.length];
    final double[] pvDiff = new double[nbPath.length];
    for (int loopmc = 0; loopmc < nbPath.length; loopmc++) {
      final G2ppMonteCarloMethod methodMC = new G2ppMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath[loopmc]);
      pvMC[loopmc] = methodMC.presentValue(SWAPTION_LONG_PAYER, CUR, G2PP_MULTICURVES);
      pvDiff[loopmc] = pvApproximation.getAmount(CUR) - pvMC[loopmc].getAmount(CUR);
    }
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(CUR), pvMC[nbPath.length - 1].getAmount(CUR), 1.0E+3);
  }

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    @SuppressWarnings("unused")
    MultipleCurrencyAmount pvMC;


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC = methodMC.presentValue(SWAPTION_LONG_PAYER, CUR, G2PP_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv swaption physical G2++ Monte Carlo with " + nbPath + " paths: " + (endTime - startTime) + " ms");
    // Performance note: G2++ price: 04-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 140 ms for 10 swaptions (12500 paths).
  }

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