-/** Banboo Version **/
+package JGFMonteCarlo;
/**************************************************************************
-* *
-* Java Grande Forum Benchmark Suite - Thread Version 1.0 *
-* *
-* produced by *
-* *
-* Java Grande Benchmarking Project *
-* *
-* at *
-* *
-* Edinburgh Parallel Computing Centre *
-* *
-* email: epcc-javagrande@epcc.ed.ac.uk *
-* *
-* Original version of this code by Hon Yau (hwyau@epcc.ed.ac.uk) *
-* *
-* This version copyright (c) The University of Edinburgh, 2001. *
-* All rights reserved. *
-* *
-**************************************************************************/
+ * *
+ * Java Grande Forum Benchmark Suite - Thread Version 1.0 *
+ * *
+ * produced by *
+ * *
+ * Java Grande Benchmarking Project *
+ * *
+ * at *
+ * *
+ * Edinburgh Parallel Computing Centre *
+ * *
+ * email: epcc-javagrande@epcc.ed.ac.uk *
+ * *
+ * Original version of this code by Hon Yau (hwyau@epcc.ed.ac.uk) *
+ * *
+ * This version copyright (c) The University of Edinburgh, 2001. *
+ * All rights reserved. *
+ * *
+ **************************************************************************/
/**
- * Class for representing the returns of a given security.
- *
- * <li>Define a window over which the mean drift and volatility
- * are calculated.</li>
- * <li>Hash table to reference {DATE}->{pathValue-index}.</li>
- * </ol>
- *
- * @author H W Yau
- * @version $Revision: 1.1 $ $Date: 2011/07/13 23:49:52 $
- */
+ * Class for representing the returns of a given security.
+ *
+ * <p>To do list:
+ * <ol>
+ * <li>Define a window over which the mean drift and volatility
+ * are calculated.</li>
+ * <li>Hash table to reference {DATE}->{pathValue-index}.</li>
+ * </ol>
+ *
+ * @author H W Yau
+ * @version $Revision: 1.2 $ $Date: 2011/07/14 21:28:29 $
+ */
public class ReturnPath extends PathId {
/**
- * Flag for indicating one of the return definitions, via:
- * u_i = \ln{\frac{S_i}{S_{i-1}}}
- * corresponding to the instantaneous compounded return.
- */
+ * Flag for indicating one of the return definitions, via:
+ * u_i = \ln{\frac{S_i}{S_{i-1}}}
+ * corresponding to the instantaneous compounded return.
+ */
public int COMPOUNDED;
/**
- * Flag for indicating one of the return definitions, via:
- * u_i = \frac{S_i - S_{i-1}}{S_i}
- * corresponding to the instantaneous non-compounded return.
- */
+ * Flag for indicating one of the return definitions, via:
+ * u_i = \frac{S_i - S_{i-1}}{S_i}
+ * corresponding to the instantaneous non-compounded return.
+ */
public int NONCOMPOUNDED;
//------------------------------------------------------------------------
// Instance variables.
//------------------------------------------------------------------------
/**
- * An instance variable, for storing the return values.
- */
+ * An instance variable, for storing the return values.
+ */
public float[] pathValue;
/**
- * The number of accepted values in the rate path.
- */
+ * The number of accepted values in the rate path.
+ */
public int nPathValue;
/**
- * Integer flag for indicating how the return was calculated.
- */
+ * Integer flag for indicating how the return was calculated.
+ */
public int returnDefinition;
/**
- * Value for the expected return rate.
- */
+ * Value for the expected return rate.
+ */
public float expectedReturnRate;
/**
- * Value for the volatility, calculated from the return data.
- */
+ * Value for the volatility, calculated from the return data.
+ */
public float volatility;
/**
- * Value for the volatility-squared, a more natural quantity
- * to use for many of the calculations.
- */
+ * Value for the volatility-squared, a more natural quantity
+ * to use for many of the calculations.
+ */
public float volatility2;
/**
- * Value for the mean of this return.
- */
+ * Value for the mean of this return.
+ */
public float mean;
/**
- * Value for the variance of this return.
- */
+ * Value for the variance of this return.
+ */
public float variance;
//------------------------------------------------------------------------
// Constructors.
//------------------------------------------------------------------------
/**
- * Default constructor.
- */
+ * Default constructor.
+ */
public ReturnPath() {
super();
-
+
this.COMPOUNDED = 1;
this.NONCOMPOUNDED = 2;
this.nPathValue=-1;
}
/**
- * Another constructor.
- *
- * @param pathValue for creating a return path with a precomputed path
- * value. Indexed from 1 to <code>nPathArray-1</code>.
- * @param nPathValue the number of accepted data points in the array.
- * @param returnDefinition to tell this class how the return path values
- * were computed.
- */
+ * Another constructor.
+ *
+ * @param pathValue for creating a return path with a precomputed path
+ * value. Indexed from 1 to <code>nPathArray-1</code>.
