/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.interestrate.annuity.provider; import static org.testng.AssertJUnit.assertEquals; import org.testng.annotations.Test; import org.threeten.bp.Period; import org.threeten.bp.ZonedDateTime; import cern.jet.random.engine.MersenneTwister; import com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinition; import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition; import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition; import com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition; import com.opengamma.analytics.financial.instrument.index.IborIndex; import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity; import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed; import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet; import com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor; import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon; import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment; import com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethod; import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters; import com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod; import com.opengamma.analytics.financial.provider.calculator.discounting.PresentValueDiscountingCalculator; import com.opengamma.analytics.financial.provider.calculator.hullwhite.PresentValueCurveSensitivityHullWhiteMonteCarloCalculator; import com.opengamma.analytics.financial.provider.calculator.hullwhite.PresentValueHullWhiteMonteCarloCalculator; import com.opengamma.analytics.financial.provider.description.HullWhiteDataSets; import com.opengamma.analytics.financial.provider.description.MulticurveProviderDiscountDataSets; import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount; import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount; import com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity; import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator; import com.opengamma.analytics.financial.util.AssertSensitivityObjects; import com.opengamma.analytics.math.random.NormalRandomNumberGenerator; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.timeseries.DoubleTimeSeries; import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries; import com.opengamma.util.money.Currency; import com.opengamma.util.money.MultipleCurrencyAmount; import com.opengamma.util.test.TestGroup; import com.opengamma.util.time.DateUtils; /** * Tests the Hull-White one factor method for Annuity on Ibor Ratchet. */ @Test(groups = TestGroup.UNIT) public class AnnuityCouponIborRatchetHullWhiteMethodTest { private static final MulticurveProviderDiscount MULTICURVES = MulticurveProviderDiscountDataSets.createMulticurveEurUsd(); private static final IborIndex EURIBOR3M = MulticurveProviderDiscountDataSets.getIndexesIborMulticurveEurUsd()[0]; private static final Calendar TARGET = MulticurveProviderDiscountDataSets.getEURCalendar(); private static final Currency CUR = EURIBOR3M.getCurrency(); private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 9, 5); //Annuity description private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 9, 7); private static final int ANNUITY_TENOR_YEAR = 2; private static final Period ANNUITY_TENOR = Period.ofYears(ANNUITY_TENOR_YEAR); private static final boolean IS_PAYER = false; private static final double NOTIONAL = 100000000; // 100m private static final double[] MAIN_COEF = new double[] {0.20, 0.80, 0.0010}; private static final double[] FLOOR_COEF = new double[] {0.50, 0.00, 0.0020}; private static final double[] CAP_COEF = new double[] {1.00, 0.00, 0.0100}; private static final double FIRST_CPN_RATE = 0.04; private static final AnnuityCouponIborRatchetDefinition ANNUITY_RATCHET_FIXED_DEFINITION = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET); private static final AnnuityCouponIborRatchetDefinition ANNUITY_RATCHET_IBOR_DEFINITION = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET); private static final DoubleTimeSeries<ZonedDateTime> FIXING_TS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {REFERENCE_DATE}, new double[] {FIRST_CPN_RATE}); private static final AnnuityCouponIborRatchet ANNUITY_RATCHET_FIXED = ANNUITY_RATCHET_FIXED_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS); private static final int NB_PATH = 12500; private static final HullWhiteOneFactorPiecewiseConstantParameters HW_PARAMETERS = HullWhiteDataSets.createHullWhiteParameters(); private static final HullWhiteOneFactorProviderDiscount HW_MULTICURVES = new HullWhiteOneFactorProviderDiscount(MULTICURVES, HW_PARAMETERS, CUR); private static final CapFloorIborHullWhiteMethod METHOD_HW_CAP = CapFloorIborHullWhiteMethod.getInstance(); private static final PresentValueDiscountingCalculator PVDC = PresentValueDiscountingCalculator.getInstance(); private static final PresentValueHullWhiteMonteCarloCalculator PVHWMCC = new PresentValueHullWhiteMonteCarloCalculator(NB_PATH); private static