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

com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValueCurveSensitivity()
Computes the present value curve sensitivity in the Hull-White one factor model by Monte-Carlo. The sensitivity is computed by Adjoint Algorithmic Differentiation. 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 curve sensitivity.

  }


  @Override
  public MultipleCurrencyMulticurveSensitivity visitAnnuityCouponIborRatchet(final AnnuityCouponIborRatchet annuity, final HullWhiteOneFactorProviderInterface hullWhite) {
    HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    return methodMC.presentValueCurveSensitivity(annuity, annuity.getCurrency(), hullWhite);
  }


}

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   */
  public void presentValueCurveSensitivityMonteCarlo() {
    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final MultipleCurrencyMulticurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, HW_MULTICURVES).cleaned(TOLERANCE_PV_DELTA);
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyMulticurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES).cleaned(TOLERANCE_PV_DELTA);
    AssertSensivityObjects.assertEquals("Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity", pvcsExplicit, pvcsMC, toleranceDelta);
  }


  @Test(enabled = false)
  /**

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    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " swaption Hull-White Monte Carlo method (" + NB_PATH + " paths): " + (endTime - startTime) + " ms / price:" + pvMC.toString());
    // Performance note: HW approximation: 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 250 ms for 25 swaptions (12500 paths).
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " curve sensitivity swaption Hull-White MC method: (" + NB_PATH + " paths) " + (endTime - startTime) + " ms / risk:" + pvcsMC.toString());
    // Performance note: curve sensitivity (40): 03-Dec-2012: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 600 ms for 25 swaptions (12500 paths).

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    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).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    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).

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    // 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).
  }

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