impliedvolatilitysmile.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

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

        jPanel2.add(jButton1);

        jSplitPane2.setRightComponent(jPanel2);

        jSplitPane1.setRightComponent(jSplitPane2);

        getContentPane().add(jSplitPane1);

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

    private void jSlider15MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider15MouseDragged
        
        prop_trc=1.0*jSlider15.getValue()/1000;
        jTextField16.setText("Proportional transaction cost = "+prop_trc);
    }//GEN-LAST:event_jSlider15MouseDragged

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

    private void jSlider13MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider13MouseDragged
        
        K_min=jSlider13.getValue()/100;
        jTextField14.setText("K_min = "+K_min);
    }//GEN-LAST:event_jSlider13MouseDragged

    
    //underlying at ime t=0
    private void jSlider1MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider1MouseDragged
        
        S_0=(double)jSlider1.getValue()/100;
        jTextField1.setText("S(0) = "+S_0);
    }//GEN-LAST:event_jSlider1MouseDragged

    
    //market drift
    private void jSlider2MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider2MouseDragged
        
        mu=(double)jSlider2.getValue()/100;
        jTextField2.setText("market drift = "+mu);
    }//GEN-LAST:event_jSlider2MouseDragged

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

    
    //dividend yield
    private void jSlider4MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider4MouseDragged
        
        q=1.0*jSlider5.getValue()/100;
        jTextField4.setText("dividend yield = "+q);
    }//GEN-LAST:event_jSlider4MouseDragged

    
    //risk free rate
    private void jSlider5MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider5MouseDragged
        
        r=1.0*jSlider5.getValue()/100;
        jTextField5.setText("risk free rate = "+r);
    }//GEN-LAST:event_jSlider5MouseDragged

    
    //size of time step
    private void jSlider6MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider6MouseDragged
        
        dt=(double)jSlider6.getValue()/1000;          //time step in years
        T=(int)Math.round(Tc/dt);
        jTextField6.setText("rehedge interval (years) = "+dt);
    }//GEN-LAST:event_jSlider6MouseDragged

    
    //number of paths
    private void jSlider7MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider7MouseDragged
        
        nPaths=jSlider7.getValue();
        jTextField7.setText("number of paths = "+nPaths);
    }//GEN-LAST:event_jSlider7MouseDragged

    
    //number of interpolating points
    private void jSlider8MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider8MouseDragged
        
        nPoints=jSlider8.getValue();
        jTextField8.setText("number of sample points = "+nPoints);
    }//GEN-LAST:event_jSlider8MouseDragged

 
    //time to expiry
    private void jSlider9MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider9MouseDragged
        
        Tc=(double)jSlider9.getValue()/100;            //time to expiry in years
        T=(int)Math.round(Tc/dt);                      //time steps to expiry
        jTextField9.setText("time to expiration (years) = "+Tc);
    }//GEN-LAST:event_jSlider9MouseDragged

    
    //fixed transaction cost
    private void jSlider10MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider10MouseDragged
        
        fixed_trc=(double)jSlider10.getValue()/1000;     
        jTextField10.setText("fixed transaction cost = "+fixed_trc);
    }//GEN-LAST:event_jSlider10MouseDragged


    //target return 
    private void jSlider11MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider11MouseDragged
        
        int Rho=jSlider11.getValue();                    //target return in %
        rho=(double)Rho/100;
        jTextField11.setText("targeted return = "+Rho+"%");
    }//GEN-LAST:event_jSlider11MouseDragged


    //probability of success
    private void jSlider12MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider12MouseDragged
        
        p=(double)jSlider12.getValue()/100;
        jTextField12.setText("probability of success = "+p);
    }//GEN-LAST:event_jSlider12MouseDragged

    
    //starts off computation
    private void jButton1MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jButton1MouseClicked
      
      try{ computeGraph(); }
      catch(NoSolutionException e){}     
    }//GEN-LAST:event_jButton1MouseClicked


