calibratortest.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

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

package Libor.LiborProcess;

import Libor.LiborDerivatives.*;
import junit.framework.*;
import Exceptions.*;

/** <p>A <code>jUnit</code> test suite for the class <code>Calibrator</code>.
 *  Sets up a Libor process of dimension 15 and then computes caplet implied
 *  volatilities from both analytic prices and Monte Carlo prices and checks
 *  if they are equal to the known Libor volatilities. This is done for every
 *  caplet.<p>
 *
 * @author  Michael J. Meyer
 */
public class CalibratorTest extends TestCase {
    
    // See classes CS_FactorLoding and Calibrator
    // The test fixture is static final since none of the tests changes
    // anything. Consequently setUp() and tearDown() can be empty.
    static final int 
         n=15;
    static final double 
         delta=0.25,
         A=1.8,
         D=2,
         alpha=1.8,
         beta=0.1,
         rho00=0.4;
    
    static final double[]
         c=new double[n],
         Tc=new double[n+1],
         l=new double[n];
    
    CS_FactorLoading factorLoading;
    LiborProcess LP;
    Calibrator CLBR;
    
    
/*******************************************************************************    
 *
 *        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 CalibratorTest(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);
        CLBR=new Calibrator(n,l,c,Tc);
        CLBR.setFactorLoading(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 calibratorTestSuite()
    {
        return new TestSuite(CalibratorTest.class);
    }

/*******************************************************************************    
 *
 *                               THE TESTS   
 *
 ******************************************************************************/ 
   
   /** Test the caplet implied volatilities computed from analytic
    *  caplet prices.
    */
   public void testCapletImpliedSigma()
   throws NoSolutionException
   {
       System.out.println
       ("\nTESTING CAPLET IMPLIED VOLATILITY FROM ANALYTIC PRICES:\n");
       
       for(int i=1;i<n;i++){
           
           double kappa,c,cImpliedSigma;
           
           kappa=0.05;
           c=CLBR.capletPrice(i,kappa);
           cImpliedSigma=CLBR.capletImpliedSigma(i,kappa,c);
 
           System.out.print("caplet "+i+": ");
           assertEquals(CLBR.capletSigma(i),cImpliedSigma,0.001);
           System.out.print("OK.\n");
       }
    } // end testCapletImpliedSigma
   
   
   /** Test the caplet implied volatilities computed from Monte Carlo
    *  caplet prices. Warning, this can fail due to imprecision in the Monte
    *  Carlo price stemming from insufficient sample size. Required accuracy
    *  set at +-5%.
    */
   public void testMonteCarloCapletImpliedSigma()
   throws NoSolutionException
   {
       System.out.println
       ("\nTESTING CAPLET IMPLIED VOLATILITY FROM MONTE CARLO PRICES:\n");
       
       for(int i=1;i<n;i++){
           
           double kappa=0.04,c,c0,c1,cImpliedSigma;
           int nPath=20000;
           
           Caplet cplt_i=new Caplet(LP,i,kappa);
           c=LP.B0(n)*cplt_i.controlledMonteCarloForwardPrice(0,nPath);
           cImpliedSigma=CLBR.capletImpliedSigma(i,kappa,c);
 
           System.out.print("caplet "+i+": ");
           assertEquals(CLBR.capletSigma(i),cImpliedSigma,0.05);
           System.out.print("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(calibratorTestSuite());
   }

} // end CalibratorTest



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