empiricalhistogram.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]

*/



/*
 * EmpiricalHistogram.java
 *
 * Created on March 23, 2002, 5:05 PM
 */

package Examples.Probability;

import hep.aida.*;
import java.util.Random;
import Statistics.*;
import Market.*;
import TradingStrategies.*;
import Triggers.*;
import java.lang.Math;
import jas.hist.JASHist;
import jas.hep.*;
import javax.swing.*;

/** <p>A data set of N=2000 standard normal random draws is generated. The 
 *  program then displays two smoothed histograms of sample size N and 50*N of  
 *  the empirical random variable associated with this data set.<br> 
 *
 *  The idea is to see to which extent increased sampling with replacement from 
 *  the same fixed size data set can improve the approximation to the underlying 
 *  distribution.</p>
 *
 *  <p>Console program, no 
 *  user interaction. All parameters fixed in source code.</p>
 *
 * @author Michael J. Meyer
 */

public class EmpiricalHistogram{

    public static void main(String[] args )
    throws InterruptedException, java.io.IOException
    {
         int N=2000;                // size of data set
         int nBins=100;             // number of bins
         
         // construct a raw standard normal sample set
         double[] data_set=new double[N];
         for(int i=0;i<N;i++)data_set[i]=Statistics.Random.STN();
         
         // the empirical random variable associatd with this sample set
         RandomVariable X=new EmpiricalRandomVariable(data_set);

        // a histogram of nSamples samples
        String filename="EmpiricalHisto2000.eps";
        System.out.println("displaying histogram of 2000 samples");
        X.displayHistogram(N,nBins,true,filename,Graphics.Flag.EPS);

        Thread.currentThread().sleep(2000);
        
        // a histogram of nSamples samples
        filename="EmpiricalHisto100000.eps";
        System.out.println("displaying histogram of 100,000 samples");
        X.displayHistogram(50*N,nBins,true,filename,Graphics.Flag.EPS);
        
        Thread.currentThread().sleep(2000);
        
        System.out.println("Now writing gri data file.");
        filename="EmpiricalHisto2000.dat";
        X.basicHistogram(N,nBins,0.005,false).writeGriDataFile(filename);
        filename="SmoothedEmpiricalHisto2000.dat";
        X.basicHistogram(N,nBins,0.005,true).writeGriDataFile(filename);
        filename="EmpiricalHisto100000.dat";
        X.basicHistogram(50*N,nBins,0.005,false).writeGriDataFile(filename);
        filename="SmoothedEmpiricalHisto100000.dat";
        X.basicHistogram(50*N,nBins,0.005,true).writeGriDataFile(filename);
        System.out.println("Finished.");
         
         
        
     } // end main
     
} // end EmpiricalHistogram