@Test(enabled = false)
/** Tests of performance. "enabled = false" for the standard testing. */
public void performance() {
long startTime, endTime;
final int nbTest = 100;
CurrencyAmount pvPayerLongApproximation = CurrencyAmount.of(CUR, 0.0);
CurrencyAmount pvPayerLongNI = CurrencyAmount.of(CUR, 0.0);
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongApproximation =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest + " pv swaption G2++ approximation method: " + (endTime - startTime) + " ms");
// Performance note: G2++ price: 24-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 175 ms for
// 10000 swaptions.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
pvPayerLongNI = METHOD_G2PP_NI.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
}
endTime = System.currentTimeMillis();
System.out.println(
nbTest
+ " pv swaption G2++ numerical integration method: "
+ (endTime - startTime)
+ " ms");
// Performance note: G2++ price: 24-Aug-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1075 ms for
// 100 swaptions.
System.out.println("G2++ approximation - present value: " + pvPayerLongApproximation);
System.out.println("G2++ numerical integration - present value: " + pvPayerLongNI);
}
@Test
/** Test the present value by approximation vs by numerical integration. */
public void approximationNumericalIntegration() {
CurrencyAmount pvApproximation =
METHOD_G2PP_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
CurrencyAmount pvNI = METHOD_G2PP_NI.presentValue(SWAPTION_PAYER_LONG, BUNDLE_G2PP);
assertEquals(
"Swaption physical - G2++ - present value - approximation vs Numerical integration",
pvApproximation.getAmount(),
pvNI.getAmount(),
2.0E+3);
}
