callhedgestatistics.java

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

        jPanel3.add(jLabel6);

        jSlider5.setMaximum(10000);
        jSlider5.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider5MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider5);

        jSlider6.setMaximum(3000);
        jSlider6.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider6MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider6);

        jSlider7.setMaximum(50);
        jSlider7.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider7MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider7);

        jPanel3.add(jLabel7);

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

        jPanel3.add(jSlider8);

        jSlider9.setMaximum(2000);
        jSlider9.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider9MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider9);

        jSlider10.setMaximum(20000);
        jSlider10.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider10MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider10);

        jPanel3.add(jLabel8);

        jSlider11.setMaximum(200);
        jSlider11.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider11MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider11);

        jSlider12.setMaximum(200);
        jSlider12.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider12MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider12);

        jSlider13.setMaximum(50);
        jSlider13.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider13MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider13);

        jSlider14.setMaximum(50);
        jSlider14.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider14MouseDragged(evt);
            }
        });

        jPanel3.add(jSlider14);

        jPanel3.add(jLabel9);

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

        jPanel3.add(jButton1);

        jSplitPane2.setRightComponent(jPanel3);

        jPanel1.add(jSplitPane2, "card2");

        jPanel4.setLayout(new java.awt.BorderLayout());

        jProgressBar1.setPreferredSize(new java.awt.Dimension(148, 20));
        jProgressBar1.setDoubleBuffered(true);
        jProgressBar1.setStringPainted(true);
        jPanel4.add(jProgressBar1, java.awt.BorderLayout.NORTH);

        jTextField15.setEditable(false);
        jTextField15.addActionListener(new java.awt.event.ActionListener() {
            public void actionPerformed(java.awt.event.ActionEvent evt) {
                jTextField15ActionPerformed(evt);
            }
        });

        jPanel4.add(jTextField15, java.awt.BorderLayout.SOUTH);

        jTextArea2.setEditable(false);
        jTextArea2.setBackground((java.awt.Color) javax.swing.UIManager.getDefaults().get("textHighlight"));
        jScrollPane2.setViewportView(jTextArea2);

        jPanel4.add(jScrollPane2, java.awt.BorderLayout.CENTER);

        jButton2.setText("OK");
        jButton2.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jButton2MouseClicked(evt);
            }
        });

        jPanel4.add(jButton2, java.awt.BorderLayout.EAST);

        jPanel1.add(jPanel4, "card3");

        jSplitPane1.setRightComponent(jPanel1);

        getContentPane().add(jSplitPane1);

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

    private void jTextField15ActionPerformed(java.awt.event.ActionEvent evt) {//GEN-FIRST:event_jTextField15ActionPerformed
        // Add your handling code here:
    }//GEN-LAST:event_jTextField15ActionPerformed

    private void jCheckBox3MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jCheckBox3MouseClicked
        quotient_deltas=true;
    }//GEN-LAST:event_jCheckBox3MouseClicked

    private void jButton2MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jButton2MouseClicked
        CardLayout card=(CardLayout)jPanel1.getLayout();
        card.next(jSplitPane2.getParent());
    }//GEN-LAST:event_jButton2MouseClicked

    private void jCheckBox2MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jCheckBox2MouseClicked
        monte_carlo_deltas=true;
    }//GEN-LAST:event_jCheckBox2MouseClicked

    private void jCheckBox1MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jCheckBox1MouseClicked
        minimum_variance_deltas=true;
    }//GEN-LAST:event_jCheckBox1MouseClicked

    private void jButton1MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jButton1MouseClicked
        
        mainComputation();  //see bottom
    }//GEN-LAST:event_jButton1MouseClicked

    private void jSlider10MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider10MouseDragged
        nBranch=jSlider10.getValue();
        jTextField10.setText("Number of branches per path = "+nBranch);
    }//GEN-LAST:event_jSlider10MouseDragged

    private void jSlider9MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider9MouseDragged
        nPaths=jSlider9.getValue();
        jTextField9.setText("Number of paths = "+nPaths); 
    }//GEN-LAST:event_jSlider9MouseDragged

