caplettest.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
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but WITHOUT ANY WARRANTY; without even the implied warranty of
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Copyright (C) Michael J. Meyer

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/*
 * CapletTest.java
 *
 * Created on September 18, 2002, 4:32 PM
 */

package Libor.LiborDerivatives;

import Libor.LiborProcess.*;
import junit.framework.*;
import Statistics.FinMath;

/** <p>A <code>jUnit</code> test suite for the class <code>Caplet</code>.
 *  No <code>jUnit</code> assertions used, instead results printed for
 *  inspection.</p>
 *
 *  </p>Allocates a Libor process of dimension 16 and then calculates the prices 
 *  of all caplets (strike 0.05, Libor L_j(0)=0.04) from samples of 20,000
 *  paths. Analytic and Monte Carlo prices with and without control variates 
 *  are printed and compared.</p>
 *
 * <p>Results indicate that the necessary forward transporting from very early
 * dates adds much variability. Performance of the control variate is 
 * unconvincing despite high corrleation.</p>
 *
 * @author  Michael J. Meyer
 */
public class CapletTest extends TestCase {
    
    // See classes CS_FactorLoding and Liborprocess
    // The test fixture is static final since none of the tests changes
    // anything. Consequently setUp() and tearDown() can be empty.
    static final int 
         n=16;
    static final double 
         delta=0.25,
         A=1.8,
         D=2,
         alpha=1.8,
         beta=0.1,
         rho00=0.4,
         kappa=0.05;
    
    static final double[]
         c=new double[n],
         Tc=new double[n+1],
         l=new double[n];
    
    CS_FactorLoading factorLoading;
    LiborProcess LP;
  
    
    
/*******************************************************************************    
 *
 *        INTIALIZE TEST FIXTURE
 *
 * ****************************************************************************/
    
    /** Do nothing on <code>setUp</code> since the test fixture is static final. 
     */
    protected void setUp(){ }

    
    /** Do nothing on <code>tearDown</code> since none of the tests 
     *  alters the basic data.
     */
    protected void tearDown(){ }
        

/*******************************************************************************    
 *
 *                        CONSTRUCTOR, TEST SUITE
 *
 * ****************************************************************************/    
    
    /** Constructor.
     */
    public CapletTest(String testName) 
    { 
        super(testName);
        
        // tenor structure and initial Libors
        for(int i=0;i<n+1;i++)Tc[i]=i*delta;                  // T_i
        for(int i=0;i<n;i++){ l[i]=0.04;                      // L_i(0)
                              c[i]=0.2*(1+((double)i)/n); }   // c_i
        
       // factor loading
        factorLoading=new CS_FactorLoading(n,A,D,alpha,beta,rho00,c,Tc);
        LP=new LiborProcess(l,factorLoading);

    } // end constructor
    

    /** Returns the test suite object which is then <code>run</code>
     *  in one of the test suite runners juint.textui.TestRunner or
     *  junit.swingui.TestRunner.
     */
    public static Test capletTestSuite()
    {
        return new TestSuite(CapletTest.class);
    }

/*******************************************************************************    
 *
 *                               THE TESTS   
 *
 ******************************************************************************/ 
   
   
   
    /** Test the computation of caplet implied vols.
    */
   public void testCapletForwardPrice()
   {
       int nPath=20000;

       System.out.println
       ("\nTESTING CAPLET FORWARD PRICES:\n"
        +(n-1)+" caplets, "+nPath+" paths.\n");
       
       for(int i=1;i<n;i++){
           
           double vol, cvcorr, 
                  aprice, mcprice, cvmcprice, mcerror, cvmcerror;
           
           Caplet cplt_i=new Caplet(LP,i,kappa);
           //Libor volatility
           vol=LP.vol(i);
           // prices
           cvmcprice=cplt_i.controlledMonteCarloForwardPrice(0,nPath);
           aprice=cplt_i.analyticForwardPrice(0);
           mcprice=cplt_i.monteCarloForwardPrice(0,nPath);
           // control variate correlation
           cvcorr=cplt_i.controlledForwardPayoff().
                         correlationWithControlVariate(0,nPath/10);
           
         
           //errors in percent of true price
           mcerror=(aprice-mcprice)/aprice;
           cvmcerror=(aprice-cvmcprice)/aprice;
           // error in %, rounded to 4 decimals
           mcerror=100*FinMath.round(mcerror,4);
           cvmcerror=100*FinMath.round(cvmcerror,4);
           // more rounding
           cvcorr=FinMath.round(cvcorr,4);
           vol=FinMath.round(vol,3);
           aprice=FinMath.round(aprice,8);
           
 
           System.out.println("caplet "+i+": ");
           System.out.println("Libor volatility: "+vol);
           System.out.println("Control variate correlation: "+cvcorr);
           System.out.println("analytic price: "+aprice);
           System.out.println
           ("Monte Carlo price, error: "+mcerror+"%");
           System.out.println
           ("Controlled Monte Carlo price, error: "+cvmcerror+"%");
           //assertEquals(CLBR.capletSigma(i),cImpliedSigma,0.001);
           System.out.println("OK.\n");
       }
    } // end testCapletImpliedSigma
   

                    
/*******************************************************************************    
 *
 *                               THE TEST RUN   
 *
 ******************************************************************************/ 
   
   /** run the tests in a Swing GUI
    */
   public static void main(String[] args)
   {
       // run tests in text user interface
       junit.textui.TestRunner.run(capletTestSuite());
   }

} // end CapletTest



// junit.swingui.TestRunner.run() dos not work like this.
// no documentation included.