pathtiming.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]

*/


/*
 * PathTiming.java
 *
 * Created on September 4, 2002, 10:22 PM
 */

package Examples.Libor;

import Libor.LiborProcess.*;
import Graphics.*;

/** Computes 10000 full Libor paths (X-Libor only) in dimensions
 *  <code>n=10,20,...,80</code> and plots the time taken for each run.
 *
 * @author  Michael J. Meyer
 */
public class PathTiming {
    
     public static void main(String[] args)
     {
         double[] time=new double[6];
         for(int i=0;i<6;i++){
             
             int n=10*(i+1);
             
             double before, after;
             before=System.currentTimeMillis();
             
             // Libor parameter sample 
             LMM_Parameters lmmParams=new LMM_Parameters(n,LMM_Parameters.CS);
             LiborProcess LP=new LiborProcess(lmmParams);
             
             for(int path=0;path<10000;path++)LP.newPath();
             
             after=System.currentTimeMillis();
             time[i]=(after-before)/1000;

         } // end for i
         
                 
        JGraph graph=new JGraph(10,60);
        graph.setTitle("Time for 10000 full Libor paths (sec)");
        graph.setXAxisLabel("dimension n");
        graph.setBounds(120,30,550,400);
        
        graph.addSeries(time,"time (sec)");

        graph.setVisible(true);
        
         try{  Thread.currentThread().sleep(2000); }
         catch( InterruptedException e){}
        
        graph.saveAsPNG();
         
     } // end main

} // end PathTiming