Examples of presentValue()

Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethod.presentValue()

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        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.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValue()

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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValue(swaption, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }

  @Override
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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValue()

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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
      return method.presentValue(swaption, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }

  @Override
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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValue()

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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValue(swaption, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
  }

  @Override
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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValue()

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    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
      return method.presentValue(swaption, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");

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

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   * 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 CurrencyAmount pvMC = methodMC.presentValue(SWAPTION_PAYER_LONG, CUR, FUNDING_CURVE_NAME, BUNDLE_G2PP);
    final CurrencyAmount pvApproximation = METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
    assertEquals("Swaption physical - G2++ - present value - approximation vs Monte Carlo", pvApproximation.getAmount(), pvMC.getAmount(), 2.5E+4);
  }

  @Test(enabled = false)
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Examples of com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()

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    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC
        .presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }

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

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    Validate.notNull(curves);
    if (!(curves instanceof HullWhiteOneFactorPiecewiseConstantDataBundle)) {
      throw new UnsupportedOperationException("The PresentValueHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a HullWhiteOneFactorPiecewiseConstantDataBundle as data.");
    }
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), _nbPath);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), (HullWhiteOneFactorPiecewiseConstantDataBundle) curves);
    return pvMC.getAmount();
  }

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

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  public void monteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, BUNDLE_HW);
    final CurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(), pvMC.getAmount(), 4.0E+2);
    final double pvMCPreviousRun = 150060.593;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final CurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, CUR, CURVES_NAME[0], BUNDLE_HW);
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Examples of com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()

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    final CurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(), pvMC.getAmount(), 4.0E+2);
    final double pvMCPreviousRun = 150060.593;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final CurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, CUR, CURVES_NAME[0], BUNDLE_HW);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(), pvShortMC.getAmount(), 1.0E-2);
  }

  @Test(enabled = false)
  /**
 
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