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

        });

        jPanel2.add(jSlider1);

        jSlider10.setMaximum(200);
        jSlider10.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider10MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider10);

        jSlider12.setMaximum(400);
        jSlider12.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider12MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider12);

        jButton1.setText("go");
        jButton1.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jButton1MouseClicked(evt);
            }
        });

        jPanel2.add(jButton1);

        jSlider9.setMaximum(50000);
        jSlider9.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider9MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider9);

        jProgressBar1.setBackground(new java.awt.Color(204, 204, 255));
        jProgressBar1.setForeground(new java.awt.Color(204, 255, 102));
        jProgressBar1.setBorder(new javax.swing.border.EtchedBorder(null, java.awt.Color.lightGray));
        jPanel2.add(jProgressBar1);

        jSplitPane1.setRightComponent(jPanel2);

        getContentPane().add(jSplitPane1);

        pack();
    }//GEN-END:initComponents

    private void jSlider12MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider12MouseDragged
        
        prop_trc=1.0*jSlider12.getValue()/1000;
        jTextField13.setText("Proportional transaction cost = "+prop_trc);
    }//GEN-LAST:event_jSlider12MouseDragged

    private void jSlider10MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider10MouseDragged
        
        fixed_trc=1.0*jSlider10.getValue()/1000;
        jTextField11.setText("Fixed transaction cost = "+fixed_trc);
    }//GEN-LAST:event_jSlider10MouseDragged

    private void jSlider14MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider14MouseDragged
        
        vol_max=1.0*jSlider14.getValue()/100;
        jTextField15.setText("Maximum hedge volatility ="+vol_max);
        
    }//GEN-LAST:event_jSlider14MouseDragged

    private void jSlider13MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider13MouseDragged
        
        vol_min=1.0*jSlider13.getValue()/100;
        jTextField14.setText("Minimum hedge volatility ="+vol_min);
        

    }//GEN-LAST:event_jSlider13MouseDragged

    private void jSlider11MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider11MouseDragged
        
        K=1.0*jSlider11.getValue()/100;
        jTextField1.setText("Strike = "+K);

    }//GEN-LAST:event_jSlider11MouseDragged

    private void jSlider1MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider1MouseDragged
        
        nPoints=jSlider1.getValue();
        jTextField12.setText("Number of volatilities="+nPoints);
    }//GEN-LAST:event_jSlider1MouseDragged

    //SET OFF MAIN COMPUTATION:
    private void jButton1MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jButton1MouseClicked
       
    
        try{ mainComputation(); }
        catch(java.io.FileNotFoundException e){}
        catch(java.io.IOException e){}       
    }//GEN-LAST:event_jButton1MouseClicked

    private void jSlider9MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider9MouseDragged
        
        nPaths=jSlider9.getValue();
        jTextField9.setText("Number of paths ="+nPaths); 
    }//GEN-LAST:event_jSlider9MouseDragged

    private void jSlider8MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider8MouseDragged
                       
        dt=(double)jSlider8.getValue()/1000;
        T=(int)Math.round(Tc/dt);
        jTextField8.setText("Rehedge interval (years) ="+dt); 
    }//GEN-LAST:event_jSlider8MouseDragged

    private void jSlider7MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider7MouseDragged
                       
        q=(double)jSlider7.getValue()/100;
        jTextField7.setText("Dividend yield ="+q); 

    }//GEN-LAST:event_jSlider7MouseDragged

    private void jSlider6MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider6MouseDragged
                       
        sigma=(double)jSlider6.getValue()/100;
        jTextField6.setText("True volatility ="+sigma); 
    }//GEN-LAST:event_jSlider6MouseDragged

    private void jSlider5MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider5MouseDragged
                       
        mu=(double)jSlider5.getValue()/100;
        jTextField5.setText("Market drift ="+mu); 
    }//GEN-LAST:event_jSlider5MouseDragged

    private void jSlider4MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider4MouseDragged
               
        S_0=(double)jSlider4.getValue()/100;
        jTextField4.setText("S(0) ="+S_0); 
    }//GEN-LAST:event_jSlider4MouseDragged

    private void jSlider3MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider3MouseDragged
               
        r=(double)jSlider3.getValue()/100;
        jTextField3.setText("Risk free rate ="+r); 
    }//GEN-LAST:event_jSlider3MouseDragged

    private void jSlider2MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider2MouseDragged
               
        Tc=(double)jSlider2.getValue()/1000;
        T=(int)Math.round(Tc/dt);
        jTextField2.setText("Time to expiration (years) = "+Tc); 
    }//GEN-LAST:event_jSlider2MouseDragged

    /** Exit the Application */
    private void exitForm(java.awt.event.WindowEvent evt) {//GEN-FIRST:event_exitForm
        System.exit(0);
    }//GEN-LAST:event_exitForm

    
    
    
  
    
    /**
    * @param args the command line arguments
    */
    public static void main(String args[]) {
        
        
        //set defaults in case user does not choose
        T=12;
        nPaths=50000;
        nPoints=48;
        nBranch=10000;  //irrelevant but needed for constructor
       
