List of presentValueCurveSensitivity() Examples

Examples of presentValueCurveSensitivity()

com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValueCurveSensitivity()
Computes the present value curve sensitivity of a bond security (without settlement amount payment). @param bond The bond security. @param curves The curve bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValueCurveSensitivity()
Compute the present value sensitivity to rates of a bond future by discounting. @param future The future. @param curves The yield curves. Should contain the credit and repo curves associated. @return The present value rate sensitivity.
com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod.presentValueCurveSensitivity()
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValueCurveSensitivity()
Computes the present value sensitivity to the yield curves of a CMS cap/floor by replication in SABR framework. @param cmsCapFloor The CMS cap/floor. @param sabrData The SABR data bundle. The SABR function need to be the Hagan function. @return The present value sensitivity to curves.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()
Computes the present value curves sensitivity of a CMS spread cap/floor in the bi-normal approach. For the CMS cap/floor volatility calibration, ATM forward strikes are used. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValueCurveSensitivity()
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()
Computes the present value curves sensitivity of a CMS spread cap/floor in the bi-normal approach. For the CMS cap/floor volatility calibration, ATM forward strikes are used. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValueCurveSensitivity()
Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueCurveSensitivity()
Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value curve sensitivity.
com.opengamma.analytics.financial.montecarlo.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 dscName The discounting curve name. @param hwData The Hull-White data (curves and Hull-White parameters). @return The curve sensitivity.
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.

Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueCurveSensitivity()

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


  }

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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueCurveSensitivity()

    final DoubleMatrix1D resultFiniteDifference = finiteDiffNodeSensitivitiesYield(swaption, pvc, null, sabrBundle);
    final double notional = Math.abs(swaption.getUnderlyingSwap().getFirstLeg().getNthPayment(0).getNotional());
    assertArrayEquals("Present Value Node Sensitivity", resultFiniteDifference.getData(), resultCalculator.getData(), notional * getTolerance());


    final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
    final InterestRateCurveSensitivity pvcsMethod = method.presentValueCurveSensitivity(swaption, sabrBundle);
    final DoubleMatrix1D resultMethod = NODE_CALCULATOR.curveToNodeSensitivities(pvcsMethod, sabrBundle);
    final DoubleMatrix1D resultMethod2 = NODE_CALCULATOR.curveToNodeSensitivities(pvcsMethod, curves);
    assertArrayEquals("Present Value Node Sensitivity", resultCalculator.getData(), resultMethod.getData(), notional * getTolerance());
    assertArrayEquals("Present Value Node Sensitivity", resultCalculator.getData(), resultMethod2.getData(), notional * getTolerance());
  }

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

    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: 14-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 240 ms for 25 swaptions (12500 paths).
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " curve sensitivity swaption Hull-White MC method: (" + nbPath + " paths) " + (endTime - startTime) + " ms / risk:" + pvcsMC.toString());
    // Performance note: curve sensitivity (40): 12-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 765 ms for 25 swaptions (12500 paths).
  }

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

  public void presentValueCurveSensitivityMonteCarlo() {
    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final int nbPath = 30000; // 10000 path -> 200 USD by bp
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned();
    final InterestRateCurveSensitivity diff = pvcsExplicit.cleaned().plus(pvcsMC.multipliedBy(-1)).cleaned();
    final List<DoublesPair> sensiDsc = diff.getSensitivities().get(FUNDING_CURVE_NAME);
    final int nbDsc = sensiDsc.size();
    for (int loopdsc = 0; loopdsc < nbDsc; loopdsc++) {

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

    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move.
    HullWhiteMonteCarloMethod methodMC;
    final int nbPath = 50000;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(ANNUITY_RATCHET_FIXED, CURVES_NAMES[0], BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned(1.0E-10, 1.0E-2); // (1.0E-10, 1.0E-2);


    final PresentValueHullWhiteMonteCarloCalculator calculator = new PresentValueHullWhiteMonteCarloCalculator(nbPath);


    // Dsc curve

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

    System.out.println(nbTest + " pv Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths): 9-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 490 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CURVES_NAMES[0], BUNDLE_HW);
    }
    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): 24-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1325 ms for 10 Ratchet (20 coupons each).

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

    // Performance note: HW MC delta (40 deltas - 12500 paths): 24-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1325 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, CURVES_NAMES[0], BUNDLE_HW);
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CURVES_NAMES[0], BUNDLE_HW);
    }
    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: 31-Oct-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1800 ms for 10 Ratchet (20 coupons each).
  }

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

  }


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

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

    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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