final PresentValueCurveSensitivityHullWhiteMonteCarloCalculator PVCSHWMCC = new PresentValueCurveSensitivityHullWhiteMonteCarloCalculator(NB_PATH); private static final double SHIFT = 1.0E-6; private static final ParameterSensitivityParameterCalculator<HullWhiteOneFactorProviderInterface> PS_HW_C = new ParameterSensitivityParameterCalculator<>( PVCSHWMCC); private static final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator PS_HW_FDC = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWMCC, SHIFT); private static final double TOLERANCE_PV = 1.0E-2; private static final double TOLERANCE_PV_DELTA_MC = 5.0E+3; //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. @Test /** * Test the Ratchet present value in the case where the first coupon is fixed. Tested against a previous run number. */ 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 public void presentValueIbor() { 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 /** * Test the Ratchet present value in the degenerate case where the coupon are fixed (floor=cap). */ public void presentValueFixedLeg() { HullWhiteMonteCarloMethod methodMC; methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), NB_PATH); final double[] mainFixed = new double[] {0.0, 0.0, 0.0}; final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE}; final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE}; final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET); final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS); final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES); final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER); final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE); final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES); assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(CUR), pvFixedMC.getAmount(CUR), 2.0E+2); } @Test(enabled = true) /** * Test the Ratchet present value in the degenerate case where the coupon are ibor (no cap/floor, ibor factor=1.0). */ public void presentValueIborLeg() { final double[] mainIbor = new double[] {0.0, 1.0, 0.0}; final double[] floorIbor = new double[] {0.0, 0.0, -10.0}; final double[] capIbor = new double[] {0.0, 0.0, +50.0}; final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET); final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS); final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET); final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS); final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()]; iborFirstFixed[0] = ratchetFixed.getNthPayment(0); for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) { iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn); } final int nbPath = 175000; HullWhiteMonteCarloMethod methodMC; methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath); final MultipleCurrencyAmount pvIborMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES); final MultipleCurrencyAmount pvIborExpected = new Annuity<Payment>(iborFirstFixed).accept(PVDC, MULTICURVES); assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Ibor leg", pvIborExpected.getAmount(CUR), pvIborMC.getAmount(CUR), 3.0E+3); } @Test(enabled = true) /** * Test the Ratchet present value in the degenerate case where the coupon are 0.65*Ibor floored. */ public void presentValueFloorFixed() { final double strike = 0.04; final double factor = 0.65; final double[] mainIbor = new double[] {0.0, factor, 0.0}; final double[] floorIbor = new double[] {0.0, 0.0, factor * strike}; final double[] capIbor = new double[] {0.0, 0.0, +50.0}; final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET); final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS); final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, EURIBOR3M, IS_PAYER, strike, true, TARGET); final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS); final int nbPath = 100000; HullWhiteMonteCarloMethod methodMC; methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath); final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES); final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER); final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE); MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(CUR, 0.0); pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES)); for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) { pvFlooredExpected = pvFlooredExpected.plus(METHOD_HW_CAP.