callpriceanddeltas.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

            }
        });

        jPanel2.add(jSlider7);

        jPanel2.add(jLabel7);

        jSlider9.setMaximum(4000000);
        jSlider9.addMouseMotionListener(new java.awt.event.MouseMotionAdapter() {
            public void mouseDragged(java.awt.event.MouseEvent evt) {
                jSlider9MouseDragged(evt);
            }
        });

        jPanel2.add(jSlider9);

        jProgressBar1.setForeground(new java.awt.Color(204, 255, 102));
        jProgressBar1.setBackground(new java.awt.Color(204, 204, 255));
        jProgressBar1.setBorder(new javax.swing.border.EtchedBorder(null, java.awt.Color.lightGray));
        jPanel2.add(jProgressBar1);

        jButton1.setText("go");
        jButton1.addMouseListener(new java.awt.event.MouseAdapter() {
            public void mouseClicked(java.awt.event.MouseEvent evt) {
                jButton1MouseClicked(evt);
            }
        });

        jPanel2.add(jButton1);

        jPanel2.add(jLabel9);

        jPanel2.add(jLabel10);

        jPanel2.add(jLabel11);

        jPanel2.add(jLabel12);

        jSplitPane1.setRightComponent(jPanel2);

        getContentPane().add(jSplitPane1);

        pack();
    }//GEN-END:initComponents

    //SET OFF MAIN COMPUTATION
    private void jButton1MouseClicked(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jButton1MouseClicked
        
        mainComputation();
        
    }//GEN-LAST:event_jButton1MouseClicked

    private void jSlider9MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider9MouseDragged
        
        nPath=jSlider9.getValue();
        jTextField9.setText("Number of paths ="+nPath); 
    }//GEN-LAST:event_jSlider9MouseDragged

    private void jSlider8MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider8MouseDragged
                       
        dt=((double)jSlider8.getValue())/1000;
        jTextField8.setText("Time step (years) ="+dt); 
    }//GEN-LAST:event_jSlider8MouseDragged

    private void jSlider7MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider7MouseDragged
                       
        q=((double)jSlider7.getValue())/100;
        jTextField7.setText("Dividend yield ="+q); 

    }//GEN-LAST:event_jSlider7MouseDragged

    private void jSlider6MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider6MouseDragged
                       
        sigma=((double)jSlider6.getValue())/100;
        jTextField6.setText("Volatility ="+sigma); 
    }//GEN-LAST:event_jSlider6MouseDragged

    private void jSlider5MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider5MouseDragged
                       
        mu=((double)jSlider5.getValue())/100;
        jTextField5.setText("Market drift ="+mu); 
    }//GEN-LAST:event_jSlider5MouseDragged

    private void jSlider4MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider4MouseDragged
               
        S_0=((double)jSlider4.getValue())/100;
        jTextField4.setText("S(0) ="+S_0); 
    }//GEN-LAST:event_jSlider4MouseDragged

    private void jSlider3MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider3MouseDragged
               
        r=((double)jSlider3.getValue())/100;
        jTextField3.setText("Risk free rate ="+r); 
    }//GEN-LAST:event_jSlider3MouseDragged

    private void jSlider2MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider2MouseDragged
               
        T=jSlider2.getValue();
        jTextField2.setText("Number of time steps = "+T); 
    }//GEN-LAST:event_jSlider2MouseDragged

    private void jSlider1MouseDragged(java.awt.event.MouseEvent evt) {//GEN-FIRST:event_jSlider1MouseDragged
        
        K=((double)jSlider1.getValue())/100;
        jTextField1.setText("Strike price ="+K); 
    }//GEN-LAST:event_jSlider1MouseDragged

    /** Exit the Application */
    private void exitForm(java.awt.event.WindowEvent evt) {//GEN-FIRST:event_exitForm
        System.exit(0);
    }//GEN-LAST:event_exitForm

    
    
    
  
    
    /**
    * @param args the command line arguments
    */
    public static void main(String args[]) {
        
        nSignChange=20;
        
        CallPriceAndDeltas 
        CLP=new CallPriceAndDeltas();
        CLP.setBounds(100,40,700,600);
        
        //set and display defaults in case user does not choose. 
        
        nPath=100000;
        CLP.jTextField9.setText("Number of paths ="+nPath);
        
        K=53;
        CLP.jTextField1.setText("Strike price ="+K); 
        
        dt=0.05;
        CLP.jTextField8.setText("Time step (years) ="+dt);
       
        T=20;
        CLP.jTextField2.setText("Number of time steps = "+T);
        
        S_0=48.0;
        CLP.jTextField4.setText("S(0) ="+S_0); 

        r=0.06;
        CLP.jTextField3.setText("Risk free rate ="+r); 
        
        q=0.0;
        CLP.jTextField7.setText("Dividend yield ="+q);
        
        mu=0.34;
        CLP.jTextField5.setText("Market drift ="+mu); 
        
        sigma=0.41;
        CLP.jTextField6.setText("Volatility ="+sigma); 
        
        CLP.show();
               
