drawchgraphs_2.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]

*/


/*
 * DrawCHGraphs_2.java
 *
 * Created on January 2, 2002, 4:57 AM
 */
package Examples.Hedging;

import Hedging.*;
import Statistics.*;
import Market.*;
import Options.*;
import Exceptions.*;


 /**<p>European calls on a constant volatility asset are hedged with analytic  
   * deltas and the mean and standard deviation of the hedge profit and loss
   * computed as a <i>function of the volatility sigma</i> used in the 
   * computation of the hedge deltas. 
   * Mean and standard deviation are reported as a percentage of the
   * Black Scholes call price.<p>
   *
   * <p>The two functions are sampled (computed) at evenly spaced volatilities
   * sigma between sigma_min and sigma_max and the (linearly interpolated) 
   * graphs displayed in a window and saved as a jpeg file.</p>
   *
   * <p>The <b>main</b> method brings up the GUI to set parameters. Parameters 
   * of type <code>double</code> are set using sliders.</p>
   *
   * <p>The idea is to analyze the effect of misjudging the true volatility
   * of the underlying on hedge performance. Mean and standard deviation are 
   * computed from a sample of nPaths paths
   * of the underlying asset simulated under the market probability.</p>
   *
   * <i>Transaction costs</i> have a fixed and a proportional 
   * component. The fixed component also has to be normalized to cost per share. 
   * If you transact in lots of 1000 shares and such a trade costs 10 dollars, 
   * fixed transaction costs are 10/1000=0.01. The proportional transaction 
   * costs come from bid-ask spread etc., 0.1 is a conservative number.
   * Transaction costs are assumed to remain constant in today's dollars.
   *
   *<p>The computation is reasonably fast since no conditional expectations 
   * are involved (analytic deltas only).</p>
   *
   * @author  Michael J. Meyer
   */
public class DrawCHGraphs_2 extends javax.swing.JFrame {

    /** Creates new form CalllSetUpWindow */
    public DrawCHGraphs_2() {
        initComponents();
    }

    /** This method is called from within the constructor to
     * initialize the form.
     * WARNING: Do NOT modify this code. The content of this method is
     * always regenerated by the Form Editor.
     */
    private void initComponents() {//GEN-BEGIN:initComponents
        jLabel1 = new javax.swing.JLabel();
        jSplitPane1 = new javax.swing.JSplitPane();
        jPanel1 = new javax.swing.JPanel();
        jLabel3 = new javax.swing.JLabel();
        jTextField4 = new javax.swing.JTextField();
        jTextField5 = new javax.swing.JTextField();
        jTextField6 = new javax.swing.JTextField();
        jTextField7 = new javax.swing.JTextField();
        jTextField3 = new javax.swing.JTextField();
        jLabel2 = new javax.swing.JLabel();
        jTextField1 = new javax.swing.JTextField();
        jTextField2 = new javax.swing.JTextField();
        jLabel10 = new javax.swing.JLabel();
        jTextField8 = new javax.swing.JTextField();
        jTextField14 = new javax.swing.JTextField();
        jTextField15 = new javax.swing.JTextField();
        jTextField12 = new javax.swing.JTextField();
        jTextField11 = new javax.swing.JTextField();
        jTextField13 = new javax.swing.JTextField();
        jLabel4 = new javax.swing.JLabel();
        jTextField9 = new javax.swing.JTextField();
        jTextField10 = new javax.swing.JTextField();
        jPanel2 = new javax.swing.JPanel();
        jLabel6 = new javax.swing.JLabel();
        jSlider4 = new javax.swing.JSlider();
        jSlider5 = new javax.swing.JSlider();
        jSlider6 = new javax.swing.JSlider();
        jSlider7 = new javax.swing.JSlider();
        jSlider3 = new javax.swing.JSlider();
        jLabel5 = new javax.swing.JLabel();
        jSlider11 = new javax.swing.JSlider();
        jSlider2 = new javax.swing.JSlider();
        jLabel7 = new javax.swing.JLabel();
        jSlider8 = new javax.swing.JSlider();
        jSlider13 = new javax.swing.JSlider();
        jSlider14 = new javax.swing.JSlider();
        jSlider1 = new javax.swing.JSlider();
        jSlider10 = new javax.swing.JSlider();
        jSlider12 = new javax.swing.JSlider();
        jButton1 = new javax.swing.JButton();
        jSlider9 = new javax.swing.JSlider();
        jProgressBar1 = new javax.swing.JProgressBar();

