bondpaths.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]

*/


/*
 * BondPaths.java
 *
 * Created on September 3, 2002, 2:23 PM
 */


package Examples.Libor;

import Libor.LiborProcess.*;
import Graphics.*;
import com.skylit.io.EasyReader;

/** <p>Opens a window, allocates a Libor Process of dimension <code>n=60</code>
 *  with quarterly compounding and then displays zero coupon bond paths with 
 *  300 time steps to maturity. The user defines the bond maturity.</p>
 *
 * <p>The apparent jumps in the bond price paths is an artifact created by the
 * way the program handles Libors at times <code>t</code> between Libor reset  
 * points <code>T_j</code>. It uses Libor evaluated at the nearest reset point
 * and hence causing a jump as <code>t</code> crosses the midpoint of Libor
 * accrual intervals.</p>
 * 
 * @author Michael J. Meyer
 */
public class BondPaths extends PathFrame{
    

       // window parameters
       static final int w=600,
                        h=350,
                        xOffset=70,
                        yOffset=70,
                        timeSteps=300,  // number of time 
                        N=timeSteps+1,  // length of path array
                        n=60;           // dimension of Liborprocess
        
       double step,                    // size of time step
              Tm;                      // time o maturity
       
       static final double[] path=new double[N];  

       LiborProcess LP;
       
       
     
       
       
/*******************************************************************************
 *
 *            THE PATHS
 *
 ******************************************************************************/
       
       /** Alternates between Libor and driftless Libor set at time
        *  <code>t=T_11</code>.
        */
       public double[] nextPath()
       {
           
           LP.newPath();
           for(int t=0;t<N;t++)path[t]=LP.B(t*step,Tm);
               
           return path;
       } // end newPath
           
       
/*******************************************************************************
 *
 *                           CONSTRUCTOR
 *
 ******************************************************************************/           
               
       /** Some parameter values are needed for the super class constructor
        *  (<code>T,B0</code>).
        *
        * @param LP the Libor process
        * @param T  bond maturity
        * @param B0 bond value <code>B(0,T)</code> 
        * @param dt size of time step (must be <code>T/timesteps=T/300</code>).
        * @param mPath number of paths displayed simultaneously.
        */   
       public BondPaths
       (LiborProcess LP, double T, double B0, double dt, int mPath)
       {
           super("Zero coupon bond B(t,"+T+") paths",
                 w,h,xOffset,yOffset,timeSteps,dt,B0,mPath);
          
           this.LP=LP;
           Tm=T;
           step=Tm/timeSteps;

       } // end constructor
       
/*******************************************************************************
 *
 *                                MAIN
 *
 ******************************************************************************/
       
       
       /** Opens the window and displays a new path of Libor <code>L_75<code>
        *  and the corresponding path of driftless Libor code>L^0_75<code>
        *  whenever the window is clicked.
        */
       public static void main(String[] args)
       {
           EasyReader io=new EasyReader();
           System.out.print
           ("Displaying zero coupon bond paths.\n"+
            "Choose maturity T (in years, must be <= 15): ");
           
           double T=io.readDouble();
           double dt=T/N;                   // size of time step
           
           System.out.print
           ("How many paths should be displayed simultaneously: ");
           
           int mPath=io.readInt();
           
           LMM_Parameters lmmParams=new LMM_Parameters(n,LMM_Parameters.CS);
           LiborProcess Libor=new LiborProcess(lmmParams);
           
           double B0=Libor.B(0.0,T);  
           new BondPaths(Libor,T,B0,dt,mPath).show();
       } // end main
       
       
} // end PathPairs