swaptionprice.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]
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*/




/*
 * SwaptionPrice.java
 *
 * Created on November 21, 2002, 21:09 PM
 */

package Examples.Pricing;

import Libor.LiborProcess.*;
import Libor.LiborDerivatives.*;
import Statistics.*;
import Triggers.*;
import LinAlg.*;


/** <p>Bermudan Swaption. Limited functionality. Intended to support some 
 *  experiments. The underlying swap is assumed to end at the terminal
 *  date of the underlying Libor process.</p>
 * 
 * <p>Computes the prices of a complete set of coterminal European swaptions
 * with semiannual accrual terminating 20 years in the future (n=40).
 * The prices two Bermudan swaptions ending at the same date but with different 
 * starting dates.</p>
 *
 * @author  Michael J. Meyer
 */
public class SwaptionPrice {
    
       
     public static void main(String[] args)
     {
         // Libor process setup
         int n=40, p;          
         double kappa=0.04;   // strike rate
       
         // Libor parameter sample 
         final LMM_Parameters lmmParams=new LMM_Parameters(n,LMM_Parameters.JR);
         final LiborProcess LP=new LiborProcess(lmmParams);
       
         // print the European swaption prices
         for(p=1;p<39;p++){

             final LiborDerivative eswpn=new Swaption(LP,p,p,n,kappa);
             double eprice=eswpn.analyticForwardPrice(0)*LP.B0(n);
             eprice=FinMath.round(eprice,5);
             System.out.println(eprice);
         }
         
         // compute the Bermudan swaption
         p=4;
         
         final BermudanSwaption bswpn=new BermudanSwaption(LP,p,kappa);
         
         // naive exercise trigger
         Trigger exercise=bswpn.pureTrigger();
         
         long before, after; double time;
         before=System.currentTimeMillis();
         // all prices forward prices at time T_n
         int nPath=50000;             // number of Libor paths
         double bprice=bswpn.monteCarloForwardPrice(nPath,exercise)*LP.B0(n);           
         after=System.currentTimeMillis();
         time=(after-before)*0.001;
       
         String report=LP.toString()+
         "\n\nBermudan payer swaption: "+
         "semi annual, "+n/2+" non call "+p/2+", Strike: "+kappa+
         "\nBermudan price: "+bprice+
         "\nPaths: "+nPath+
         "\ntime: "+time+" sec.";
         System.out.println(report);
       
       
     } // end main
                  
                  
                  
} // end SwaptionPrice