Package com.opengamma.analytics.financial.montecarlo

Examples of com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod.presentValue()

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    final double pvIborExplicit = SWAP_PAYER.getSecondLeg().getNthPayment(NB_CPN_IBOR - 1).accept(PVC, CURVES);
    assertEquals("Cap/floor - LMM - present value Explcit- cap/floor/strike/Ibor parity", pvCapExplicit.getAmount() - pvFloorExplicit.getAmount() + pvFixedExplicit, pvIborExplicit, 1E-2);
    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvCapMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvFloorMC = methodLmmMc.presentValue(FLOOR_LAST, CUR, dsc, BUNDLE_LMM);
    assertEquals("Cap/floor - LMM - present value - cap/floor/strike/Ibor parity", pvCapMC.getAmount() - pvFloorMC.getAmount() + pvFixedExplicit, pvIborExplicit, 1.1E+3);
  }
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    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvCapMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvFloorMC = methodLmmMc.presentValue(FLOOR_LAST, CUR, dsc, BUNDLE_LMM);
    assertEquals("Cap/floor - LMM - present value - cap/floor/strike/Ibor parity", pvCapMC.getAmount() - pvFloorMC.getAmount() + pvFixedExplicit, pvIborExplicit, 1.1E+3);
  }

  @Test(enabled = false)
  /**
 
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    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final double[] pvMC = new double[nbTest];

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, BUNDLE_LMM).getAmount();
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " cap/floor LMM Monte Carlo method: " + (endTime - startTime) + " ms");
    // Performance note: LMM Monte Carlo: 15-Sep-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 980 ms for 10 cap (12,500 paths).
  }
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   */
  public void presentValueFixed() {
    LiborMarketModelMonteCarloMethod methodMC;
    methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final CurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    final double pvMCPreviousRun = 8525698.689;
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
  }

  @Test
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   */
  public void presentValueMC() {
    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[0]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvMC = methodLmmMc.presentValue(SWAPTION_PAYER_LONG, CUR, dsc, BUNDLE_LMM);
    final double pvMCPreviousRun = 4371960.422;
    assertEquals("Swaption physical - LMM - present value Monte Carlo", pvMCPreviousRun, pvMC.getAmount(), 1.0E-2);
    final CurrencyAmount pvApprox = METHOD_LMM.presentValue(SWAPTION_PAYER_LONG, BUNDLE_LMM);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_RECEIVER, CURVES);
    final double forward = SWAP_RECEIVER.accept(PRC, CURVES);
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    curves1.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    final LiborMarketModelDisplacedDiffusionDataBundle bundleLmm1 = new LiborMarketModelDisplacedDiffusionDataBundle(PARAMETERS_LMM, curves1);
    final YieldAndDiscountCurve dsc = CURVES.getCurve(CURVES_NAME[1]);
    LiborMarketModelMonteCarloMethod methodLmmMc;
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final CurrencyAmount pvLastMC = methodLmmMc.presentValue(CAP_LAST, CUR, dsc, bundleLmm1);
    final double pvLastPreviousRun = 187362.915; // 12500 paths - 1Y jump
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastPreviousRun, pvLastMC.getAmount(), 1E-2);
    final CurrencyAmount pvLastExplicit = METHOD_LMM_CAP.presentValue(CAP_LAST, bundleLmm1);
    assertEquals("Cap/floor: LMM pricing by Monte Carlo", pvLastExplicit.getAmount(), pvLastMC.getAmount(), 2.0E+2);
    methodLmmMc = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
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