dirichletdemo.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]

*/




/*
 * DirichletDemo.java
 *
 * Created on January 18, 2002, 5PM
 */
 
package Examples.Probability;

import Statistics.*;
import Processes.*;
import java.lang.Math.*;
import Graphics.Frame;
import java.awt.event.*;



 

/** <p>A two dimensional Brownian motion is started at the origin and the path 
 *  displayed until it hits the boundary of the unit circle.</p> 
 *
 * @author  Michael J. Meyer
 */
public class DirichletDemo extends Graphics.Frame{

    
       
       // wait
       public void sleep(long millis)
       {   
          long current=System.currentTimeMillis();
          while(System.currentTimeMillis()<current+millis){}
           
       } //end sleep
           
       // constructor
       public DirichletDemo()
       {
           setDefaultCloseOperation(EXIT_ON_CLOSE);
           
           // repaint on mouseclick
           addMouseListener(new MouseAdapter(){
	                                 
	     public void mouseClicked(java.awt.event.MouseEvent event) 
	     {  paint(getGraphics());  } 
           
           }); // end mouseListener
           
           // enable events
           setEnabled(true);
           requestFocus();
           setBounds(150,50,800,500);
           setTitle("Two dimensional Brownian motion, "+
                    "click to restart, close to kill");
           
       } // end constructor

       
       public void paint(final java.awt.Graphics g)
       {
               
           int T=50000,      //time steps to horizon
           dim=2;        //dimension
           double dt=0.001;  //size of time step
        
           double[] x={0,0};  //starting point
        
        
           //allocate a two dimensional Brownian motion starting at x
           final VectorBrownianMotion B=new VectorBrownianMotion(dim,T,dt,x);
        
        
           //define the unit disc as a two dimensional region
           Region_nD disc=new Region_nD(){
        
                public boolean isMember(double[] z)
                {
                     double u=z[0], v=z[1];
                     return (u*u+v*v<1);       }
                  
           }; //end disc
        
        
           //allocate the hitting time for the boundary
           final StoppingTime tau=new FirstExitTime_nD(B,disc);
         
           // clear the window
           g.setColor(java.awt.Color.white);
           g.fillRect(0,0,800,800); // clear drawing
           g.setColor(java.awt.Color.red);
           
           // circle inscribed square of side 400, 
           // upper left corner at (200,50)
           g.drawOval(200,50,400,400); 
           int n=B.pathSegment(tau);
               
           double[][] z=B.get_path();
           
           double f=200.0;    //scaling, radius of disc=200 pixels
           int u1,u2,v1,v2;
           u1=400+(int)(f*x[0]);
           u2=250-(int)(f*x[1]);
           g.drawOval(u1,u2,2,2);     // the starting point
               
           for(int t=0;t<n;t++)
           {
               v1=400+(int)(f*z[t+1][0]);
               v2=250-(int)(f*z[t+1][1]);
               // pause 1 nanosecond
               sleep(20);
               g.drawLine(u1,u2,v1,v2);
               u1=v1;
               u2=v2;
           }
                     
           sleep(500);       
              
       }// end paint
       
/*******************************************************************************
 *
 *                                 MAIN
 *
 ******************************************************************************/
  
       
       public static void main(String[] args)
       throws java.io.FileNotFoundException, java.io.IOException
       { 
           DirichletDemo window=new DirichletDemo();
           window.setVisible(true);
           String filename="Pictures/Graphs/BMinCircle.eps";
          
           window.saveAsEPS(filename);
       
       }
       
       
} // end DirichletDemo