        S_0=50;
        mu=0.3;
        sigma=0.4;
        q=0.0;
        r=0.05;
        
        K=50;
        vol_min=0.1;
        vol_max=1.2;
        dt=0.05;
        Tc=1.0*Math.round(10*T*dt)/10;
        fixed_trc=0.0;
        prop_trc=0.0;
                
        
        DrawCHGraphs_2 mainWindow=new DrawCHGraphs_2();
        
        mainWindow.jTextField13.setText
        ("Proportional transaction cost = "+prop_trc);
        mainWindow.jTextField11.setText("Fixed transaction cost = "+fixed_trc);
        mainWindow.jTextField12.setText("Number of volatilities = "+nPoints);
        mainWindow.jTextField1.setText("Strike ="+K);
        mainWindow.jTextField15.setText("Maximum volatility ="+vol_max);
        mainWindow.jTextField14.setText("Minimum volatility ="+vol_min);
        mainWindow.jTextField9.setText("Number of paths ="+nPaths); 
        mainWindow.jTextField8.setText("Rehedge interval (years) ="+dt); 
        mainWindow.jTextField7.setText("Dividend yield ="+q); 
        mainWindow.jTextField6.setText("True volatility ="+sigma); 
        mainWindow.jTextField5.setText("Market drift ="+mu); 
        mainWindow.jTextField4.setText("S(0) ="+S_0); 
        mainWindow.jTextField3.setText("Risk free rate ="+r); 
        mainWindow.jTextField2.setText("Time to expiration (years) = "+Tc); 
        
        mainWindow.setTitle
        ("Call-Hedge statistics as function of hedge volatility");
        mainWindow.setBounds(5,50,670,500);
        mainWindow.show();
  
       
       
    }//end main


    // Variables declaration - do not modify//GEN-BEGIN:variables
    private javax.swing.JPanel jPanel2;
    private javax.swing.JPanel jPanel1;
    private javax.swing.JButton jButton1;
    private javax.swing.JSlider jSlider9;
    private javax.swing.JSlider jSlider8;
    private javax.swing.JSlider jSlider7;
    private javax.swing.JSlider jSlider6;
    private javax.swing.JSlider jSlider5;
    private javax.swing.JSlider jSlider4;
    private javax.swing.JSlider jSlider3;
    private javax.swing.JSlider jSlider2;
    private javax.swing.JTextField jTextField15;
    private javax.swing.JSlider jSlider1;
    private javax.swing.JTextField jTextField14;
    private javax.swing.JTextField jTextField13;
    private javax.swing.JTextField jTextField12;
    private javax.swing.JTextField jTextField11;
    private javax.swing.JTextField jTextField10;
    private javax.swing.JSplitPane jSplitPane1;
    private javax.swing.JTextField jTextField9;
    private javax.swing.JProgressBar jProgressBar1;
    private javax.swing.JTextField jTextField8;
    private javax.swing.JTextField jTextField7;
    private javax.swing.JTextField jTextField6;
    private javax.swing.JTextField jTextField5;
    private javax.swing.JTextField jTextField4;
    private javax.swing.JTextField jTextField3;
    private javax.swing.JTextField jTextField2;
    private javax.swing.JSlider jSlider14;
    private javax.swing.JTextField jTextField1;
    private javax.swing.JSlider jSlider13;
    private javax.swing.JLabel jLabel7;
    private javax.swing.JSlider jSlider12;
    private javax.swing.JLabel jLabel6;
    private javax.swing.JSlider jSlider11;
    private javax.swing.JLabel jLabel5;
    private javax.swing.JSlider jSlider10;
    private javax.swing.JLabel jLabel4;
    private javax.swing.JLabel jLabel10;
    private javax.swing.JLabel jLabel3;
    private javax.swing.JLabel jLabel2;
    private javax.swing.JLabel jLabel1;
    // End of variables declaration//GEN-END:variables

    
    static int T,
               nPaths,
               nPoints,
               nBranch,
               nSignChange,
               reportFrequency;
              
    
    static double S_0,
                  Tc,
                  dt,
                  r,
                  q,
                  mu,
                  sigma,
                  K,
                  vol_min,
                  vol_max,
                  fixed_trc,
                  prop_trc;
    
    
    static ConstantVolatilityAsset asset;
    static CallHedgeStatisticsGraphs stats;
    


    
    public void mainComputation()
    throws java.io.FileNotFoundException, java.io.IOException
    {
        nSignChange=10;  //irrelevant but needed for asset constructor
        reportFrequency=2000;
        
        ConstantVolatilityAsset 
        asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
        CallHedgeStatisticsGraphs
        stats=new CallHedgeStatisticsGraphs
                  (asset,nPaths,nBranch,nPoints,jProgressBar1,reportFrequency);
  
        stats.graphFunctionOfHedgeVolatility
              (K,vol_min,vol_max,fixed_trc,prop_trc);
    
       
     } //end mainComputation
    
    
    


} //end DrawCHGraphs_2