callhedgestatistics.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]

*/


/*
 * CallHedge.java
 *
 * Created on January 9, 2002, 5:50 PM
 */

package Examples.Hedging;

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

import javax.swing.*;
import java.awt.CardLayout;

/** <p>Computes the mean and standard deviation of the profit/loss from hedging 
 *  a European call and several other statistics associated with the hedge.
 *  The mean and standard deviation are reported as a percent 
 *  of the fair (Black Scholes) call price. Various hedge deltas can be 
 *  chosen:</p>
 *
 *<ul>
 * <li> analytic deltas </li>
 * <li> minimum variance deltas</li>
 * <li> quotient deltas</li>
 * <li> Monte Carlo deltas</li>
 *</ul>
 * 
 * <p>The price paths of the underlying are simulated in the market probability.
 * The hedge using analytic deltas is included automatically.
 * The computational effort using analytic deltas is <code>O(nPath)</code>
 * and this goes up to <code>O(nPath*nBranch)</code> for nonanalytic deltas. 
 * Here <code>nPath</code> is the number of price paths of the underlying and
 * <code>nBranch</code> the number of path branches spent on each conditional 
 * expectation.</p>
 *
 * <p>Analytic minimum variance deltas and analytic qotient deltas are not
 * included since the present implementation computes the values under the 
 * assumption that the hedge is rebalanced at each time step.</p>
 *
 * <p>Thus the computational effort using nonanalytic deltas is thousands of 
 * times higher than for analytic deltas. Consequently nonanalytic deltas must
 * be chosen explicitly by checking the corresponding check box in the GUI.
 * Values of type <code>double</code> are set using sliders.</p>
 *
 * <p>The hedge is rebalanced according to two different policies:</p>
 *
 *<ul>
 *<li><i>Periodic rebalance.</i> The hedge is rebalanced a fixed number of times
 * at equal time intervals. The actual number of hedge trades can 
 * differ slightly from the number sepcified by the user.</li>
 *<li><i>Reactive rebalance</i> The hedge is rebalanced as soon as the price 
 * of the underlying has moved by a certain trigger percentage chosen by the
 * user.</li>
 *</ul>
 *
 * <p><b>Transaction costs</b> have a fixed and a proportional 
 * component. The fixed component also has to be normalized to cost per share. 
 * If you transact in lots of 1000 shares and such a trade costs 10 dollars, 
 * fixed transaction costs are 10/1000=0.01. The proportional transaction 
 * costs come from bid-ask spread etc., 0.1 is a conservative number.
 * Transaction costs are assumed to remain constant in today's dollars.</p>
 * 
 * @author  Michael J. Meyer
 */
public class CallHedgeStatistics extends javax.swing.JFrame {

    /** Creates new form CallHedge */
    public CallHedgeStatistics() {
        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();
        jPanel1 = new javax.swing.JPanel();
        jSplitPane2 = new javax.swing.JSplitPane();
        jPanel2 = 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();
        jLabel2 = new javax.swing.JLabel();
        jTextField5 = new javax.swing.JTextField();
        jTextField6 = new javax.swing.JTextField();
        jTextField7 = new javax.swing.JTextField();
        jLabel3 = new javax.swing.JLabel();
        jTextField8 = new javax.swing.JTextField();
        jTextField9 = new javax.swing.JTextField();
        jTextField10 = new javax.swing.JTextField();
        jLabel4 = new javax.swing.JLabel();
        jTextField11 = new javax.swing.JTextField();
        jTextField12 = new javax.swing.JTextField();
        jTextField13 = new javax.swing.JTextField();
        jTextField14 = new javax.swing.JTextField();
        jCheckBox1 = new javax.swing.JCheckBox();
        jCheckBox2 = new javax.swing.JCheckBox();
        jCheckBox3 = new javax.swing.JCheckBox();
        jPanel3 = 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();
        jLabel6 = new javax.swing.JLabel();
        jSlider5 = new javax.swing.JSlider();
        jSlider6 = new javax.swing.JSlider();
        jSlider7 = new javax.swing.JSlider();
        jLabel7 = new javax.swing.JLabel();
        jSlider8 = new javax.swing.JSlider();
        jSlider9 = new javax.swing.JSlider();
        jSlider10 = new javax.swing.JSlider();
        jLabel8 = new javax.swing.JLabel();
        jSlider11 = new javax.swing.JSlider();
        jSlider12 = new javax.swing.JSlider();
        jSlider13 = new javax.swing.JSlider();
        jSlider14 = new javax.swing.JSlider();
        jLabel9 = new javax.swing.JLabel();
        jButton1 = new javax.swing.JButton();
        jPanel4 = new javax.swing.JPanel();
        jProgressBar1 = new javax.swing.JProgressBar();
        jTextField15 = new javax.swing.JTextField();
        jScrollPane2 = new javax.swing.JScrollPane();
        jTextArea2 = new javax.swing.JTextArea();
        jButton2 = new javax.swing.JButton();

