List of presentValue() Examples

Examples of presentValue()

com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod.presentValue()
@param derivative An EquityIndexOption, the OG-Analytics form of the derivative @param marketData A StaticReplicationDataBundle, containing a BlackVolatilitySurface, forward equity and funding curves @return The present value of the option
com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod.presentValue()
@param derivative An EquityOption, the OG-Analytics form of the derivative @param marketData A StaticReplicationDataBundle, containing a BlackVolatilitySurface, forward equity and funding curves @return The present value of the option
com.opengamma.analytics.financial.equity.variance.pricing.VarianceSwapStaticReplication.presentValue()
Calculates the present value of a variance swap using static replication @param deriv The variance swap, not null @param market Bundle containing market data, not null @return The present value
com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValue()
Computes the present value of a bond security (without settlement amount payment). @param bond The bond security. @param curves The curve bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValue()
Compute the present value of a fixed coupon bond transaction. @param bond The bond transaction. @param curves The curve bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValue()
Computes the present value of future from the curves using the cheapest-to-deliver and computing the value as a forward. @param future The future. @param curves The yield curves. Should contain the credit and repo curves associated with the instrument. @return The present value.
com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureTransactionDiscountingMethod.presentValue()
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValue()
Compute the present value of a CMS cap/floor by replication in SABR framework. For floor the replication is between 0.0 and the strike. 0.0 is used as the rates are always >=0.0 in SABR. @param cmsCapFloor The CMS cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValue()
Compute the present value of a CMS spread cap/floor in the binormal approach. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethod.presentValue()
Computes the present value of a cap/floor in the Hull-White one factor model. @param cap The cap/floor. @param hwData The Hull-White parameters and the curves. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethod.presentValue()
Computes the present value of the cap/floor in the LMM. It is computed using a Black formula (on the shifted rate). The volatility is the LMM volatilities for the relevant period multiplied by the time dependent factor square mean. The method is used mainly for calibration purposes. @param cap The cap. Should have the same underlying index as the model (same payment frequency). @param lmmData The Model parameters. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model with extrapolation to the right. @param cap The cap/floor. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod.presentValue()
Computes the present value of a cap/floor in the SABR model. @param cap The cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValue()
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValue()
Compute the present value of a CMS spread cap/floor in the binormal approach. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethod.presentValue()
Computes the present value of the cap/floor in the LMM. It is computed using a Black formula (on the shifted rate). The volatility is the LMM volatilities for the relevant period multiplied by the time dependent factor square mean. The method is used mainly for calibration purposes. @param cap The cap. Should have the same underlying index as the model (same payment frequency). @param lmmData The LMM and multi-curves provider. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValue()
Computes the present value of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.montecarlo.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 dscName The discounting curve name. @param g2Data The G2++ data (curves and G2++ parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor 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 dscName The discounting curve name. @param hwData The Hull-White data (curves and Hull-White parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod.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.
com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor 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 hwData The Hull-White data (curves and Hull-White parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod.presentValue()
org.apache.felix.service.command.Parameter.presentValue()
org.jquantlib.pricingengines.hybrid.DiscretizedConvertible.presentValue()

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

    // Calibration
    calibrationEngine.calibrate(sabrData);
    final HullWhiteOneFactorProvider hwMulticurves = new HullWhiteOneFactorProvider(sabrData.getMulticurveProvider(), hwParameters, ccy);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    return methodMC.presentValue(swaption, ccy, hwMulticurves);
  }


}

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

  public void presentValueMonteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    final MultipleCurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(EUR), pvPayerLongMC.getAmount(EUR), 1.0E+4);
    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);

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

    final MultipleCurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(EUR), pvPayerLongMC.getAmount(EUR), 1.0E+4);
    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(EUR), pvPayerShortMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR), pvSwap.getAmount(EUR), 1.0E+5);
  }

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

    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(EUR), pvPayerShortMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR), pvSwap.getAmount(EUR), 1.0E+5);
  }


  @Test

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

  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 MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);

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

    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(EUR), pvShortMC.getAmount(EUR), TOLERANCE_PV);
  }


  @Test(enabled = false)
  /**

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

    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, EUR, HW_MULTICURVES).getAmount(EUR);
      pvDiff[looptest] = pv[looptest] - pvExplicit.getAmount(EUR);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv cap/floor Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms. Error: " + pvDiff[0]);
    // 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.provider.LiborMarketModelMonteCarloMethod.presentValue()

   * Test the present value: approximated formula vs Monte Carlo.
   */
  public void presentValueMC() {
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvMC = methodLmmMc.presentValue(SWAPTION_PAYER_LONG, EUR, LMM_MULTICURVES);
    final double pvMCPreviousRun = 1997241.514;
    assertEquals("Swaption physical - LMM - present value Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvApprox = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, LMM_MULTICURVES);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_RECEIVER, MULTICURVES);
    final double forward = SWAP_RECEIVER.accept(PRDC, MULTICURVES);

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

    final LiborMarketModelMonteCarloMethod methodLMMMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0), nbPaths, 4.0);
    final int nbTest2 = 5;
    final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest];
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest2; looptest++) {
      pvMC[looptest] = methodLMMMC.presentValue(swaption[looptest], EUR, lmmMulticurves);
    }
    endTime = System.currentTimeMillis();
    System.out.println("[SwaptionPhysicalFixedIborLMMDDMethod] " + nbTest2 + " swaption LMM Monte Carlo method (" + nbPaths + " paths): " + (endTime - startTime) + " ms");
    // Performance note: LMM Monte Carlo: 20-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 swaptions 5Yx5Y/12500 paths/5 jumps.
  }

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Examples of org.apache.felix.service.command.Parameter.presentValue()

                {
                    Parameter p = findAnnotation(anns[paramIdx], Parameter.class);
                    d = findAnnotation(anns[paramIdx], Descriptor.class);
                    if (p != null)
                    {
                        if (p.presentValue().equals(Parameter.UNSPECIFIED))
                        {
                            options.put(p.names()[0], p);
                            if (d != null)
                            {
                                optionDescs.put(p.names()[0], d.value());

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