montecarlopath.java

MPI for java for Distributed Programming

/**************************************************************************
*                                                                         *
*             Java Grande Forum Benchmark Suite - MPJ Version 1.0         *
*                                                                         *
*                            produced by                                  *
*                                                                         *
*                  Java Grande Benchmarking Project                       *
*                                                                         *
*                                at                                       *
*                                                                         *
*                Edinburgh Parallel Computing Centre                      *
*                                                                         *
*                email: [e-mail]                     *
*                                                                         *
*      Original version of this code by Hon Yau ([e-mail])     *
*                                                                         *
*      This version copyright (c) The University of Edinburgh, 2001.      *
*                         All rights reserved.                            *
*                                                                         *
**************************************************************************/
package jgf_mpj_benchmarks.section3.montecarlo;



//package montecarlo;

import java.util.*;
import java.io.*;

/**
  * Class representing the paths generated by the Monte Carlo engine.
  *
  * <p>To do list:
  * <ol>
  *   <li><code>double[] pathDate</code> is not simulated.</li>
  * </ol>
  *
  * @author H W Yau
  * @version $Revision: 1.1 $ $Date: 2005/04/29 17:43:42 $
  */
public class MonteCarloPath extends PathId {

  //------------------------------------------------------------------------
  // Class variables.
  //------------------------------------------------------------------------
  /**
    * Class variable for determining whether to switch on debug output or
    * not.
    */
  public static boolean DEBUG=true;
  /**
    * Class variable for defining the debug message prompt.
    */
  protected static String prompt="MonteCarloPath> ";
  /**
    * Class variable for determining which field in the stock data should be
    * used.  This is currently set to point to the 'closing price', as
    * defined in class RatePath.
    */
  public static int DATUMFIELD=RatePath.DATUMFIELD;

  //------------------------------------------------------------------------
  // Instance variables.
  //------------------------------------------------------------------------
  /**
    * Random fluctuations generated as a series of random numbers with
    * given distribution.
    */
  private double[] fluctuations;
  /**
    * The path values from which the random fluctuations are used to update.
    */
  private double[] pathValue;
  /**
    * Integer flag for determining how the return was calculated, when
    * used to calculate the mean drift and volatility parameters.
    */
  private int returnDefinition=0;
  /**
    * Value for the mean drift, for use in the generation of the random path.
    */
  private double expectedReturnRate=Double.NaN;
  /**
    * Value for the volatility, for use in the generation of the random path.
    */
  private double volatility=Double.NaN;
  /**
    * Number of time steps for which the simulation should act over.
    */
  private int nTimeSteps=0;
  /**
    * The starting value for of the security.
    */
  private double pathStartValue=Double.NaN;
  //------------------------------------------------------------------------
  // Constructors.
  //------------------------------------------------------------------------
  /**
    * Default constructor.  Needed by the HPT library to start create
    * new instances of this class.  The instance variables for this should
    * then be initialised with the <code>setInitAllTasks()</code> method.
    */
  public MonteCarloPath() {
    super();
    set_prompt(prompt);
    set_DEBUG(DEBUG);
  }

