defaultcvmeantest.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]

*/


/*
 * DefaultCVMeanTest.java
 *
 * Created on March 3, 2002, 10:00 PM
 */

package Examples.ControlVariates;

import Statistics.*;
import Market.*;
import Options.*;
import java.lang.Math;

/** <p>Console program testing wether our formula for the mean of the default 
 *  control variate (of an option) is correct. The analytic formula is compared
 *  against the Monte Carlo mean. A very high dividend rate q=0.94 (94%)
 *  is used to make sure dividends are accounted for properly.</p>
 *
 * <p>Note that the default control variate is independent of the option
 * which does not enter into the computation. A European call is used for
 * initialization.</p>
 *
 *<p>A fixed set of parameters (initial asset price S(0), volatility, ...) 
 * is used. No interaction with the user. Change the parameters in the
 * source code and recompile if you must.</p>
 *
 * @author Michael J. Meyer
 */
public class DefaultCVMeanTest{

  public static void main(String[] args)
  {
      
      int  T=50,
           nPaths=100000,
           nSignChange=5;
      
       
      double S_0=50,
             mu=0.24,
             sigma=0.31,
             q=0.94,
             r=0.07,
             K=55,
             dt=0.02;
             
       final ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
       final Call call=new Call(K,asset);
       
       call.controlledDiscountedPayoff().controlVariateMeanTest();
   
   
   }//end main
   
}//end CallControlVariateTest