/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.hullwhite;
import cern.jet.random.engine.MersenneTwister;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet;
import com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the present value of an inflation instruments by discounting for a given MarketBundle
*/
public class PresentValueHullWhiteMonteCarloCalculator extends InstrumentDerivativeVisitorAdapter<HullWhiteOneFactorProviderInterface, MultipleCurrencyAmount> {
/**
* The default number of path in the Monte Carlo simulation.
*/
private static final int DEFAULT_NB_PATH = 12500;
/**
* The number of paths used in the simulation.
*/
private final int _nbPath;
/**
* Calculator constructor using the default number of paths.
*/
public PresentValueHullWhiteMonteCarloCalculator() {
_nbPath = DEFAULT_NB_PATH;
}
/**
* Constructor with a given number of simulation paths.
* @param nbPath The number of paths.
*/
public PresentValueHullWhiteMonteCarloCalculator(final int nbPath) {
_nbPath = nbPath;
}
@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);
}
}