public void ProbaMeasure(double lambda, RrFunction sigma, Duration probaMaturity, Duration simulationMaturity,
int quadratureNbPoints, double precision)
{
var refDate = DateTime.Parse("07/06/2009");
var hw1 = new Hw1Model(TimeMeasure.Act365(refDate), Currency.Eur, lambda, sigma);
var probaMeasure = new PaymentInfo(hw1.Currency, refDate + probaMaturity);
var t = refDate + simulationMaturity;
var hw1PathGen = new Hw1ModelPathGeneratorFactory().Build(hw1, null, probaMeasure, new[] { t });
var brownianBridge = BrownianBridge.Create(hw1PathGen.AllSimulatedDates);
var hw1Zc = new Hw1ModelZcRepresentation(hw1);
var numeraireZc = hw1Zc.Zc(t, probaMeasure.Date, 1.0);
Assert.AreEqual(hw1PathGen.AllSimulatedDates.Length, 1);
double[] x, w;
GaussHermite.GetQuadrature(quadratureNbPoints, out x, out w);
double flow = 0.0;
for (int i = 0; i < x.Length; i++)
{
var dw = brownianBridge.PathIncrements(new[] { x[i] }, 1);
var ornstein = hw1PathGen.Path(dw).GetProcessValue(0);
flow += w[i] * 1.0 / numeraireZc.Eval(ornstein);
}
var error = Math.Abs(flow - 1.0);
Assert.LessOrEqual(error, precision);
}
public void Test()
{
var market = Market();
const double lambda = 0.01;
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var hw1 = new Hw1Model(TimeMeasure.Act365(market.RefDate), Currency.Eur, lambda, sigma);
var mcConfig = new MonteCarloConfig(20000,
RandomGenerators.GaussianSobol(SobolDirection.JoeKuoD5));
var mcPricer = McPricer.WithDetails(mcConfig);
var fixedLeg = FixedLeg(market.RefDate);
var mcPriceResult = (PriceResult)mcPricer.Price(fixedLeg, hw1, market);
var mcCoupons = mcPriceResult.Details.Map(p => p.Item3.Value);
var refCoupons = mcPriceResult.Details.Map(pi => market.DiscountCurve(pi.Item2.Financing).Zc(pi.Item2.Date));
var errAbs = Math.Abs(mcCoupons.Sum() - refCoupons.Sum());
Assert.LessOrEqual(errAbs, 7.0e-5);
var errRel = Math.Abs(mcCoupons.Sum() / refCoupons.Sum() - 1.0);
Assert.LessOrEqual(errRel, 8.0e-6);
}
public void Zc(double lambda, Duration zcStart, Duration zcDuration, int quadratureNbPoints, double precision)
{
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var refDate = DateTime.Parse("07/06/2009");
var hw1 = new Hw1Model(TimeMeasure.Act365(refDate), Currency.Eur, lambda, sigma);
var hw1Zc = new Hw1ModelZcRepresentation(hw1);
var zcDate = refDate + zcStart;
var zc = hw1Zc.Zc(zcDate, zcDate + zcDuration, 1.0);
var drift = hw1.DriftTerm();
var stdDev = Math.Sqrt(drift.Eval(hw1.Time[zcDate]));
double[] x, w;
GaussHermite.GetQuadrature(quadratureNbPoints, out x, out w);
double zcQuad = x.Select((t, i) => w[i] * zc.Eval(new[] { stdDev *t })).Sum();
var error = Math.Abs(zcQuad - 1.0);
Assert.LessOrEqual(error, precision);
}
