callcontrolvariatetest.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
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Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

[e-mail]
[e-mail]

*/


/*
 * ControllVariateTest_2.java
 *
 * Created on March 9, 2002, 2:32 PM
 */

package Examples.ControlVariates;

import Statistics.*;
import Market.*;
import Options.*;
import Exceptions.*;


/** 
 * <p>The Monte Carlo price and controlled Monte Carlo price price of a European 
 * call on a constant volatility asset computed from a sample of 10000 paths of
 * the underlying asset are introduced as random variables in their own right 
 * and the variance of these random variables computed.</p>
 *
 * <p>The two variances are computed from a sample of size 200</p>
 *
 * <p>The idea is to check if use of the control variate does reduce 
 * the variance</p> </p> 
 *
 * <p>The control variate is the discounted price of the underlying asset
 * at exoiration (the default control variate).</p>
 *
 * <p>Parameters (time to expiration, volatility,...) fixed in source code 
 * without user interaction and are chosen so that a high correlation of the
 * call payoff with the control variate prevails (deep in the money call).</p>
 *
 * 
 * @author  Michael J. Meyer
 *
 */
public class CallControlVariateTest{

  public static void main(String[] args)
  {
      
      final int  T=50,
                 nPaths=10000,
                 nSamples=200;
      
       
      final double S_0=50,
                   mu=0.24,
                   sigma=0.31,
                   q=0.05,
                   r=0.07,
                   K=45,
                   dt=0.02;
             
       
       // the underlying, nSignChange=8
       ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,8,S_0,r,q,mu,sigma);
          
       // the call 
       final BlackScholesCall call=new BlackScholesCall(K,asset);

       // correlation of call payoff with control variate to 5 decimals
       double cv_corr=call.controlVariateCorrelation(3000);
       cv_corr=1.0*Math.round(10000*cv_corr)/10000;
       
       String Str;
       Str="Correlation of call payoff with control variate = "+cv_corr+"\n";
       System.out.println(Str);
       
       
        /* The Monte carlo price of the call as a random variable.
         * No conditioning so the time parameter t is ignored.
         */
        final RandomVariable mc_price=new RandomVariable(){
        
            public double getValue(int t)
            {
               return call.discountedMonteCarloPrice(nPaths);                   
            } // end getValue
        
        }; //end X
     
        // variance of the uncontrolled Monte Carlo price
        double variance=mc_price.variance(nSamples);
        
        String 
        message="Variance of uncontrolled Monte Carlo price = "+variance;
        System.out.println(message);
        
        
        
        // the controlled Monte Carlo price as a random variable
        final RandomVariable cmc_price=new RandomVariable(){
        
            public double getValue(int t)
            {
                return call.controlledDiscountedMonteCarloPrice(nPaths);  
            } // end getValue
        
        }; //end cmc_price
        
        
        // variance of the controlled Monte Carlo price
        double controlled_variance=cmc_price.variance(nSamples);
        
        message="Variance of controlled Monte Carlo price = "
                +controlled_variance;
        System.out.println(message);
        
   }//end main
   
}//end CallControlVariateTest