/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.calculator.hullwhite;
import cern.jet.random.engine.MersenneTwister;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitorAdapter;
import com.opengamma.analytics.financial.interestrate.swaption.derivative.SwaptionPhysicalFixedIbor;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters;
import com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderHullWhiteCalibrationEngine;
import com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderHullWhiteCalibrationObjective;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Present value calculator for interest rate instruments using a Hull-White one factor model calibrated to SABR prices.
*/
public final class PresentValueSABRHullWhiteMonteCarloCalculator extends InstrumentDerivativeVisitorAdapter<SABRSwaptionProviderInterface, MultipleCurrencyAmount> {
/**
* The unique instance of the calculator.
*/
private static final PresentValueSABRHullWhiteMonteCarloCalculator INSTANCE = new PresentValueSABRHullWhiteMonteCarloCalculator();
/**
* Constructor.
*/
private PresentValueSABRHullWhiteMonteCarloCalculator() {
}
/**
* Gets the calculator instance.
* @return The calculator.
*/
public static PresentValueSABRHullWhiteMonteCarloCalculator getInstance() {
return INSTANCE;
}
/**
* The default mean reversion parameter for the Hull-White one factor model.
*/
private static final double DEFAULT_MEAN_REVERSION = 0.01;
/**
* The default number of path in the Monte Carlo simulation.
*/
private static final int DEFAULT_NB_PATH = 50000; // 12500;
/**
* The SABR method used for European swaptions with physical delivery.
*/
private static final PresentValueSABRSwaptionCalculator PVSSC = PresentValueSABRSwaptionCalculator.getInstance();
@Override
/**
* The calculator is for test purposes only! It calibrates a Hull-White on a swaption priced with SABR and then price the same swaption in the Hull-White model by Monte Carlo.
* Do not use this calculator in production.
*/
public MultipleCurrencyAmount visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
ArgumentChecker.notNull(swaption, "Swaption");
ArgumentChecker.notNull(sabrData, "SABR swaption provider");
final Currency ccy = swaption.getCurrency();
final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, ccy);
final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
// Calibration instruments
calibrationEngine.addInstrument(swaption, PVSSC);
// 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);
}
}