if (!(curves instanceof SABRInterestRateDataBundle)) {
throw new UnsupportedOperationException("The PresentValueSABRHullWhiteMonteCarloCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
}
final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
// Calibration instruments
final InstrumentDerivative[] calibrationBasket = annuity.calibrationBasket(RatchetIborCalibrationType.FORWARD_COUPON, curves);
//TODO: set a way to chose the calibration type.
calibrationEngine.addInstrument(calibrationBasket, METHOD_CAP_SABR);
// 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();