optionexchangeassets.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]

*/


/*
 * OptionExchangeAssets.java
 *
 * Created on May 13, 2002, 3:00 AM
 */


package Examples.Hedging;

import Market.*;
import Options.*;
import Hedging.*;
import Triggers.*;
import Statistics.*;
import com.skylit.io.EasyReader;


/** <p>Monte Carlo and Analytic price of the option to exchange assets
 *  on a basic asset pair (constant instantaneous volatility and correlation
 *  of returns). The option is then hedged with analytic deltas and a
 *  histogram of the hedge gains computed.</p>
 *
 * @author Michael J. Meyer
 */

public class OptionExchangeAssets { 
    
   public static void main(String[] args)
   {
      EasyReader io=new EasyReader();
      
      double r=0,dt=0,S_10=0,S_20=0,K=0,
             mu_1=0,mu_2=0,sigma_1=0,sigma_2=0,rho=0,q_1=0,q_2=0,
             fixed_trc=0, prop_trc=0;
      int T=0, nPath=0, nBins=0, nBranch=0;
       
      boolean done=false;
      while(!done){          // main loop
     
         
          System.out.print
          ("Option to receive one share of S_1 for K shares of S_2 will be\n"+
           "priced and heged.\n"+
           "Histogram of hegde profit and loss will be displayed.\n\n"+
           "Test data (0) or user defined data (1)?\n"+
           "Enter choice: ");
          int choice=io.readInt();
          
          if(choice==1){  // user dialogue
                      
          // read S_1
          System.out.print("Asset S_1:\n"+"S_1(0)=");
          S_10=io.readDouble();
          System.out.print("drift of returns=");
          mu_1=io.readDouble();
          System.out.print("instantaneous volatility of returns=");
          sigma_1=io.readDouble();
          System.out.print("Dividend yield=");
          q_1=io.readDouble();
          
          // read S_2
          System.out.print("Asset S_2:\n"+"S_2(0)=");
          S_20=io.readDouble();
          System.out.print("drift of returns=");
          mu_2=io.readDouble();
          System.out.print("instantaneous volatility of returns=");
          sigma_2=io.readDouble();
          System.out.print("Dividend yield=");
          q_2=io.readDouble();
          
          System.out.print("\ninstantaneous correlation of returns=");
          rho=io.readDouble();
          System.out.print("strike (exchange) rate K=");
          K=io.readDouble();
          System.out.print("riskfree rate=");
          r=io.readDouble();
          
       
          
          System.out.print("\n\nSimulation:\n");
          System.out.print("size of time step (years):");
          dt=io.readDouble();
          System.out.print("number of time steps to expiry:");
          T=io.readInt();
          System.out.print("number of simulated price paths:");
          nPath=io.readInt();
          System.out.print
          ("number of path branches per conditional expectation:");
          nBranch=io.readInt();
          System.out.print("number of histogram bins:");
          nBins=io.readInt();
                   
          }
          else {  // test data

                   T=20;
                   dt=0.05;
 
                   S_10=21;
                   S_20=23;
                   mu_1=0.3;
                   mu_2=-0.2;
                   sigma_1=0.3;
                   sigma_2=0.4;
                   rho=0.6;
                   r=0.03;
                   q_1=0.07;
                   q_2=1.8;
                   
                   K=0.7;
               
                   nPath=100000;
                   nBranch=1000;
                   nBins=100;
          
                 // transaction costs 
                 fixed_trc=0.0;             // fixed transaction costs
                 prop_trc=0.0;              // proportional transaction costs
          
          } // end else
      

                    
       
          double[] S_0={S_10,S_20},
                   mu={mu_1,mu_2},
                   sigma={sigma_1,sigma_2},
                   q={q_1,q_2};

          
          // pricing
          System.out.println("\n\nPRICING:\n");
         
          // the underlying
          BasicAssetPair
          assets=new BasicAssetPair(T,dt,S_0,r,mu,sigma,rho,q);
       
          // the option
          OptionToExchangeAssets 
          option=new OptionToExchangeAssets(assets,K);
       
          // time the path simulation
          long before=System.currentTimeMillis(), after, time;
       
          double 
          price_an=option.discountedAnalyticPrice(0),
          price_mc=option.discountedMonteCarloPrice(0,nPath),
          price=FinMath.round(price_an,4);
       
          after=System.currentTimeMillis();
          time=after-before;
       
          System.out.println(
          "Analytic price: "+price_an+"\n"+
          "Monte Carlo price ("+nPath+" paths): "+price_mc+"\n"+
          "Time: "+time);
          
        
          // hedging
          System.out.println("\n\nHEDGING:\n");
          
          Trigger rebalance=new TriggerAtEachTimeStep(T);
          VectorHedge hedge=new VectorDeltaHedge
          (assets,option,rebalance,Flag.A_DELTA,nBranch,fixed_trc,prop_trc);
          
          // the discounted hedge gain
          RandomVariable hedge_gain=hedge.discountedHedgeGain();
          
          // show the histogram 
          String title="Option delta hedge gains, option price: "+price;
          hedge_gain.displayHistogram(nPath,nBins,true,title,"");
         
          System.out.println
          ("\n\nAnother run? Yes(1) No(0):\n"+
           "Enter choice:");
          choice=io.readInt();
          if(choice==0)done=true;
          
      } // end main loop
           
       
       
   } // end main
   
} // end OptionExchangeAssets