impliedvolatilitysmile.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]

*



/*
 * ImpliedVolatilitySmile.java
 *
 * Created on December 29, 2001, 12:44 AM
 */



package Examples.Hedging;

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

import java.awt.*;
import javax.swing.*;
import com.jrefinery.chart.*;




/** <p>Computes the implied volatility derived from the price at 
 *  which a call is sold as a function of the strike price.<p>
 *
 *  <p>The sale price is chosen so that hedging the call with analytic
 *  deltas yields a targeted return on the call price with a certain
 *  probability of success. The computation is carried out under the 
 *  assumption of a normal distribution for the outcome of the call hedge.</p>
 *
 *<p>This is motivated by the observation that calls become increasingly harder
 * to hedge the farther they move out of the money: hedge performance measured
 * as standard deviation of hedge outcome expressed as a percentage of 
 * the Black Scholes call price deteriorates as the call moves more and more
 * out of the money.</p>
 *
 *<p>The idea is to see if a mundane explanation for the smile phenomenon can
 * be derived. The targeted return on the call price forces the implied 
 * volatility up as the call gets deeper into the money.</p>
 *
 * @author  Michael J. Meyer
 */
public class ImpliedVolatilitySmile extends javax.swing.JFrame {

    /** Creates new form ImpliedVolatilitySmile */
    public ImpliedVolatilitySmile() {
        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
        jSplitPane1 = new javax.swing.JSplitPane();
        jScrollPane1 = new javax.swing.JScrollPane();
        jTextArea1 = new javax.swing.JTextArea();
        jSplitPane2 = new javax.swing.JSplitPane();
        jPanel1 = new javax.swing.JPanel();
        jLabel1 = new javax.swing.JLabel();
        jTextField1 = new javax.swing.JTextField();
        jTextField2 = new javax.swing.JTextField();
        jTextField3 = new javax.swing.JTextField();
        jTextField4 = new javax.swing.JTextField();
        jTextField5 = new javax.swing.JTextField();
        jLabel2 = new javax.swing.JLabel();
        jTextField7 = new javax.swing.JTextField();
        jTextField8 = new javax.swing.JTextField();
        jLabel3 = new javax.swing.JLabel();
        jTextField9 = new javax.swing.JTextField();
        jTextField14 = new javax.swing.JTextField();
        jTextField15 = new javax.swing.JTextField();
        jLabel4 = new javax.swing.JLabel();
        jTextField6 = new javax.swing.JTextField();
        jTextField10 = new javax.swing.JTextField();
        jTextField16 = new javax.swing.JTextField();
        jTextField11 = new javax.swing.JTextField();
        jTextField12 = new javax.swing.JTextField();
        jProgressBar1 = new javax.swing.JProgressBar();
        jLabel10 = new javax.swing.JLabel();
        jPanel2 = new javax.swing.JPanel();
        jLabel5 = new javax.swing.JLabel();
        jSlider1 = new javax.swing.JSlider();
        jSlider2 = new javax.swing.JSlider();
        jSlider3 = new javax.swing.JSlider();
        jSlider4 = new javax.swing.JSlider();
        jSlider5 = new javax.swing.JSlider();
        jLabel6 = new javax.swing.JLabel();
        jSlider7 = new javax.swing.JSlider();
        jSlider8 = new javax.swing.JSlider();
        jLabel7 = new javax.swing.JLabel();
        jSlider9 = new javax.swing.JSlider();
        jSlider13 = new javax.swing.JSlider();
        jSlider14 = new javax.swing.JSlider();
        jLabel8 = new javax.swing.JLabel();
        jSlider6 = new javax.swing.JSlider();
        jSlider10 = new javax.swing.JSlider();
        jSlider15 = new javax.swing.JSlider();
        jSlider11 = new javax.swing.JSlider();
        jSlider12 = new javax.swing.JSlider();
        jLabel9 = new javax.swing.JLabel();
        jButton1 = new javax.swing.JButton();

