syntheticdata.java

金融资产定价,随机过程,MONTE CARLO 模拟 JAVA 程序和文档资料

/*
 * SyntheticData.java
 *
 * Created on September 20, 2002, 12:21 AM
 */

package Libor.LiborProcess;

import Libor.LiborDerivatives.*;
import java.io.*;

/** <p>This class has static methods to produce a set of caplet and swaption 
 *  prices from the analytic pricing formulas in two separate files 
 *  <code>CapletFile</code> and <code>SwaptionFile</code> in the precise format 
 *  in which a {@link Calibrator} object expects these files for reading in the 
 *  data.</p>
 *
 * <p>Caplets with indices divisible by 3 are omitted to test the caplet
 * interpolation routine. Only swaptions where the underlying swap has a
 * period <code>q-p</code> of at least <code>5</code> accrual intervals are
 * written. Consequently the dimension <code>n</code> of the underlying
 * Libor process must be at least <code>5</code>.
 *
 * <p>The prices are derived from a Libor process based on an 
 * {@link EP_FactorLoading} and are intended for calibration of a
 * {@link CS_FactorLoading}.</p>
 *
 * @author Michael J. Meyer
 */
public class SyntheticData {
    
    
    String capletFile, swaptionFile;
    FileWriter capletWriter, swaptionWriter;


    /**
     * @param capletFile name of file containing caplet data.
     * @param swaptionFile name of file containing swaption data.     
     */
    public SyntheticData(String capletFile, String swaptionFile)
    {
        this.capletFile=capletFile;
        this.swaptionFile=swaptionFile;
        
        try{  capletWriter=new FileWriter(capletFile);
              swaptionWriter=new FileWriter(swaptionFile);  }
        catch(IOException e)
        {
            System.out.println
            ("SyntheticData(): output files could not be allocated\n"+
             "Aborting.");
        }
    } // end constructor
              
    
    
    
    /** <p>Allocates and writes the files of caplet and swaption prices into 
     *  the current directory.
     *  A Libor process based on an {@link EP_FactorLoading} and analytic 
     *  pricing formula are used. The files are written in the form in which
     *  a {@link Calibrator} object expects them to read in the data.</p>
     *
     * <p>All initial Libors are set to <code>L_j(0)=0.04</code> and at the
     *  money caplets and swaptions are written to the files.</p>
     *
     * @param n dimension of the underlying Libor process.
     */
    public void writeData(int n)
    throws IOException
    {
        FactorLoading fl=EP_FactorLoading.sample(n);
        // strike rate and initial Libors
        double kappa=0.04;
        // intial term structure of forward Libors L_j(0)
        double[] l=new double[n];
        for(int i=0;i<n;i++)l[i]=kappa;
        
        // the Libor process
        LiborProcess LP=new LiborProcess(l,fl);
        
        // write caplets, leave out every third one
        for(int i=0;i<n;i++){
            
            if(i%3!=0){
                
                Caplet cplt_i=new Caplet(LP,i,kappa);
                double price=LP.B0(n)*cplt_i.analyticForwardPrice(0);
                
                capletWriter.write(i+" ");
                capletWriter.write(kappa+" ");
                capletWriter.write(price+" ");
                capletWriter.write("\n");
            } 
        } // end caplets
        capletWriter.close();
        
        
        // write swaptions with q-p>4, p>=1 sine at the money swaptions which 
        // exercised immediately are worthless.
        for(int p=1;p<n-5;p++)
        for(int q=p+5;q<n;q++){    
        
            Swaption swpn_pq=new Swaption(LP,p,p,q,kappa);
            double price=LP.B0(n)*swpn_pq.analyticForwardPrice(0);
                
            swaptionWriter.write(p+" ");
            swaptionWriter.write(q+" ");
            swaptionWriter.write(kappa+" ");
            swaptionWriter.write(price+" ");
            // don't write a "\n" at the end, eof must follow 
            // the last number!
            if((p<n-6)||(q<n-1))swaptionWriter.write("\n");
            
        } // end caplets
        swaptionWriter.close();
        
        System.out.println
        ("Finished. Results are in the files "+capletFile+
         " and "+swaptionFile+".");
        
    } // end writeData
    
   
/*******************************************************************************
 *
 *                        TEST PROGRAM
 *
 ******************************************************************************/

       
     /** <p>Test program. 
      *  Writes a data set in dimension <code>n=15</code>.</p>
      */
     public static void main(String[] args)
     throws IOException
     {
          new SyntheticData("Caplets","Swaptions").writeData(15);
     }
                 
    
} // end synthetic data