doubleornothing.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]

*/



/*
 * DoubleOrNothing.java
 *
 * Created on March 13, 2002, 12:35 PM
 */

package Examples.Trading;

import Statistics.*;
import Market.*;
import TradingStrategies.*;
import Triggers.*;
import java.lang.Math;

/** <p>Console program allocating a constant volatility asset and examining
 * the strategy which averages down as follows: 100 shares are bought at time 
 * t=0. Each time the asset price declines 5% from the level of the last buy
 * the position (number of shares) is increased by a factor f=2. 
 * Computes the means and standard deviations of:</p> 
 *
 * <ul>
 * <li>the gains from trading</li>
 * <li>the maximum amount borrowed</li>
 * <li>the maximum drawdown</li>
 * <li>the annualized return on investment (compounded continuously)</li>
 * <li>the number of trades</li>
 * </ul>
 *
 * <p>All except the last quantity are discounted amounts and all are evaluated
 * at the time horizon T.
 * Parameters (time to expiration, volatility,...) fixed in source code.
 * No user interaction. 10,000 paths of the underlying asset are simulated.</p>
 *
 * <p><b>Warning:</b>if f is large enough this can wrest positive returns even
 * from an asset drifting lower (bear market). In this case however the 
 * position can grow very large. Do this only if you have very deep pockets!
 * </p>
 * 
 * @author  Michael J. Meyer
 *
 */
public class DoubleOrNothing{

  public static void main(String[] args)
  {
      
      int  T=50,
           nPaths=10,
           nSignChange=5,    // irrelevant but needed for asset constructor
           triggerPercentage=5;
      
       
      double S_0=50,
             mu=-0.24,
             sigma=0.31,
             q=0.05,
             r=0.07,
             dt=0.02,
             fixed_trc=0.0,   // fixed transaction costs
             prop_trc=0.0,   // proportional transaction costs
             f=2;              // factor by which nmber of shares is increased
                             // on each trade
             
             
       ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
       /*
       // the buy and hold strategy (100 shares, no trades)
       Trigger 
       tradeTrigger=new TriggerAtPercentDecline(asset,triggerPercentage);
       
       TradingStrategy 
       averageDown=new TradingStrategy(fixed_trc,prop_trc,asset,tradeTrigger){
           
           // double the position if trade is triggered
           public double newWeight(int t)
           { 
               if(t==0)return 100;
               else return 2*get_currentWeight(); }
           
       }; // end buyAndHold
       */
       
       TradingStrategy 
       doubleOrNothing=new StrategyDoubleOrNothing
                           (fixed_trc,prop_trc,asset,triggerPercentage,f);
       
       /* the statistics associated with this strategy:
        * mean and variance of five quantities:
        * the gains from trading, maximum borrowings,
        * maximum drawdown, amount invested at time T,
        * return on investment.
        *
        * Recall: vector of means is stats[0][.]
        *         vector of standard deviations is stats[1][.]
        */
       double[][] stats=doubleOrNothing.tradeStatistics().
                                        meanAndStandardDeviation(nPaths);
       
       // report the results:
       String message;

       message=
       "Asset: S(0)="+S_0+", mu="+mu+", sigma="+sigma+"\n"+
       "Investor buys 100 shares and doubles the position whenever\n"+
       "the asset price declines "+triggerPercentage+" percent from the\n"+
       "price of the last buy. Evaluation at the horizon T="+T*dt+" years.\n"+
       "Initial investment: "+doubleOrNothing.initialInvestment()+"\n\n";
       
       System.out.println(message);
       
       
       double mean, stdv;
       
       //gains from trading:
       mean=stats[0][0];
       stdv=stats[1][0];
       mean=1.0*Math.round(10000*mean)/10000;   //cut down to 5 decimals
       stdv=1.0*Math.round(10000*stdv)/10000;   //cut down to 5 decimals
       
       message=
       "Gains from trading:\n"+
       "Mean="+mean+",  standard deviation="+stdv+"\n\n";
       
       System.out.println(message);
       
       
       // maximum amount borrowed:
       mean=stats[0][1];
       stdv=stats[1][1];
       mean=1.0*Math.round(10000*mean)/10000;   //cut down to 5 decimals
       stdv=1.0*Math.round(10000*stdv)/10000;   //cut down to 5 decimals
       
       message=
       "Maximum amount borrowed:\n"+
       "Mean="+mean+",  standard deviation="+stdv+"\n\n";
       
       System.out.println(message);
       
       
       //maximum drawdown:
       mean=stats[0][2];
       stdv=stats[1][2];
       mean=1.0*Math.round(10000*mean)/10000;   //cut down to 5 decimals
       stdv=1.0*Math.round(10000*stdv)/10000;   //cut down to 5 decimals
       
       message=
       "Maximum drawdown:\n"+
       "Mean="+mean+",  standard deviation="+stdv+"\n\n";
       
       System.out.println(message);
       
       
       //return on investment at time T:
       mean=stats[0][3];
       stdv=stats[1][3];
       mean=1.0*Math.round(10000*mean)/10000;   //cut down to 5 decimals
       stdv=1.0*Math.round(10000*stdv)/10000;   //cut down to 5 decimals
       
       message=
       "Return on investment:\n"+
       "Mean="+mean+", Standard deviation="+stdv+"\n"+
       "Benchmark: asset drift mu="+mu+"\n\n";

       
       System.out.println(message);
       
       
       //number of trades:
       mean=stats[0][4];
       stdv=stats[1][4];
       mean=1.0*Math.round(10000*mean)/10000;   //cut down to 5 decimals
       stdv=1.0*Math.round(10000*stdv)/10000;   //cut down to 5 decimals
       
       message=
       "Number of trades:\n"+
       "Mean="+mean+", Standard deviation="+stdv+"\n\n";
       
       System.out.println(message);
   
   
   }//end main
   
}//end BuyAndHold