Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()

com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency. @param hwData The Hull-White data (curves and Hull-White parameters). @return The present value.

  }


  @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);
  }


}

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    // Calibration
    calibrationEngine.calibrate(sabrData);
    final HullWhiteOneFactorProvider hwMulticurves = new HullWhiteOneFactorProvider(sabrData.getMulticurveProvider(), hwParameters, ccy);
    // Pricing
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), DEFAULT_NB_PATH);
    return methodMC.presentValue(swaption, ccy, hwMulticurves);
  }


}

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  public void presentValueMonteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvPayerLongExplicit = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    final MultipleCurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(EUR), pvPayerLongMC.getAmount(EUR), 1.0E+4);
    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);

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    final MultipleCurrencyAmount pvPayerLongMC = methodMC.presentValue(SWAPTION_LONG_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvPayerLongExplicit.getAmount(EUR), pvPayerLongMC.getAmount(EUR), 1.0E+4);
    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(EUR), pvPayerShortMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR), pvSwap.getAmount(EUR), 1.0E+5);
  }

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    final double pvMCPreviousRun = 4221400.891;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvPayerLongMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    final MultipleCurrencyAmount pvPayerShortMC = methodMC.presentValue(SWAPTION_SHORT_PAYER, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvPayerLongMC.getAmount(EUR), pvPayerShortMC.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount pvReceiverLongMC = methodMC.presentValue(SWAPTION_LONG_RECEIVER, EUR, HW_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = SWAP_RECEIVER.accept(PVDC, MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo - payer/receiver/swap parity", pvReceiverLongMC.getAmount(EUR) + pvPayerShortMC.getAmount(EUR), pvSwap.getAmount(EUR), 1.0E+5);
  }


  @Test

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  public void monteCarlo() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvExplicit = METHOD_HW.presentValue(CAP_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);

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    final MultipleCurrencyAmount pvMC = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES);
    assertEquals("Cap/floor - Hull-White - Monte Carlo", pvExplicit.getAmount(EUR), pvMC.getAmount(EUR), 5.0E+2);
    final double pvMCPreviousRun = 136707.032;
    assertEquals("Swaption physical - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(EUR), TOLERANCE_PV);
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), 10 * NB_PATH);
    final MultipleCurrencyAmount pvShortMC = methodMC.presentValue(CAP_SHORT, EUR, HW_MULTICURVES);
    assertEquals("Swaption physical - Hull-White - Monte Carlo", -pvMC.getAmount(EUR), pvShortMC.getAmount(EUR), TOLERANCE_PV);
  }


  @Test(enabled = false)
  /**

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    final double[] pv = new double[nbTest];
    final double[] pvDiff = new double[nbTest];


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pv[looptest] = methodMC.presentValue(CAP_LONG, EUR, HW_MULTICURVES).getAmount(EUR);
      pvDiff[looptest] = pv[looptest] - pvExplicit.getAmount(EUR);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv cap/floor Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms. Error: " + pvDiff[0]);
    // Performance note: price: 12-Jun-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 2400 ms for 10 cap with 1,000,000 paths.

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   */
  public void presentValueFixed() {
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(ANNUITY_RATCHET_FIXED, CUR, HW_MULTICURVES);
    final double pvMCPreviousRun = 4658897.913;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(CUR), TOLERANCE_PV);
  }


  @Test

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18);
    final AnnuityCouponIborRatchet annuityRatchetIbor = ANNUITY_RATCHET_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    HullWhiteMonteCarloMethod methodMC;
    methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH);
    // Seed fixed to the DEFAULT_SEED for testing purposes.
    final MultipleCurrencyAmount pvMC = methodMC.presentValue(annuityRatchetIbor, CUR, HW_MULTICURVES);
    final double pvMCPreviousRun = 4406845.218;
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC.getAmount(CUR), TOLERANCE_PV);
  }


  @Test

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