pathfunctionalhistogram.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]

*/



/*
 * MaximumFunctionalHistogram.java
 *
 * Created on March 29, 2002, 6:44 AM
 */

package Examples.Probability;

import Statistics.*;
import Processes.*;
import java.lang.Math.*;

/** <p>Displays a histogram of the run time maximum of a standard Brownian
 *  motion (200,000 paths, 100 bins). Writes the file hist.dat for input into
 *  the gri-script histogram.gri. Example program to show how to
 *  define and analyze a path functional.</p>
 *
 * @author  Michael J. Meyer
 */
public class PathFunctionalHistogram extends MaximumPathFunctional{
    
     /** Allocate the path maximum of a standard Brownian motion
      *  starting at 0.
      */
     public PathFunctionalHistogram()
     {
         super(new BrownianMotion(100,0.01,0)); 
     }
   
     /** Display the histogram of the functional (<code>this</code>)
      *  over 200,000 paths using 100 bins.
      */
     public static void main(String[] args)     
     {
         try{
             
         PathFunctionalHistogram H=new PathFunctionalHistogram();
         String filename="BmaxHisto.eps";
         H.displayHistogram
         (200000,100,false,filename,Graphics.Flag.EPS);
         
         System.out.println("Now writing gri data file.");
         filename="BmaxHisto.dat";
         H.basicHistogram(200000, 100, 0.005).writeGriDataFile("BmaxHisto.dat");
         System.out.println("Finished.");
         
         }catch(java.io.IOException e){ 
             
             System.out.println("Could not write to file.");
         }
     }
     
} // end PathFunctionalHistogram