callmdeltahedge.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]

*/


/*
 * CallmDeltaHedge.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 mean and standard deviation of call hedge P&L over a
 *  variety of strikes and maturities. Compares the performance of
 *  classical analytic deltas with analytic market deltas. 
 *  The hedge is rebalanced at each time step. Paths of the underlying are 
 *  simulated in the market probability. Output is written to the file
 *  "CallmDeltaHedge.txt".</p>
 *
 *  <p>Console 
 *  program, no user interaction. All parameters fixed in source code.</p>
 *
 * @author Michael J. Meyer
 */

public class CallmDeltaHedge {
    
   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="CallmDeltaHedge.txt";          // output file
       FixedFieldWidthFileWriter 
       fout=new FixedFieldWidthFileWriter(fileName,w);
      
       int nSignChange=5, nBranch=10, nPaths=400000;
       
       double S_0=50, mu=0.3, sigma=0.2, r=0.05, q=0.0, dt =0.05;
       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",10);
       fout.writeField("deltas: mean",14);
       fout.writeField("amDeltas: mean",17);
       fout.writeField("deltas: stdv",14);
       fout.writeField("amDeltas: stdv",17);
       fout.write("\n\n\n");
       for(int T=2;T<6;T+=1)
       for(double K=40;K<71;K+=10){
           
           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);
           
           // hedge with analytic market deltas, transaction costs = 0
           RandomVariable amDeltaHedge=call.discountedHedgeGain
           (call.ANALYTIC_MINIMUM_VARIANCE_DELTA,
            Flag.MARKET_PROBABILITY,nBranch,0,0);
           
           // hedge with analytic deltas, transaction costs = 0 
           RandomVariable deltaHedge=call.discountedHedgeGain
           (call.ANALYTIC_DELTA,Flag.MARKET_PROBABILITY,nBranch,0,0);
      
           // the discounted hedge gain
           double[]  deltaHedgeSTATS=
                     deltaHedge.meanAndStandardDeviation(nPaths),
                     amDeltaHedgeSTATS=
                     amDeltaHedge.meanAndStandardDeviation(nPaths);
           
           double  deltaHedgeMEAN=deltaHedgeSTATS[0],
                   deltaHedgeSTDV=deltaHedgeSTATS[1],
                   amDeltaHedgeMEAN=amDeltaHedgeSTATS[0],
                   amDeltaHedgeSTDV=amDeltaHedgeSTATS[1];
           
           deltaHedgeMEAN=FinMath.round(deltaHedgeMEAN,4);
           deltaHedgeSTDV=FinMath.round(deltaHedgeSTDV,4);
           amDeltaHedgeMEAN=FinMath.round(amDeltaHedgeMEAN,4);
           amDeltaHedgeSTDV=FinMath.round(amDeltaHedgeSTDV,4);
           
           fout.writeField("  T="+Tc+",",20);
           fout.writeField("K="+K+",",10);
           fout.writeField(" "+deltaHedgeMEAN,14);
           fout.writeField(" "+amDeltaHedgeMEAN,17);
           fout.writeField(" "+deltaHedgeSTDV,14);
           fout.writeField(" "+amDeltaHedgeSTDV,17);
           fout.write("\n");
           if(K==70)fout.write("\n\n");
       
      } // for T
       
      fout.close();
      System.out.println
      ("Finished, results in file CallmDeltaHedge.txt");
   
   } // end main

} // end CallHedgeVariance