        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(90);
        jSplitPane1.setOrientation(javax.swing.JSplitPane.VERTICAL_SPLIT);
        jTextArea1.setEditable(false);
        jScrollPane1.setViewportView(jTextArea1);

        jSplitPane1.setLeftComponent(jScrollPane1);

        jSplitPane2.setDividerLocation(350);
        jPanel1.setLayout(new java.awt.GridLayout(21, 1));

        jLabel1.setText("    UNDERLYING");
        jLabel1.setForeground(new java.awt.Color(0, 0, 51));
        jPanel1.add(jLabel1);

        jTextField1.setEditable(false);
        jTextField1.setText("S(0):");
        jPanel1.add(jTextField1);

        jTextField2.setEditable(false);
        jTextField2.setText("market drift:");
        jPanel1.add(jTextField2);

        jTextField3.setEditable(false);
        jTextField3.setText("volatility:");
        jPanel1.add(jTextField3);

        jTextField4.setEditable(false);
        jTextField4.setText("dividend yield:");
        jPanel1.add(jTextField4);

        jTextField5.setEditable(false);
        jTextField5.setText("risk free rate:");
        jPanel1.add(jTextField5);

        jLabel2.setText("   SIMULATION");
        jLabel2.setForeground(new java.awt.Color(0, 0, 51));
        jPanel1.add(jLabel2);

        jTextField7.setEditable(false);
        jTextField7.setText("number of paths:");
        jPanel1.add(jTextField7);

        jTextField8.setEditable(false);
        jTextField8.setText("number of interpolating points:");
        jPanel1.add(jTextField8);

        jLabel3.setText("   CALLS");
        jLabel3.setForeground(new java.awt.Color(0, 0, 51));
        jPanel1.add(jLabel3);

        jTextField9.setEditable(false);
        jTextField9.setText("time to expiry (years):");
        jPanel1.add(jTextField9);

        jTextField14.setEditable(false);
        jTextField14.setText("minimum strike:");
        jPanel1.add(jTextField14);

        jTextField15.setEditable(false);
        jTextField15.setText("maximum strike:");
        jPanel1.add(jTextField15);

        jLabel4.setText("   CALL SELLER");
        jLabel4.setForeground(new java.awt.Color(0, 0, 51));
        jPanel1.add(jLabel4);

        jTextField6.setEditable(false);
        jTextField6.setText("rehedge interval (years):");
        jPanel1.add(jTextField6);

        jTextField10.setEditable(false);
        jTextField10.setText("fixed transaction costs:");
        jPanel1.add(jTextField10);

        jTextField16.setEditable(false);
        jTextField16.setText("Proportional transaction costs:");
        jPanel1.add(jTextField16);

        jTextField11.setEditable(false);
        jTextField11.setText("targeted return:");
        jPanel1.add(jTextField11);

        jTextField12.setEditable(false);
        jTextField12.setText("probability of success:");
        jPanel1.add(jTextField12);

        jProgressBar1.setBackground(new java.awt.Color(204, 204, 255));
        jProgressBar1.setBorder(new javax.swing.border.EtchedBorder(java.awt.Color.white, java.awt.Color.lightGray));
        jPanel1.add(jProgressBar1);

        jPanel1.add(jLabel10);

        jSplitPane2.setLeftComponent(jPanel1);

        jPanel2.setLayout(new java.awt.GridLayout(21, 1));

        jPanel2.add(jLabel5);

        jSlider1.setMaximum(20000);
        jSlider1.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider1MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider1);

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

        jPanel2.add(jSlider2);

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

        jPanel2.add(jSlider3);

        jSlider4.setMaximum(50);
        jSlider4.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider4MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider4);

        jSlider5.setMaximum(30);
        jSlider5.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider5MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider5);

        jPanel2.add(jLabel6);

        jSlider7.setMaximum(50000);
        jSlider7.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider7MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider7);

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

        jPanel2.add(jSlider8);

        jPanel2.add(jLabel7);

        jSlider9.setMaximum(300);
        jSlider9.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider9MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider9);

        jSlider13.setMaximum(10000);
        jSlider13.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider13MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider13);

        jSlider14.setMinimum(5000);
        jSlider14.setMaximum(30000);
        jSlider14.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider14MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider14);

        jPanel2.add(jLabel8);

        jSlider6.setMaximum(500);
        jSlider6.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider6MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider6);

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

        jPanel2.add(jSlider10);

        jSlider15.setMaximum(400);
        jSlider15.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider15MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider15);

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

        jPanel2.add(jSlider11);

        jSlider12.setMinimum(60);
        jSlider12.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider12MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider12);

        jPanel2.add(jLabel9);

        jButton1.setText("go");