  /**
    * Constructor, using the <code>ReturnPath</code> object to initialise
    * the necessary instance variables.
    *
    * @param returnPath Object used to define the instance variables in
    *                   this object.
    * @param nTimeSteps The number of time steps for which to generate the
    *                   random path.
    * @exception DemoException Thrown if there is a problem initialising the
    *                          object's instance variables.
    */
  public MonteCarloPath(ReturnPath returnPath, int nTimeSteps) throws DemoException {
    /**
      * These instance variables are members of PathId class.
      */
    copyInstanceVariables(returnPath);
    this.nTimeSteps = nTimeSteps;
    this.pathValue = new double[nTimeSteps];
    this.fluctuations = new double[nTimeSteps];
    /**
      * Whether to debug, and how.
      */
    set_prompt(prompt);
    set_DEBUG(DEBUG);
  }
  /**
    * Constructor, where the <code>PathId</code> objects is used to ease
    * the number of instance variables to pass in.
    *
    * @param pathId Object used to define the identity of this Path.
    * @param returnDefinition How the statistic variables were defined,
    *                         according to the definitions in
    *                         <code>ReturnPath</code>'s two class variables
    *                         <code>COMPOUNDED</code> and
    *                         <code>NONCOMPOUNDED</code>.
    * @param expectedReturnRate The measured expected return rate for which to generate.
    * @param volatility The measured volatility for which to generate.
    * @param nTimeSteps The number of time steps for which to generate.
    * @exception DemoException Thrown if there is a problem initialising the
    *                          object's instance variables.
    */
  public MonteCarloPath(PathId pathId, int returnDefinition, double expectedReturnRate, 
  double volatility, int nTimeSteps) throws DemoException {
    /**
      * These instance variables are members of PathId class.
      * Invoking with this particular signature should point to the
      * definition in the PathId class.
      */
    copyInstanceVariables(pathId);
    this.returnDefinition   = returnDefinition;
    this.expectedReturnRate = expectedReturnRate;
    this.volatility         = volatility;
    this.nTimeSteps         = nTimeSteps;
    this.pathValue          = new double[nTimeSteps];
    this.fluctuations       = new double[nTimeSteps];
    /**
      * Whether to debug, and how.
      */
    set_prompt(prompt);
    set_DEBUG(DEBUG);
  }
  /**
    * Constructor, for when the user wishes to define each of the instance
    * variables individually.
    *
    * @param name The name of the security which this Monte Carlo path
    *             should represent.
    * @param startDate The date when the path starts, in 'YYYYMMDD' format.
    * @param endDate The date when the path ends, in 'YYYYMMDD' format.
    * @param dTime The interval in the data between successive data points
    *              in the generated path.
    * @param returnDefinition How the statistic variables were defined,
    *                         according to the definitions in
    *                         <code>ReturnPath</code>'s two class variables
    *                         <code>COMPOUNDED</code> and
    *                         <code>NONCOMPOUNDED</code>.
    * @param expectedReturnRate The measured mean drift for which to generate.
    * @param volatility The measured volatility for which to generate.
    * @param nTimeSteps The number of time steps for which to generate.
    */
  public MonteCarloPath(String name, int startDate, int endDate, double dTime, 
  int returnDefinition, double expectedReturnRate, double volatility, 
  int nTimeSteps) {
    /**
      * These instance variables are members of PathId class.
      */
    set_name(name);
    set_startDate(startDate);
    set_endDate(endDate);
    set_dTime(dTime);
    this.returnDefinition   = returnDefinition;
    this.expectedReturnRate = expectedReturnRate;
    this.volatility         = volatility;
    this.nTimeSteps         = nTimeSteps;
    this.pathValue          = new double[nTimeSteps];
    this.fluctuations       = new double[nTimeSteps];
    /**
      * Whether to debug, and how.
      */
    set_prompt(prompt);
    set_DEBUG(DEBUG);
  }

  //------------------------------------------------------------------------
  // Methods.
  //------------------------------------------------------------------------
  //------------------------------------------------------------------------
  // Accessor methods for class MonteCarloPath.
  // Generated by 'makeJavaAccessor.pl' script.  HWY.  20th January 1999.
  //------------------------------------------------------------------------
  /**
    * Accessor method for private instance variable <code>fluctuations</code>.
    *
    * @return Value of instance variable <code>fluctuations</code>.
    * @exception DemoException thrown if instance variable <code>fluctuations</code> 
    * is undefined.
    */
  public double[] get_fluctuations() throws DemoException {
    if( this.fluctuations == null )
      throw new DemoException("Variable fluctuations is undefined!");
    return(this.fluctuations);
  }
  /**
    * Set method for private instance variable <code>fluctuations</code>.
    *
    * @param fluctuations the value to set for the instance variable 
    * <code>fluctuations</code>.
    */
  public void set_fluctuations(double[] fluctuations) {
    this.fluctuations = fluctuations;
  }
  /**
    * Accessor method for private instance variable <code>pathValue</code>.
    *
    * @return Value of instance variable <code>pathValue</code>.
    * @exception DemoException thrown if instance variable <code>pathValue</code> 
    * is undefined.
    */
  public double[] get_pathValue() throws DemoException {
    if( this.pathValue == null )
      throw new DemoException("Variable pathValue is undefined!");
    return(this.pathValue);
  }
  /**
    * Set method for private instance variable <code>pathValue</code>.
    *
    * @param pathValue the value to set for the instance variable <code>pathValue</code>.
    */
  public void set_pathValue(double[] pathValue) {
    this.pathValue = pathValue;
  }
  /**
    * Accessor method for private instance variable <code>returnDefinition</code>.
    *
    * @return Value of instance variable <code>returnDefinition</code>.
    * @exception DemoException thrown if instance variable <code>returnDefinition</code> 
    * is undefined.