Examples of HullWhiteOneFactorPiecewiseConstantParameters

Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    final double endFixingPeriod = 3.55;
    final double paymentTime = 3.45;
    final double hwMeanReversion = 0.011;
    // Constant volatility
    final double hwEta = 0.02;
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(hwMeanReversion, new double[] {hwEta }, new double[0]);
    final double factor1 = (Math.exp(-hwMeanReversion * endFixingPeriod) - Math.exp(-hwMeanReversion * paymentTime)) *
        (Math.exp(-hwMeanReversion * endFixingPeriod) - Math.exp(-hwMeanReversion * startFixingPeriod));
    final double num = 2 * Math.pow(hwMeanReversion, 3);
    final double factor2 = hwEta * hwEta * (Math.exp(2 * hwMeanReversion * endExpiryTime) - Math.exp(2 * hwMeanReversion * startExpiryTime));
    final double factorExpected = Math.exp(factor1 * factor2 / num);
    final double factorComputed = MODEL.paymentDelayConvexityFactor(parameters, startExpiryTime, endExpiryTime, startFixingPeriod, endFixingPeriod, paymentTime);
    assertEquals("Hull-White one factor: payment delay adjustment factor", factorExpected, factorComputed, TOLERANCE_RATE);
    // Piecewise constant constant volatility
    final double[] hwEtaP = new double[] {0.02, 0.021, 0.022, 0.023 };
    final double[] hwTime = new double[] {0.5, 1.0, 2.0 };
    final HullWhiteOneFactorPiecewiseConstantParameters parametersP = new HullWhiteOneFactorPiecewiseConstantParameters(hwMeanReversion, hwEtaP, hwTime);
    double factorP2 = hwEtaP[2] * hwEtaP[2] * (Math.exp(2 * hwMeanReversion * hwTime[2]) - Math.exp(2 * hwMeanReversion * startExpiryTime));
    factorP2 += hwEtaP[3] * hwEtaP[3] * (Math.exp(2 * hwMeanReversion * endExpiryTime) - Math.exp(2 * hwMeanReversion * hwTime[2]));
    final double factorPExpected = Math.exp(factor1 * factorP2 / num);
    final double factorPComputed = MODEL.paymentDelayConvexityFactor(parametersP, startExpiryTime, endExpiryTime, startFixingPeriod, endFixingPeriod, paymentTime);
    assertEquals("Hull-White one factor: payment delay adjustment factor", factorPExpected, factorPComputed, TOLERANCE_RATE);
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    final double shiftVol = 1.0E-6;
    final double[] volatilityBumped = new double[nbVolatility];
    System.arraycopy(VOLATILITY, 0, volatilityBumped, 0, nbVolatility);
    final double[] alphaBumpedPlus = new double[nbVolatility];
    final double[] alphaBumpedMinus = new double[nbVolatility];
    HullWhiteOneFactorPiecewiseConstantParameters parametersBumped;
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volatilityBumped, VOLATILITY_TIME);
      alphaBumpedPlus[loopvol] = MODEL.alpha(parametersBumped, expiry1, expiry2, numeraire, maturity);
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION, volatilityBumped, VOLATILITY_TIME);
      alphaBumpedMinus[loopvol] = MODEL.alpha(parametersBumped, expiry1, expiry2, numeraire, maturity);
      assertEquals("Alpha adjoint: derivative " + loopvol + " - Difference: " + ((alphaBumpedPlus[loopvol] - alphaBumpedMinus[loopvol]) / (2 * shiftVol) - alphaDerivatives[loopvol]),
          (alphaBumpedPlus[loopvol] - alphaBumpedMinus[loopvol]) / (2 * shiftVol), alphaDerivatives[loopvol], 1.0E-9);
      volatilityBumped[loopvol] = VOLATILITY[loopvol];
    }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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      startTime[loopp] = startTimeFirst + loopp * startTimeStep;
    }