    
    /** 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[])
    {  
       ImpliedVolatilitySmile 
       mainWindow=new ImpliedVolatilitySmile();
       mainWindow.setTitle("Implied volatility smile");
       mainWindow.setBounds(50,50,800,500);
       
       
        //set and display defaults
       S_0=40;
       mu=0.3;
       sigma=0.4;
       q=0.06;
       r=0.06;            //risk free rate
       K_min=0.6*mainWindow.S_0;
       K_max=1.5*mainWindow.S_0;
       dt=0.05;
       Tc=0.4;
       T=(int)Math.round(mainWindow.Tc/mainWindow.dt);
       rho=0.12;    //target return
       p=0.95;      //probability of success
       fixed_trc=0.01;
       prop_trc=0.2;
       nPoints=100;
       nPaths=2000;
       nSignChange=10;
       reportFrequency=200;
       
      
       mainWindow.jTextField16.setText
       ("Proportional transaction cost = "+prop_trc);
       mainWindow.jTextField15.setText("K_max = "+K_max);
       mainWindow.jTextField14.setText("K_min = "+K_min);
       mainWindow.jTextField1.setText("S(0) = "+S_0);
       mainWindow.jTextField2.setText("market drift = "+mu);
       mainWindow.jTextField3.setText("volatility = "+sigma); 
       mainWindow.jTextField4.setText("dividend yield = "+q);
       mainWindow.jTextField5.setText("risk free rate = "+r);
       mainWindow.jTextField6.setText("rehedge interval (years) = "+dt);
       mainWindow.jTextField7.setText("number of paths = "+nPaths);
       mainWindow.jTextField8.setText("number of sample points = "+nPoints);
       mainWindow.jTextField9.setText("time to expiry (years) = "+Tc);
       mainWindow.jTextField10.setText("fixed transaction cost = "+fixed_trc);
       mainWindow.jTextField11.setText("targeted return = "+rho);
       mainWindow.jTextField12.setText("probability of success = "+p);
  

       
       
       mainWindow.show();
       
      
    }//end main

    // Variables declaration - do not modify//GEN-BEGIN:variables
    private javax.swing.JSlider jSlider4;
    private javax.swing.JSlider jSlider3;
    private javax.swing.JSlider jSlider2;
    private javax.swing.JSlider jSlider1;
    private javax.swing.JSlider jSlider15;
    private javax.swing.JButton jButton1;
    private javax.swing.JSlider jSlider14;
    private javax.swing.JSlider jSlider13;
    private javax.swing.JSlider jSlider12;
    private javax.swing.JSlider jSlider11;
    private javax.swing.JTextArea jTextArea1;
    private javax.swing.JSlider jSlider10;
    private javax.swing.JScrollPane jScrollPane1;
    private javax.swing.JLabel jLabel10;
    private javax.swing.JTextField jTextField16;
    private javax.swing.JTextField jTextField15;
    private javax.swing.JTextField jTextField14;
    private javax.swing.JTextField jTextField12;
    private javax.swing.JPanel jPanel2;
    private javax.swing.JTextField jTextField11;
    private javax.swing.JPanel jPanel1;
    private javax.swing.JTextField jTextField10;
    private javax.swing.JTextField jTextField9;
    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.JTextField jTextField1;
    private javax.swing.JLabel jLabel9;
    private javax.swing.JLabel jLabel8;
    private javax.swing.JLabel jLabel7;
    private javax.swing.JLabel jLabel6;
    private javax.swing.JLabel jLabel5;
    private javax.swing.JLabel jLabel4;
    private javax.swing.JLabel jLabel3;
    private javax.swing.JLabel jLabel2;
    private javax.swing.JLabel jLabel1;
    private javax.swing.JSlider jSlider9;
    private javax.swing.JSlider jSlider8;
    private javax.swing.JSlider jSlider7;
    private javax.swing.JSlider jSlider6;
    private javax.swing.JSplitPane jSplitPane2;
    private javax.swing.JProgressBar jProgressBar1;
    private javax.swing.JSplitPane jSplitPane1;
    private javax.swing.JSlider jSlider5;
    // End of variables declaration//GEN-END:variables