        jLabel1.setText("jLabel1");

        getContentPane().setLayout(new java.awt.GridLayout(1, 1));

        addWindowListener(new java.awt.event.WindowAdapter() {
            public void windowClosing(java.awt.event.WindowEvent evt) {
                exitForm(evt);
            }
        });

        jSplitPane1.setDividerLocation(250);
        jPanel1.setLayout(new java.awt.GridLayout(19, 1));

        jLabel3.setForeground(new java.awt.Color(0, 0, 204));
        jLabel3.setText(" UNDERLYING");
        jPanel1.add(jLabel3);

        jTextField4.setEditable(false);
        jTextField4.setText("S(0):");
        jPanel1.add(jTextField4);

        jTextField5.setEditable(false);
        jTextField5.setText("Market drift:");
        jPanel1.add(jTextField5);

        jTextField6.setEditable(false);
        jTextField6.setText("True volatility:");
        jPanel1.add(jTextField6);

        jTextField7.setEditable(false);
        jTextField7.setText("Dividend yield:");
        jPanel1.add(jTextField7);

        jTextField3.setEditable(false);
        jTextField3.setText("Risk free rate (decimal):");
        jPanel1.add(jTextField3);

        jLabel2.setForeground(new java.awt.Color(0, 0, 204));
        jLabel2.setText(" CALL");
        jPanel1.add(jLabel2);

        jTextField1.setEditable(false);
        jTextField1.setText("Strike:");
        jPanel1.add(jTextField1);

        jTextField2.setEditable(false);
        jTextField2.setText("Time to expiration (years):");
        jPanel1.add(jTextField2);

        jLabel10.setForeground(new java.awt.Color(0, 0, 204));
        jLabel10.setText(" HEDGE");
        jPanel1.add(jLabel10);

        jTextField8.setEditable(false);
        jTextField8.setText("Rehedge interval (years):");
        jPanel1.add(jTextField8);

        jTextField14.setEditable(false);
        jTextField14.setText("Minimum hedge volatility:");
        jPanel1.add(jTextField14);

        jTextField15.setEditable(false);
        jTextField15.setText("Maximum hedge volatility:");
        jPanel1.add(jTextField15);

        jTextField12.setEditable(false);
        jTextField12.setText("Number of volatilities:");
        jPanel1.add(jTextField12);

        jTextField11.setEditable(false);
        jTextField11.setText("Fixed transaction cost:");
        jPanel1.add(jTextField11);

        jTextField13.setEditable(false);
        jTextField13.setText("Proportional transaction cost:");
        jPanel1.add(jTextField13);

        jLabel4.setForeground(new java.awt.Color(0, 0, 204));
        jLabel4.setText(" SIMULATION");
        jPanel1.add(jLabel4);

        jTextField9.setEditable(false);
        jTextField9.setText("Number of paths:");
        jPanel1.add(jTextField9);

        jTextField10.setEditable(false);
        jTextField10.setText("Time left:");
        jPanel1.add(jTextField10);

        jSplitPane1.setLeftComponent(jPanel1);

        jPanel2.setLayout(new java.awt.GridLayout(19, 1));

        jPanel2.add(jLabel6);

        jSlider4.setMaximum(15000);
        jSlider4.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider4MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider4);

        jSlider5.setMaximum(80);
        jSlider5.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider5MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider5);

        jSlider6.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider6MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider6);

        jSlider7.setMaximum(50);
        jSlider7.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider7MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider7);

        jSlider3.setMaximum(50);
        jSlider3.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider3MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider3);

        jPanel2.add(jLabel5);

        jSlider11.setMaximum(20000);
        jSlider11.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider11MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider11);

        jSlider2.setMaximum(3000);
        jSlider2.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider2MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider2);

        jPanel2.add(jLabel7);

        jSlider8.setMaximum(500);
        jSlider8.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider8MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider8);

        jSlider13.setMaximum(30);
        jSlider13.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider13MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider13);

        jSlider14.setMaximum(120);
        jSlider14.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider14MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider14);

        jSlider1.setMaximum(200);
        jSlider1.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider1MouseDragged(evt);
            }