callrndeltahedge.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

/* WARANTY NOTICE AND COPYRIGHT
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

[e-mail]
[e-mail]

*/


/*
 * CallrnDeltaHedge.java
 *
 * Created on March 20, 2002, 9:18 PM
 */


package Examples.Hedging;

import Statistics.*;
import Market.*;
import Options.*;
import Hedging.*;
import Triggers.*;
import TradingStrategies.*;
import IO.*;

/** <p>Computes the reduction in the variance of the hedge error over the first 
 *  hedge interval [0,dt] which true variance minimizing deltas 
 *  {@link Options.Option#minimumVarianceDelta} yield compared to instantaneous 
 *  analytic deltas. The reduction in variance is expressed as a percentage of 
 *  the minimal variance and is computed for a variety of strikes and times
 *  to maturity. This then gives us a feeling how the varience of an
 *  entire hedge would be reduced by switching from analytic to true
 *  variance minimizing deltas.</p>
 *
 *  <p>Console 
 *  program, no user interaction. All parameters fixed in source code.</p>
 *
 * @author Michael J. Meyer
 */

public class CallrnDeltaHedge {
    
   public static void main(String[] args)
   throws java.io.IOException
   {
      
       // file writer to write in columns of fixed width w
       final int w=35;                     // width of output columns
       String fileName="CallrnDeltaHedge.txt";   // output file
       FixedFieldWidthFileWriter 
       fout=new FixedFieldWidthFileWriter(fileName,w);
      
       int nPaths=400000;
       
       double S_0=50, mu=0.3, sigma=0.2, r=0.05, q=0.0, dt =0.1;
       String str="S_0="+S_0+", mu="+mu+", sigma="+sigma+", r="+r+", dt="+dt;
       fout.write(str+"\n\n\n");
       
       fout.writeField("Time to expiry",20);
       fout.writeField("Strike",20);
       fout.writeField("Variance reduction",30);
       fout.write("\n\n\n");
       
       for(int T=1;T<6;T+=1)
       for(double K=40;K<71;K+=5){
           
           System.out.println("N="+T+", K="+K);
           
           double Tc=FinMath.round(T*dt,3);        // time to expiry
       
           // the underlying, nSignChange=8
           final ConstantVolatilityAsset
           asset=new ConstantVolatilityAsset(T,dt,8,S_0,r,q,mu,sigma);
          
           // the call 
           final BlackScholesCall call=new BlackScholesCall(K,asset);
           
           double prcntReduction=call.hedgeErrorVarianceReduction(nPaths);
           prcntReduction=FinMath.round(prcntReduction,4);
           
           fout.writeField("  T="+Tc+",",20);
           fout.writeField("K="+K+",",20);
           fout.writeField(" "+prcntReduction,10);
           fout.write("\n");
           if(K==80)fout.write("\n\n");
       
      } // for T
       
      fout.close();
      System.out.println
      ("Finished, results in file CallrnDeltaHedge.txt");
   
   } // end main

} // end CallHedgeVariance