        getContentPane().setLayout(new java.awt.GridLayout(1, 1));

        setTitle("Call Hedge");
        addWindowListener(new java.awt.event.WindowAdapter() {
            public void windowClosing(java.awt.event.WindowEvent evt) {
                exitForm(evt);
            }
        });

        jSplitPane1.setDividerLocation(50);
        jSplitPane1.setOrientation(javax.swing.JSplitPane.VERTICAL_SPLIT);
        jScrollPane1.setViewportView(jTextArea1);

        jSplitPane1.setLeftComponent(jScrollPane1);

        jPanel1.setLayout(new java.awt.CardLayout());

        jSplitPane2.setDividerLocation(250);
        jSplitPane2.setPreferredSize(new java.awt.Dimension(500, 485));
        jSplitPane2.setMinimumSize(new java.awt.Dimension(400, 485));
        jPanel2.setLayout(new java.awt.GridLayout(21, 1));

        jLabel1.setText(" UNDERLYING");
        jLabel1.setForeground(new java.awt.Color(0, 0, 204));
        jPanel2.add(jLabel1);

        jTextField1.setEditable(false);
        jTextField1.setText("S(0):");
        jPanel2.add(jTextField1);

        jTextField2.setEditable(false);
        jTextField2.setText("Market drift:");
        jPanel2.add(jTextField2);

        jTextField3.setEditable(false);
        jTextField3.setText("Volatility:");
        jPanel2.add(jTextField3);

        jTextField4.setEditable(false);
        jTextField4.setText("Dividend yield:");
        jPanel2.add(jTextField4);

        jLabel2.setText(" CALL");
        jLabel2.setForeground(new java.awt.Color(0, 0, 204));
        jPanel2.add(jLabel2);

        jTextField5.setEditable(false);
        jTextField5.setText("Strike:");
        jPanel2.add(jTextField5);

        jTextField6.setEditable(false);
        jTextField6.setText("Time to expiration (years):");
        jPanel2.add(jTextField6);

        jTextField7.setEditable(false);
        jTextField7.setText("Risk free rate (decimal):");
        jPanel2.add(jTextField7);

        jLabel3.setText(" SIMULATION");
        jLabel3.setForeground(new java.awt.Color(0, 0, 204));
        jPanel2.add(jLabel3);

        jTextField8.setEditable(false);
        jTextField8.setText("Time step:");
        jPanel2.add(jTextField8);

        jTextField9.setEditable(false);
        jTextField9.setText("Number of paths:");
        jPanel2.add(jTextField9);

        jTextField10.setEditable(false);
        jTextField10.setText("Number of branches per path:");
        jPanel2.add(jTextField10);

        jLabel4.setText(" HEDGE");
        jLabel4.setForeground(new java.awt.Color(0, 0, 204));
        jPanel2.add(jLabel4);

        jTextField11.setEditable(false);
        jTextField11.setText("Fixed transaction cost:");
        jPanel2.add(jTextField11);

        jTextField12.setEditable(false);
        jTextField12.setText("Proportional transaction cost:");
        jPanel2.add(jTextField12);

        jTextField13.setEditable(false);
        jTextField13.setText("Number hedge trades (periodic hedge):");
        jPanel2.add(jTextField13);

        jTextField14.setEditable(false);
        jTextField14.setText("% price change to trigger hedge trade:");
        jPanel2.add(jTextField14);

        jCheckBox1.setText("Minimum variance deltas");
        jCheckBox1.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jCheckBox1MouseClicked(evt);
            }
        });

        jPanel2.add(jCheckBox1);

        jCheckBox2.setText("Monte Carlo deltas");
        jCheckBox2.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jCheckBox2MouseClicked(evt);
            }
        });

        jPanel2.add(jCheckBox2);

        jCheckBox3.setText("Quotient deltas");
        jCheckBox3.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jCheckBox3MouseClicked(evt);
            }
        });

        jPanel2.add(jCheckBox3);

        jSplitPane2.setLeftComponent(jPanel2);

        jPanel3.setLayout(new java.awt.GridLayout(21, 1));

        jPanel3.add(jLabel5);

        jSlider1.setMaximum(15000);
        jSlider1.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider1MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider1);

        jSlider2.setMaximum(80);
        jSlider2.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider2MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider2);

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

        jPanel3.add(jSlider3);

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

        jPanel3.add(jSlider4);