    //asset,simulation parameters
    static double  S_0,       //underlying at time t=0
                   mu,        //underlying, market drift
                   sigma,     //underlying, volatility
                   q,         //underlying, volatility
                   r,         //risk free rate
                   dt,        //size of time step in years                   
                   Tc,        //time to expiry in years
                   K,         //call strike
                   K_min,     //minimum strike
                   K_max,     //maximum strike
                   rho,       //targeted return
                   p,         //probability of success
                   fixed_trc, //fixed transaction costs
                   prop_trc;  //proportional transation costs
    
    float x_p;                //p-th stanard normal percentile (N(x_p)=p)
    
    static int  T,            //time steps to expiration
                nPaths,       //number of paths used to compute statistics
                nBranch,      //irrelevant here but needed for constructor
                nPoints,      //number of points interpolating
                nSignChange,
                reportFrequency;
    
    
        
   
    
    
    //main computation
    private void computeGraph()
    throws NoSolutionException
    {
        //asset and call hedge analysis allocation:
       ConstantVolatilityAsset 
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       CallHedgeStatisticsGraphs 
       stats=new CallHedgeStatisticsGraphs(asset,nPaths,nBranch,nPoints,
                                           jProgressBar1,reportFrequency);
                                          
       /*
        * The arrays float[j][i], j=0,1, of hedge  of hedge means (j=0) and standard 
        * deviations (j=1) corresponding to strikes K[i]=K_min+i*(K_max-K_min)/n,
        * where n=nPoints-1.
        * Note: VisAD requires float[]s and not double[]s. 
        */
       double[][] hedgeStatistics=
       stats.functionOfStrike(K_min,K_max,fixed_trc,prop_trc);
                                         

       double[] means=hedgeStatistics[0];
       double[] standardDeviations=hedgeStatistics[1];
      
       //compute the implied sigmas from means and standard deviations
       
       //p-th standard normal percentile
       double x_p=FinMath.N_Solve1(p); 
       
       
       double[] implied_sigmas=new double[nPoints];
       int n=nPoints-1;
       for(int i=0;i<nPoints;i++)
       {
          
            double K_i=K_min+i*(K_max-K_min)/n;
            Call call_i=new Call(K_i,asset);
            double fairPrice=call_i.discountedAnalyticPrice(0),
                   sellersPrice=(1+rho*Tc)*fairPrice+
                                x_p*standardDeviations[i]-means[i],
                   Q=asset.forwardPrice(0),
                   Sigma=0;
            
                   //don't use Newton here:
            try{ Sigma=FinMath.BisectionSolveBSF(Q,K_i,sellersPrice);  } 
            catch(NoSolutionException e){}
            implied_sigmas[i]=Sigma/Math.sqrt(T*dt);    
            
            /**
             * rescale means and standardDeviations as percentage of price
             * and the implied sigmas as a percentage
             * since this is how we want to display them
             */
            means[i]/=(fairPrice/100);
            standardDeviations[i]/=(fairPrice/100);
            implied_sigmas[i]*=100;
        }
         
         
       double percent_sigma=100*sigma,
              y_axis_min=percent_sigma;
       String chartTitle=
       "Implied volatility"+" (true vol: "+percent_sigma+"%), "+
       "time to expiry: "+T*dt;
       
       
       
       JGraph jGraph=new JGraph(K_min,K_max);
       jGraph.addSeries(implied_sigmas,"Implied volatility");
       jGraph.setTitle(chartTitle);
       jGraph.setXAxisLabel("call_strike");
       jGraph.setYAxisLabel("Implied volatility (%)");
       jGraph.setYAxisMin(40);
       
       jGraph.setVisible(true);
       jGraph.saveAsPNG();
    
       
    }//computeGraph
    
    
    
 }//end class ImpliedVolatilitySmile