jumpassetpaths.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]

*/



/*
 * PathBranchDemo.java
 *
 * Created on March 29, 2002, 9:10 PM
 */

package Examples.Paths;

import Market.*;
import Options.*;
import Graphics.*;


/** <p>Displays paths of a jump asset.
 *  </p>
 *
 * @author  Michael J. Meyer
 */
public class JumpAssetPaths {
    

      /** Displays a new path of the delta of a one year call whenever
       *  the window is clicked.
       */
      public static void main(String[] args)
      { 
           int  T=200,           // time steps to horizon
                nSignChange=2,    // irrelevant but needed for asset constructor
                w=600,
                h=350,
                xOffset=70,
                yOffset=70;
      
       
            final double 
                   S_0=50,
                   mu=0.24,
                   sigma=0.31,
                   q=0.0,
                   r=0.07,
                   dt=0.005,
                   lambda=0.2,        // jump intensity
                   rho=1.5;           // jump size = z^2-1, where z is N(0,rho)
            
           final double[] path=new double[T+1];
             
           final JumpAsset 
           jasset=new JumpAsset(T,dt,nSignChange,S_0,r,q,mu,sigma,lambda,rho);
         
           double y0=S_0;
          
           PathFrame window=new PathFrame
           ("Jump asset paths",w,h,xOffset,yOffset,T,dt,y0){
               
               public double[] nextPath()
               {
                   jasset.newPath(Market.Flag.MARKET_PROBABILITY);
                   return jasset.get_S();
               }
           }; // end Window
           
           window.show();
           

      } // end main
    
} // end PathBranchDemo