Examples of addInstrument()

Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveLeastSquareCalibrationEngine.addInstrument()

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  public void calibration() {
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LMM_PARAM_INIT.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, NB_STRIKE);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(SWAPTION_AMORTIZED, MONEYNESS);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SABR);
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[][] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final CurrencyAmount[][] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[][] pvDiff = new double[SWAP_TENOR_YEAR.length][NB_STRIKE];
    final double[] pvDiffTot = new double[SWAP_TENOR_YEAR.length];
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    //TODO: Create a way to chose the calibration type.
    final InstrumentDerivative[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);
    return CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount());
  }
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    }
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final SwaptionPhysicalHullWhiteCalibrationObjective objective = new SwaptionPhysicalHullWhiteCalibrationObjective(hwParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalHullWhiteSuccessiveRootFinderCalibrationEngine(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, METHOD_SWAPTION_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);
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    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);
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    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);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[EXPIRY_TENOR.length];
    final CurrencyAmount[] pvHw = new CurrencyAmount[EXPIRY_TENOR.length];
    for (int loopexp = 0; loopexp < EXPIRY_TENOR.length; loopexp++) {
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    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);
      }
      calibrationEngine.calibrate(SABR_BUNDLE);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " Hull-White calibration to swaption (5 swaptions): " + (endTime - startTime) + " ms");
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    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);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[CAP.getNumberOfPayments()];
    final CurrencyAmount[] pvHw = new CurrencyAmount[CAP.getNumberOfPayments()];
    for (int loopexp = 0; loopexp < CAP.getNumberOfPayments(); loopexp++) {
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    // Calibration and price
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    calibrationEngine.addInstrument(swaptionCalibration2, METHOD_SABR);
    calibrationEngine.calibrate(sabrBundle);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, CURVES);
    final CurrencyAmount pvAmortized = METHOD_LMM.presentValue(swaptionAmortized, lmmBundle);
    final double pvAmortizedPrevious = 3058997.117;
    assertEquals("LMM Amortized pricing", pvAmortizedPrevious, pvAmortized.getAmount(), 1.0E-2);
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    SABRInterestRateDataBundle sabrBundleShift;
    final LiborMarketModelDisplacedDiffusionParameters lmmParametersShift = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParametersDisplacementAngle(REFERENCE_DATE,
        swapCalibrationDefinition[swapTenorYear.length - 1].getIborLeg(), 0.10, Math.PI / 2);
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objectiveShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParametersShift);
    final SuccessiveRootFinderCalibrationEngine calibrationEngineShift = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objectiveShift);
    calibrationEngineShift.addInstrument(swaptionCalibration2, METHOD_SABR);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundleShift = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParametersShift, CURVES);

    double alphaVegaTotalComputed = 0.0;
    assertEquals("Number of alpha sensitivity", pvss.getAlpha().getMap().keySet().size(), swaptionCalibration.length);
    for (final SwaptionPhysicalFixedIbor element : swaptionCalibration) {
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Examples of com.opengamma.analytics.financial.interestrate.method.SuccessiveRootFinderCalibrationEngine.addInstrument()

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    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = TestsDataSetLiborMarketModelDisplacedDiffusion.createLMMParameters(REFERENCE_DATE,
        SWAP_PAYER_DEFINITION[SWAP_TENOR_YEAR.length - 1].getIborLeg());
    final SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationObjective(lmmParameters);
    final SuccessiveRootFinderCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveRootFinderCalibrationEngine(objective);
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
      calibrationEngine.addInstrument(SWAPTION_LONG_PAYER[loopexp], METHOD_SABR);
    }
    calibrationEngine.calibrate(SABR_BUNDLE);
    final CurrencyAmount[] pvSabr = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    final CurrencyAmount[] pvLmm = new CurrencyAmount[SWAP_TENOR_YEAR.length];
    for (int loopexp = 0; loopexp < SWAP_TENOR_YEAR.length; loopexp++) {
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