    private void jSlider8MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider8MouseDragged
        dt=(double)jSlider8.getValue()/1000;
        T=(int)Math.round(Tc/dt);
        jTextField8.setText("Rehedge interval (years) = "+dt); 
    }//GEN-LAST:event_jSlider8MouseDragged

    private void jSlider7MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider7MouseDragged
        r=(double)jSlider7.getValue()/100;
        jTextField7.setText("Risk free rate = "+r); 
    }//GEN-LAST:event_jSlider7MouseDragged

    private void jSlider6MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider6MouseDragged
        Tc=(double)jSlider6.getValue()/1000;
        T=(int)Math.round(Tc/dt);
        jTextField6.setText("Time to expiration (years) = "+Tc); 
    }//GEN-LAST:event_jSlider6MouseDragged

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

    private void jSlider4MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider4MouseDragged
        q=(double)jSlider4.getValue()/100;
        jTextField4.setText("Dividend yield = "+q); 
    }//GEN-LAST:event_jSlider4MouseDragged

    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

    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

    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

    private void jSlider14MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider14MouseDragged
        
        triggerPercent=jSlider14.getValue();
        jTextField14.setText
        ("% price change triggering hedge trade = "+triggerPercent);
    }//GEN-LAST:event_jSlider14MouseDragged

    private void jSlider13MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider13MouseDragged
        
        nHedgeTrades=jSlider13.getValue();
        jTextField13.setText
        ("Number hedge trades (periodic hedge) = "+nHedgeTrades);
    }//GEN-LAST:event_jSlider13MouseDragged

    private void jSlider11MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider11MouseDragged
        
        fixed_trc=1.0*jSlider11.getValue()/1000;
        jTextField11.setText("Fixed transaction cost = "+fixed_trc);
    }//GEN-LAST:event_jSlider11MouseDragged


    private void jSlider12MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider12MouseDragged
        
        prop_trc=1.0*jSlider12.getValue()/1000;
        jTextField12.setText("Proportional transaction cost = "+prop_trc);
    }//GEN-LAST:event_jSlider12MouseDragged

   
  
    
    

    
    /** Exit the Application */
    private void exitForm(java.awt.event.WindowEvent evt) {//GEN-FIRST:event_exitForm
        System.exit(0);
    }//GEN-LAST:event_exitForm

    /**
    * Initialize defaults, show main window
    */
    public static void main(String args[]) {
       
        
        //set defaults in case user does not choose
        T=30;
        dt=0.02;
        Tc=T*dt;

        nPaths=500;
        nBranch=5000;
        nHedgeTrades=12;
        triggerPercent=5;
       
        S_0=50;
        mu=0.24;
        sigma=0.41;
        q=0.04;
        r=0.07;
        
        K=55;
 
                
        minimum_variance_deltas=false;
        monte_carlo_deltas=false;
        quotient_deltas=false;
       
        
        CallHedgeStatistics
        mainWindow=new CallHedgeStatistics();
                
        mainWindow.jCheckBox1.setSelected(false); //minimum variance deltas: no
        mainWindow.jCheckBox2.setSelected(false); //monte carlo deltas: no
        mainWindow.jCheckBox3.setSelected(false); //quotient deltas: no
        
        mainWindow.jTextField14.setText
        ("% price change triggering hedge trade = "+triggerPercent);
        mainWindow.jTextField13.setText
        ("Number hedge trades (periodic hedge) = "+nHedgeTrades);

        mainWindow.jTextField12.setText
                                ("proportional transaction cost="+prop_trc);
        mainWindow.jTextField11.setText
                                ("Fixed transaction cost = "+fixed_trc);
        mainWindow.jTextField10.setText
                                ("Number of branches per path = "+nBranch);
        mainWindow.jTextField9.setText("Number of paths ="+nPaths); 
        mainWindow.jTextField8.setText("Time step (years) ="+dt); 
        mainWindow.jTextField4.setText("Dividend yield ="+q); 
        mainWindow.jTextField3.setText("Volatility ="+sigma); 
        mainWindow.jTextField2.setText("Market drift ="+mu); 
        mainWindow.jTextField1.setText("S(0) ="+S_0);