returnshistogram.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]

*/



/*
 * ReturnsHistogram.java
 *
 * Created on March 26, 2002, 5:57 PM
 */

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>We compute (smoothed, normalized) histograms of the returns of the
 *  following two trading strategies:</p>
 *
 *<ul>
 * <li>average down</li>
 * <li>dollar cost averaging</li>
 * </ul>
 *
 * <p>defined in the package <code>TradingStrategies</code>. The average down 
 * strategy buys on each 7 percent price decline from the level of the last buy. 
 * Dollar cost averaging makes 5 buys.</p>
 *
 * <p>The volatility is fixed at sigma=0.4, fixed transaction costs at 10,
 * proportional transaction costs at 0.25. Initial number of shares bought
 * 100. Time horizon T is one year.
 * 10,000 paths of the underlying asset are simulated.</p>
 *
 * <p>The return on investment is computed as a return on the maximum invested
 * during the life of the strategy. The gains from trading are then viewed as 
 * interest paid on this maximum. Financing through "borrowing" from existing
 * funds, no interest paid on borrowings.</p>
 *
 * <p>Console program, no user interaction, all parameters fixed in source 
 * code.</p>
 *
 * @author  Michael J. Meyer
 *
 */
public class ReturnsHistogram {
   
   public static void main(String[] argv)
   throws java.io.FileNotFoundException, java.io.IOException
   {
      
      int  T=50,
           nPaths=40000,
           nBins=100,
           nSignChange=5,        // irrelevant but needed for asset constructor
           triggerPercentage=7,  // triggers average down trade
           nBuys=5;              // number of buys, dollar cost averaging
      
       
      double S_0=50,
             mu=0.3,
             sigma=0.4,
             q=0.0,
             r=0.05,
             dt=0.02,
             fixed_trc=10,    // fixed transaction costs
             prop_trc=0.25;   // proportional transaction costs
      
      String title, xAxisLabel, filename;
      int ftype=Graphics.Flag.EPS;
             
             
       ConstantVolatilityAsset
       asset=new ConstantVolatilityAsset(T,dt,nSignChange,S_0,r,q,mu,sigma);
       
       
       // AVERAGE DOWN
       TradingStrategy averageDown=new StrategyAverageDown
       (fixed_trc,prop_trc,asset,triggerPercentage);
       RandomVariable 
       returnsAverageDown=averageDown.returnsFromTrading();
       
       // let the user know what's going on
       String message=
       "Computing trading gains histogram, average down: "+nPaths+" paths";
       System.out.println(message);
       
       // show the histogram 
       title="Returns: averaging down";
       xAxisLabel="returns from trading";
       filename="returns_avgdwn.eps";
       returnsAverageDown.displayHistogram
       (nPaths,nBins,true,title,xAxisLabel,filename,ftype);
       System.out.println("Now writing Gri data file");
       filename="returns_avgdwn.dat";
       returnsAverageDown.basicHistogram(nPaths,nBins,0.001,true).
       writeGriDataFile(filename);
       
       
       // DOLLAR COST AVERAGE
       TradingStrategy dollarCostAverage=new StrategyDollarCostAverage
       (fixed_trc,prop_trc,asset,nBuys);
       RandomVariable 
       returnsDollarCostAverage=dollarCostAverage.returnsFromTrading();
       
       // let the user know what's going on
       message=
       "Computing trading gains histogram, dollar cost averaging: "
       +nPaths+" paths";
       System.out.println(message);
       
       // show the histogram
       title="Returns: dollar cost averaging";
       xAxisLabel="returns from trading";
       filename="returns_dcavg.eps";
       returnsDollarCostAverage.displayHistogram
       (nPaths,nBins,true,title,xAxisLabel,filename,ftype);
       System.out.println("Now writing Gri data file");
       filename="returns_dcavg.dat";
       returnsDollarCostAverage.basicHistogram(nPaths,nBins,0.001,true).
       writeGriDataFile(filename);
     

   
   } // end main

} // end histogram