Examples of presentValue()

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

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    final int nbTest = 10;
    final double[] pv = new double[nbTest];
    final double[] pvDiff = new double[nbTest];
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pv[looptest] = methodMC.presentValue(CAP_LONG, CUR, CURVES_NAME[0], BUNDLE_HW).getAmount();
      pvDiff[looptest] = pv[looptest] - pvExplicit.getAmount();
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv cap/floor Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    // Performance note: price: 12-Jun-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 cap with 1,000,000 paths.
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Examples of com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()

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    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(swaption, swaption.getCurrency(), swaption.getUnderlyingSwap().getFirstLeg().getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
  }

  @Override
  public Double visitAnnuityCouponIborRatchet(final AnnuityCouponIborRatchet annuity, final YieldCurveBundle curves) {
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Examples of com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()

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    // Calibration
    calibrationEngine.calibrate(curves);
    final HullWhiteOneFactorPiecewiseConstantDataBundle hwBundle = new HullWhiteOneFactorPiecewiseConstantDataBundle(hwParameters, curves);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    final CurrencyAmount pvMC = methodMC.presentValue(annuity, annuity.getCurrency(), annuity.getDiscountCurve(), hwBundle);
    return pvMC.getAmount();
  }

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

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    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(referenceDate, ANNUITY_RATCHET_FIXED_DEFINITION);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(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, EUR, CURVES.getCurve(CURVES_NAMES[0]), bundleLMM);
    final double pvMCPreviousRun = 8259675.715;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }

  @Test
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Examples of com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod.presentValue()

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    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 1.0E+2);
    // For 500,000 path the difference is 1.65
  }

  @Test(enabled = true)
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Examples of com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod.presentValue()

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      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
    final LiborMarketModelDisplacedDiffusionParameters parameterLMM = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE, ratchetFixedDefinition);
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLMM = new LiborMarketModelDisplacedDiffusionDataBundle(parameterLMM, CURVES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), bundleLMM);
    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(), 1.0E+4);
    // For 500,000 path the difference is 755.92
  }
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Examples of com.opengamma.analytics.financial.montecarlo.provider.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 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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Examples of com.opengamma.analytics.financial.montecarlo.provider.G2ppMonteCarloMethod.presentValue()

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

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

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  }

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

}
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