expectationtest.java

来自「金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料」· Java 代码 · 共 63 行

/*
 * ExpectationTest.java
 *
 * Created on October 2, 2002, 5:12 AM
 */

package Examples.Probability;

import Statistics.*;

/**
 *
 * @author  java
 */
public class ExpectationTest {
    
    public static final double
    a=1.33, b=2.12, A=3.17, B=7.8, C=4.13, alpha=0.7;
    
    public static final 
    RandomVariable Y=new RandomVariable(){
        
        public double getValue(int t)
        {
            double x=Random.STN(),
                   g=x*(A*x+B)+C,
                   f=a*x+b,
                   f2=f*f;
            return g*Math.exp(-f2+alpha*x);
        }
     }; // end Y
     
     public static final double mean()
     {
         double q=1+2*a*a,
                r=Math.sqrt(q),
                minusonehalfD=alpha*alpha/2-(b+alpha*a)*(b+alpha*a)/q,
                F=Math.exp(minusonehalfD)/(r*q*q),
                k=alpha-2*a*b,
                S=A*(q+k*k)+B*k*q+C*q*q;
         
         return F*S;
     }
            
/*******************************************************************************
 *
 *                               MAIN
 *
 *******************************************************************************/
     
     public static void main(String[] args)
     {
         double am=mean(),
                mcm=Y.expectation(8000000);
         
         String report=
         "\nanalytic mean="+am+
         "\nmonte carlo mean="+mcm;
         System.out.println(report);
     }
    
}