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), HW_MULTICURVES).multipliedBy(factor)); pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor)); } assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected.getAmount(CUR), pvFloorMC.getAmount(CUR), 2.5E+3); } @Test(enabled = true) /** * Test the Ratchet present value in the degenerate case where the coupon are 0.65*Ibor floored. */ public void presentValueFlooredIbor() { final ZonedDateTime referenceDate = DateUtils.getUTCDate(2010, 8, 18); final double strike = 0.04; final double factor = 0.65; final double[] mainIbor = new double[] {0.0, factor, 0.0}; final double[] floorIbor = new double[] {0.0, 0.0, factor * strike}; final double[] capIbor = new double[] {0.0, 0.0, 100.0}; final AnnuityCouponIborRatchetDefinition ratchetIborDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, mainIbor, floorIbor, capIbor, TARGET); final DoubleTimeSeries<ZonedDateTime> fixing = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {referenceDate}, new double[] {FIRST_CPN_RATE}); final AnnuityCouponIborRatchet ratchetIbor = ratchetIborDefinition.toDerivative(referenceDate, fixing); final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, EURIBOR3M, IS_PAYER, strike, true, TARGET); final Annuity<? extends Payment> cap = capDefinition.toDerivative(referenceDate, fixing); final int nbPath = 100000; HullWhiteMonteCarloMethod methodMC; methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath); // long startTime, endTime; // startTime = System.currentTimeMillis(); final MultipleCurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, HW_MULTICURVES); // endTime = System.currentTimeMillis(); // System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms"); final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(), EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER); final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate); MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(CUR, 0.0); pvFlooredExpected = pvFlooredExpected.plus(ratchetIbor.getNthPayment(0).accept(PVDC, MULTICURVES)); for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) { pvFlooredExpected = pvFlooredExpected.plus(METHOD_HW_CAP.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), HW_MULTICURVES).multipliedBy(factor)); pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor)); } assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected.getAmount(CUR), pvFlooredMC.getAmount(CUR), 2.5E+3); } // @Test(enabled = true) // /** // * Tests the pricing with calibration to SABR cap/floor prices. // */ // public void presentValueFixedWithCalibration() { // final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1(); // final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, MULTICURVES); // final PresentValueSABRHullWhiteMonteCarloCalculator calculatorMC = PresentValueSABRHullWhiteMonteCarloCalculator.getInstance(); // final double pvMC = ANNUITY_RATCHET_FIXED.accept(calculatorMC, sabrBundle); // final double pvMCPreviousRun = 8400036.210; //50000 paths: 8400036.210 - 12500 paths: 8402639.933; // assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo", pvMCPreviousRun, pvMC, 1.0E-2); // } @Test /** * Test the Ratchet present value curve sensitivity in the case where the first coupon is fixed. */ public void presentValueCurveSensitivityFixed() { final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity(ANNUITY_RATCHET_FIXED, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames()); final MultipleCurrencyParameterSensitivity pvpsFD = PS_HW_FDC.calculateSensitivity(ANNUITY_RATCHET_FIXED, HW_MULTICURVES); AssertSensitivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA_MC); } @Test(enabled = false) /** * Tests of performance for the price and curve sensitivity by Monte Carlo. "enabled = false" for the standard testing. */ public void performance() { long startTime, endTime; final int nbTest = 10; final int nbPath = 12500; final AnnuityCouponIborRatchetDefinition annuityRatchetIbor20Definition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, Period.ofYears(5), NOTIONAL, EURIBOR3M, IS_PAYER, MAIN_COEF, FLOOR_COEF, CAP_COEF, TARGET); final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 8, 18); final AnnuityCouponIborRatchet annuityRatchetIbor20 = annuityRatchetIbor20Definition.toDerivative(referenceDate, FIXING_TS); HullWhiteMonteCarloMethod methodMC; methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath); final MultipleCurrencyAmount[] pvMC = new MultipleCurrencyAmount[nbTest]; final MultipleCurrencyMulticurveSensitivity[] pvcsMC = new MultipleCurrencyMulticurveSensitivity[nbTest]; startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " pv Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms"); // Performance note: HW MC price (12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 565 ms for 10 Ratchet (20 coupons each). startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms"); // Performance note: HW MC delta (40 deltas - 12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1220 ms for 10 Ratchet (20 coupons each). startTime = System.currentTimeMillis(); for (int looptest = 0; looptest < nbTest; looptest++) { pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES); pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES); } endTime = System.currentTimeMillis(); System.out.println(nbTest + " pv/delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms"); // Performance note: HW MC price (12500 paths) - pv/delta: 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1760 ms for 10 Ratchet (20 coupons each). } }