callhedgehistogram.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]

*/


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


package Examples.Hedging;

import Statistics.*;
import Market.*;
import Options.*;
import Hedging.*;
import Triggers.*;
import com.skylit.io.EasyReader;

/** <p>Histogram of hedge gains.
 *  A European call on a constant volatility asset is hedged using analytic 
 *  deltas. Hedge is rebalanced as soon as the asset price changes 10%.
 *  Computes and displays a histogram of the hedge gains and also of the 
 *  naked short in the call.</p>
 *
 *  <p>Console 
 *  program, no user interaction. All parameters fixed in source code.</p>
 *
 * @author Michael J. Meyer
 */

public class CallHedgeHistogram {
    
   public static void main(String[] args)
   {
      
      EasyReader io=new EasyReader(); 
       
      double r=0,dt=0,S_0=0,mu=0,sigma=0,q=0,K=0,
             fixed_trc=0, prop_trc=0;
      int T=0, nPath=0, nBins=0, nBranch=0, nSignChange=5, triggerPercentage=0;
       
      boolean done=false;
      while(!done){          // main loop
     
         
          System.out.print
          ("Call on one share of S with strike K will be\n"+
           "priced and hegded.\n"+
           "Histogram of hegde profit and loss will be displayed.\n\n"+
           "Test data (0) or user defined data (1)?\n"+
           "Enter choice: ");
          int choice=io.readInt();
          
          if(choice==1){  // user dialogue
                      
          // read S
          System.out.print("Asset S:\n"+"S(0)=");
          S_0=io.readDouble();
          System.out.print("drift of returns=");
          mu=io.readDouble();
          System.out.print("instantaneous volatility of returns=");
          sigma=io.readDouble();
          System.out.print("Dividend yield=");
          q=io.readDouble();


          System.out.print("strike K=");
          K=io.readDouble();
          System.out.print("riskfree rate=");
          r=io.readDouble();
          
       
          
          System.out.print("\n\nSimulation:\n");
          System.out.print("size of time step (years)=");
          dt=io.readDouble();
          System.out.print("number of time steps to expiry=");
          T=io.readInt();
          System.out.print("number of simulated price paths=");
          nPath=io.readInt();
          System.out.print
          ("number of path branches per conditional expectation=");
          nBranch=io.readInt();
          System.out.print("number of histogram bins=");
          nBins=io.readInt();
          
          System.out.print("\n\nHedge:\n");
          System.out.print("Percent price change the hedge reacts to (1-50)=");
          triggerPercentage=io.readInt();
                   
          }
          else {  // test data

                   T=10;
                   dt=0.05;
 
                   S_0=21;
                   mu=0.3;
                   sigma=0.4;
                   r=0.03;
                   q=0.05;
                  
                   K=25;
               
                   nPath=100000;
                   nBranch=1000;
                   nBins=100;
          
                 // hedge
                 triggerPercentage=7;
                 fixed_trc=0.0;             // fixed transaction costs
                 prop_trc=0.0;              // proportional transaction costs
          
          } // end else
 

       
       // the underlying
       ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
       // the call 
       final BlackScholesCall call=new BlackScholesCall(K,asset);
       
       // price cut off to 2 decimals
       final double 
       price=FinMath.round(call.discountedAnalyticPrice(0),4); 
  

        // the trigger for the hedge trades:
       TriggerAtPercentChange
       percent_trigger=new TriggerAtPercentChange(asset,triggerPercentage);
     
       // hedge with analytic deltas
       Hedge hedge=new DeltaHedge
       (asset,call,percent_trigger,Flag.A_DELTA,nBranch,fixed_trc,prop_trc);
        
       // the discounted hedge gain
       RandomVariable hedge_gain=hedge.discountedHedgeGain();
       
       // payoff, naked short the call
       RandomVariable naked_short=new RandomVariable(){
           
           public double getValue(int t)
           {
               return price-call.discountedPayoff().getValue(t);
           }
       }; // end naked_short
       
       
       // let the user know what's going on
       double tau=T*dt;    // time to expiration
       String message=
       "Asset: mu="+mu+", sigma="+sigma+", q="+q+", r="+r+"\n"+
       "Call: strike K="+K+", time to expiration tau="+tau+"\n"+
       "Call price: "+price+"\n"+
       "Hedge: analytic deltas, reacts to "+triggerPercentage+
       "% price changes in the underlying.\n\n"+
       "Computing histogram of hedge profit and loss (includes call premium).";
       
       System.out.println(message);
       
       // show the histogram 
       String title="Gains, call delta hede, call price: "+price,
              filename="Pictures/Histograms/CallHedge/call-hedge.eps";
       int ftype=Graphics.Flag.EPS;
       hedge_gain.displayHistogram(nPath,nBins,true,title,"",filename,ftype);
       
       message="Compare this to the unhedged position:";
       System.out.println(message);
 
       title="Gains, call naked short, call price: "+price;
       filename="Pictures/Histograms/CallHedge/call-naked-short.eps";
       naked_short.displayHistogram(nPath,nBins,true,title,"",filename,ftype);
       
       
       System.out.println
       ("\n\nAnother run? Yes(1) No(0):\n"+"Enter choice:");
       choice=io.readInt();
       if(choice==0)done=true;
          
    } // end main loop
   
   } // end main

} // end histogram