tradinggainshistogram.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]

*/



/*
 * TradingGainsHistogram.java
 *
 * Created on March 19, 2002, 2:05 AM
 */

package Examples.Trading;

import hep.aida.*;
import Statistics.*;
import Market.*;
import TradingStrategies.*;
import Triggers.*;
import java.lang.Math;
import jas.hist.*;
import jas.hep.*;
import javax.swing.*;

/** <p>Draws histogram of gains from trading for the trading strategies
 *  <code>StrategyAverageDown</code> trading a 
 *  <code>ConstantVolatilityAsset</code>. 100 shares are bought initially
 *  and then 100 more shares are bought whenever the asset price declines 5
 *  percent from the level of the last buy.</p>
 *  
 *  <p>Console program, no user interaction. 
 *  All parameters fixed in source code.</p>
 *
 * @author Michael J. Meyer
 */

public class TradingGainsHistogram {
    
   public static void main(String[] argv)
   {
      
      int  T=50,
           nPaths=400000,
           nBins=100,
           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=10,    // fixed transaction costs
             prop_trc=0.25;   // proportional transaction costs
             
             
       ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
       TradingStrategy 
       averageDown=new StrategyAverageDown
                       (fixed_trc,prop_trc,asset,triggerPercentage);
       double initialInvestment=averageDown.initialInvestment();
       
       
       RandomVariable 
       gainsFromTrading=averageDown.discountedGainsFromTrading();
       
       // let the user know what's going on
       String message=
       "Asset: mu="+mu+", sigma="+sigma+", q="+q+", r="+r+"\n"+
       "Strategy: average down, buy 100 more shares whenever the asset price\n"+
       "declines "+triggerPercentage+"% from the level of the last buy.\n"+
       "Initial investement: "+initialInvestment+"\n"+
       "Transaction costs: fixed="+fixed_trc+", proportional="+prop_trc+"\n\n"+
       "Computing histogram of gains from trading: "+nPaths+" paths, "+
       nBins+" bins.";
       
       System.out.println(message);
       
       // show the histogram 
       gainsFromTrading.displayHistogram(nPaths,nBins,true);
     

   
   } // end main

} // end histogram