    // Constant volatility
    final double hwEta = 0.02;
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(hwMeanReversion, new double[] {hwEta }, new double[0]);

    final double[][][] factor = new double[nbTenors][nbLags][nbPeriods];
    final double[][][] adj = new double[nbTenors][nbLags][nbPeriods];
    for (int loopt = 0; loopt < nbTenors; loopt++) {
      for (int loopl = 0; loopl < nbLags; loopl++) {
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    final double[][] vol10 = new double[][] { {0.01 }, {0.00 } };
    final double[][] vol01 = new double[][] { {0.00 }, {0.01 } };
    final double expiryTime = 1.0;
    final double u = 1.02;
    final double v = 1.27;
    final HullWhiteOneFactorPiecewiseConstantParameters hw10 = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION[0], vol10[0], volTime);
    final G2ppPiecewiseConstantParameters g2pp10 = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, vol10, volTime, CORRELATION);
    final double adjHW10 = MODEL_HW.futuresConvexityFactor(hw10, expiryTime, u, v);
    final double adjG210 = MODEL_G2PP.futuresConvexityFactor(g2pp10, expiryTime, u, v);
    assertEquals("G2++: swap rate", adjHW10, adjG210, TOLERANCE_FACTOR);
    final HullWhiteOneFactorPiecewiseConstantParameters hw01 = new HullWhiteOneFactorPiecewiseConstantParameters(MEAN_REVERSION[1], vol01[1], volTime);
    final G2ppPiecewiseConstantParameters g2pp01 = new G2ppPiecewiseConstantParameters(MEAN_REVERSION, vol01, volTime, CORRELATION);
    final double adjHW01 = MODEL_HW.futuresConvexityFactor(hw01, expiryTime, u, v);
    final double adjG201 = MODEL_G2PP.futuresConvexityFactor(g2pp01, expiryTime, u, v);
    assertEquals("G2++: swap rate", adjHW01, adjG201, TOLERANCE_FACTOR);
    // TODO: full two-factor test
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    System.arraycopy(PARAMETERS_HW.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    final double[] hwSensitivityExpected = new double[nbVolatility];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
      hwSensitivityExpected[loopvol] = (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol);
      assertEquals("Swaption - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + (hwSensitivityExpected[loopvol] - hwSensitivity[loopvol]), hwSensitivityExpected[loopvol],
          hwSensitivity[loopvol], 2.0E+5);
      volatilityBumped[loopvol] = PARAMETERS_HW.getVolatility()[loopvol];
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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  /**
   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    long startTime, endTime;
    final int nbTest = 100;

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final HullWhiteOneFactorPiecewiseConstantParameters HwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
      final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(HwParameters);
      final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
      for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
        calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
      }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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  /**
   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final CapFloorHullWhiteCalibrationObjective objective = new CapFloorHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new CapFloorHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), METHOD_CAP_SABR);
    }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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  /**
   * Tests the correctness of Hull-White one factor calibration to swaptions with SABR price.
   */
  public void calibration() {
    final double meanReversion = 0.01;
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(meanReversion, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, EUR);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRCapProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
      calibrationEngine.addInstrument(CAP.getNthPayment(loopexp), PVSCC);
    }
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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

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    System.arraycopy(PARAMETERS_HW.getVolatility(), 0, volatilityBumped, 0, nbVolatility);
    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(PARAMETERS_HW.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(PARAMETERS_HW.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorPiecewiseConstantDataBundle bundleBumped = new HullWhiteOneFactorPiecewiseConstantDataBundle(parametersBumped, CURVES);
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
      volatilityBumped[loopvol] -= 2 * shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedMinus[loopvol] = METHOD_HW.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount();
      assertEquals(
          "Swaption - Hull-White sensitivity adjoint: derivative " + loopvol + " - difference:" + ((pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol) - hwSensitivity[loopvol]),
          (pvBumpedPlus[loopvol] - pvBumpedMinus[loopvol]) / (2 * shiftVol), hwSensitivity[loopvol], 1.0E-0);
      volatilityBumped[loopvol] = PARAMETERS_HW.getVolatility()[loopvol];
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