l2nx.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]

*/

/*
 * L2NX.java
 *
 * Created on May 23, 2002, 6:04 PM
 */



package Examples.QuasiMonteCarlo;

import com.skylit.io.EasyReader;
import Statistics.*;
import QuasiRandom.*;
import Market.*;
import Options.*;
import Graphics.*;
import IO.*;


/** Class computes the L2 discrepancy of the Sobol and Niederreiter Xing
 *  sequences in dimensions 4-20 and writes the result to the file
 *  "L2D.txt". Warning: this takes a while.
 *
 * @author  Michael J. Meyer
 */
public class L2NX {
    
   public static final int N=16383;


   public static void main(String[] args)
   throws java.io.IOException
   {
        
      // file writer to write in columns of fixed width w
      final int w=35;                     // width of output columns
      String fileName="L2D.txt";          // output file
      FixedFieldWidthFileWriter 
      fout=new FixedFieldWidthFileWriter(fileName,w);
      fout.write("L2 DISCREPANCIES OF SOBOL AND NX SEQUENCES:\n\n\n");

      // main loop over dimensions
      for(int dim=4;dim<21;dim++){ 
          
      System.out.println("dim="+dim);
          
      LowDiscrepancySequence 
      ss=new Sobol(dim), nxs=new NX(dim);
      
      // the low discrepancy points
      double[][] rss=new double[N][dim];   // Sobol
      double[][] rnxs=new double[N][dim];  // Niederreiter-Xing
      
      fout.write("DIMENSION="+dim+":\n\n");
      
      // NXT POINTS
      
      // fill the point array with NX points
      for(int n=0;n<N;n++)ss.nextPoint(rss[n]);
      for(int n=0;n<N;n++)nxs.nextPoint(rnxs[n]);
      
      // compute the L2-discrepancy
      computeL2Discrepancy
      (N,rss,ss,"Sobol",rnxs,nxs,"NX",fout);
      
      } // end main loop
      
      fout.close();
      System.out.println("Finished, results in file L2D.txt");
      
   } // end main
   
   
   /** Compute the L2-discrepancies of the low discrepancy sequence 
    *  S at points N=2^n-1, n=9,10,...,15 and print a report to the screen.
    */   
   public static void computeL2Discrepancy
   (double[][] r, int N, LowDiscrepancySequence S)
   {
      
       // recursive computation, report progress 
      LoopStatus loopStatus=new LoopStatus();
      long before=System.currentTimeMillis();
       
      // we print the discrepamcies at values n=2^m-1 starting with n=511
      int twopower=512;
      
      double T_N=0;                     
      for(int n=0;n<N;n++)
      {
          T_N=S.L2_discrepancy(n,r,T_N);
          if(n==(twopower-2))
          { 
              System.out.println("n="+(n+1)+",  T_n="+T_N);
              twopower*=2;
          }
          
          // progress report, triangular nature of the main sum
          if(n%150==149)
          loopStatus.progressReport(n*(n-1)/2,N*(N-1)/2,149*148/2+1,before); 

      }
      
      long after=System.currentTimeMillis(),
           time=after-before;
      System.out.println("\n\nTime: "+time);
      
   } // end computeL2Discrepancy
   

   /** Compute the L2-discrepancies of the low discrepancy sequences 
    *  X,Y at points N=2^n-1, n=9,10,...,15 and print a report to the file
    *  L2D.txt.
    */
   public static void computeL2Discrepancy
   (int N, double[][] rx, LowDiscrepancySequence X, String Xseq,
           double[][] ry, LowDiscrepancySequence Y, String Yseq,
    FixedFieldWidthFileWriter fout)
    throws java.io.IOException
   {
      
       // recursive computation, report progress 
      LoopStatus loopStatus=new LoopStatus();
      long before=System.currentTimeMillis();
       
      // we print the discrepamcies at values n=2^m-1 starting with n=511
      int twopower=512;
      
      double xT_N=0, yT_N=0;                     
      for(int n=0;n<N;n++)
      {
          xT_N=X.L2_discrepancy(n,rx,xT_N);
          yT_N=Y.L2_discrepancy(n,ry,yT_N);
          if(n==(twopower-2))
          { 
              fout.writeField("n="+n+":",10);
              fout.writeField(Xseq+": T_n="+xT_N);
              fout.writeField(Yseq+": T_n="+yT_N);
              fout.write("\n");
              twopower*=2;
          }
          
          // progress report, triangular nature of the main sum
          if(n%150==149)
          loopStatus.progressReport(n*(n-1)/2,N*(N-1)/2,149*148/2+1,before); 

      }
      
      long after=System.currentTimeMillis(),
           time=after-before;
      fout.write("\nTime (secs): "+time/1000+"\n\n\n");
      
   } // end computeL2Discrepancy
   
              
} // end L2NX