        
    }


    // Variables declaration - do not modify//GEN-BEGIN:variables
    private javax.swing.JSlider jSlider4;
    private javax.swing.JSlider jSlider3;
    private javax.swing.JSlider jSlider2;
    private javax.swing.JSlider jSlider1;
    private javax.swing.JButton jButton1;
    private javax.swing.JMenu jMenu1;
    private javax.swing.JLabel jLabel12;
    private javax.swing.JLabel jLabel11;
    private javax.swing.JLabel jLabel10;
    private javax.swing.JMenuBar jMenuBar1;
    private javax.swing.JTextField jTextField19;
    private javax.swing.JTextField jTextField18;
    private javax.swing.JTextField jTextField17;
    private javax.swing.JTextField jTextField16;
    private javax.swing.JTextField jTextField15;
    private javax.swing.JTextField jTextField14;
    private javax.swing.JTextField jTextField13;
    private javax.swing.JTextField jTextField12;
    private javax.swing.JPanel jPanel2;
    private javax.swing.JTextField jTextField11;
    private javax.swing.JPanel jPanel1;
    private javax.swing.JTextField jTextField10;
    private javax.swing.JTextField jTextField9;
    private javax.swing.JTextField jTextField8;
    private javax.swing.JTextField jTextField7;
    private javax.swing.JTextField jTextField6;
    private javax.swing.JTextField jTextField5;
    private javax.swing.JTextField jTextField4;
    private javax.swing.JTextField jTextField3;
    private javax.swing.JTextField jTextField2;
    private javax.swing.JTextField jTextField1;
    private javax.swing.JLabel jLabel9;
    private javax.swing.JLabel jLabel8;
    private javax.swing.JLabel jLabel7;
    private javax.swing.JLabel jLabel6;
    private javax.swing.JLabel jLabel5;
    private javax.swing.JLabel jLabel4;
    private javax.swing.JLabel jLabel3;
    private javax.swing.JLabel jLabel2;
    private javax.swing.JLabel jLabel1;
    private javax.swing.JSlider jSlider9;
    private javax.swing.JSlider jSlider8;
    private javax.swing.JSlider jSlider7;
    private javax.swing.JProgressBar jProgressBar1;
    private javax.swing.JSlider jSlider6;
    private javax.swing.JSplitPane jSplitPane1;
    private javax.swing.JSlider jSlider5;
    // End of variables declaration//GEN-END:variables

    
    static int T,
               nPath,
               nSignChange;
     
     static double S_0,
                   K,
                   Tc,
                   r,
                   q,
                   mu,
                   sigma,
                   dt;
        
     ConstantVolatilityAsset asset;
     BlackScholesCall call;

     
     public void mainComputation()
     {
        
        asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
        call=new BlackScholesCall(K, asset);
        
       
        double aPrice=call.discountedAnalyticPrice(0);
        double mcPrice=call.discountedMonteCarloPrice(0,nPath);
        //analytic deltas
        double aDelta=call.analyticDelta(0);
        double arnDelta=
        call.analyticMinimumVarianceDelta(Flag.RISK_NEUTRAL_PROBABILITY,0);
        double amvDelta=
        call.analyticMinimumVarianceDelta(Flag.MARKET_PROBABILITY,0);
        double aqDelta=call.analyticQuotientDelta(0);
        // Monte Carlo computed deltas
        double mvDelta=
        call.minimumVarianceDelta(Flag.MARKET_PROBABILITY,0,nPath);
        double rnDelta=
        call.minimumVarianceDelta(Flag.RISK_NEUTRAL_PROBABILITY,0,nPath);
        double mcDelta=
        call.monteCarloDelta(0,nPath);
        double qDelta=call.quotientDelta(0,nPath);
        
        //truncate to 4 digits after zero
        aPrice=FinMath.round(aPrice,5);
        mcPrice=FinMath.round(mcPrice,5);
        aDelta=FinMath.round(aDelta,5);
        amvDelta=FinMath.round(amvDelta,5);
        arnDelta=FinMath.round(arnDelta,5);
        aqDelta=FinMath.round(aqDelta,5);
        amvDelta=FinMath.round(amvDelta,5);
        arnDelta=FinMath.round(arnDelta,5);
        amvDelta=FinMath.round(amvDelta,5);
        arnDelta=FinMath.round(arnDelta,5);

           
        jTextField10.setText("Analytic price = "+aPrice);
        jTextField11.setText("Monte Carlo  price = "+mcPrice);
        jTextField12.setText("Analytic delta = "+aDelta);
        jTextField13.setText("Minimum variance delta = "+mvDelta);
        jTextField14.setText("Analytic minimum variance delta = "+amvDelta);
        jTextField15.setText("Risk neutral delta = "+rnDelta);
        jTextField16.setText("Analytic risk neutral delta = "+arnDelta);
        jTextField17.setText("Quotient delta = "+qDelta);
        jTextField18.setText("Analytic quotient delta = "+aqDelta);
        jTextField19.setText("Monte Carlo delta = "+mcDelta);
     
     }//end mainComputation



} //end CallPrice
//"Monte carlo delta = "+mcDelta