+ * @param nPathValue the number of accepted data points in the array.
+ * @param returnDefinition to tell this class how the return path values
+ * were computed.
+ */
public ReturnPath(float[] pathValue,
- int nPathValue,
- int returnDefinition) {
+ int nPathValue,
+ int returnDefinition) {
this.pathValue = pathValue;
this.nPathValue = nPathValue;
this.returnDefinition = returnDefinition;
-
+
this.COMPOUNDED = 1;
this.NONCOMPOUNDED = 2;
this.expectedReturnRate = (float)0.0;
// Generated by 'makeJavaAccessor.pl' script. HWY. 20th January 1999.
//------------------------------------------------------------------------
/**
- * 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.
- */
+ * 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 float[] get_pathValue(){
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>.
- */
+ * 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(float[] pathValue) {
this.pathValue = pathValue;
}
/**
- * Accessor method for private instance variable <code>nPathValue</code>.
- *
- * @return Value of instance variable <code>nPathValue</code>.
- * @exception DemoException thrown if instance variable <code>nPathValue</code> is undefined.
- */
+ * Accessor method for private instance variable <code>nPathValue</code>.
+ *
+ * @return Value of instance variable <code>nPathValue</code>.
+ * @exception DemoException thrown if instance variable <code>nPathValue</code> is undefined.
+ */
/*public int get_nPathValue() {
return(this.nPathValue);
}*/
/**
- * Set method for private instance variable <code>nPathValue</code>.
- *
- * @param nPathValue the value to set for the instance variable <code>nPathValue</code>.
- */
+ * Set method for private instance variable <code>nPathValue</code>.
+ *
+ * @param nPathValue the value to set for the instance variable <code>nPathValue</code>.
+ */
public void set_nPathValue(int nPathValue) {
this.nPathValue = nPathValue;
}
/**
- * 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.
- */
+ * 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.
+ */
/*public int get_returnDefinition() {
return(this.returnDefinition);
}*/
/**
- * Set method for private instance variable <code>returnDefinition</code>.
- *
- * @param returnDefinition the value to set for the instance variable <code>returnDefinition</code>.
- */
+ * Set method for private instance variable <code>returnDefinition</code>.
+ *
+ * @param returnDefinition the value to set for the instance variable <code>returnDefinition</code>.
+ */
public void set_returnDefinition(int returnDefinition) {
this.returnDefinition = returnDefinition;
}
/**
- * Accessor method for private instance variable <code>expectedReturnRate</code>.
- *
- * @return Value of instance variable <code>expectedReturnRate</code>.
- * @exception DemoException thrown if instance variable <code>expectedReturnRate</code> is undefined.
- */
+ * Accessor method for private instance variable <code>expectedReturnRate</code>.
+ *
+ * @return Value of instance variable <code>expectedReturnRate</code>.
+ * @exception DemoException thrown if instance variable <code>expectedReturnRate</code> is undefined.
+ */
/*public float get_expectedReturnRate() {
return(this.expectedReturnRate);
}*/
/**
- * Set method for private instance variable <code>expectedReturnRate</code>.
- *
- * @param expectedReturnRate the value to set for the instance variable <code>expectedReturnRate</code>.
- */
+ * Set method for private instance variable <code>expectedReturnRate</code>.
+ *
+ * @param expectedReturnRate the value to set for the instance variable <code>expectedReturnRate</code>.
+ */
public void set_expectedReturnRate(float expectedReturnRate) {
this.expectedReturnRate = expectedReturnRate;
}
/**
- * Accessor method for private instance variable <code>volatility</code>.
- *
- * @return Value of instance variable <code>volatility</code>.
- * @exception DemoException thrown if instance variable <code>volatility</code> is undefined.
- */
+ * Accessor method for private instance variable <code>volatility</code>.
+ *
+ * @return Value of instance variable <code>volatility</code>.
+ * @exception DemoException thrown if instance variable <code>volatility</code> is undefined.
+ */
/*public float get_volatility() {
return(this.volatility);
}*/
/**
- * Set method for private instance variable <code>volatility</code>.
- *
- * @param volatility the value to set for the instance variable <code>volatility</code>.
- */
+ * Set method for private instance variable <code>volatility</code>.
+ *
+ * @param volatility the value to set for the instance variable <code>volatility</code>.
+ */
public void set_volatility(float volatility) {
this.volatility = volatility;
}
/**
- * Accessor method for private instance variable <code>volatility2</code>.
- *
- * @return Value of instance variable <code>volatility2</code>.
- * @exception DemoException thrown if instance variable <code>volatility2</code> is undefined.
- */
+ * Accessor method for private instance variable <code>volatility2</code>.
+ *
+ * @return Value of instance variable <code>volatility2</code>.
+ * @exception DemoException thrown if instance variable <code>volatility2</code> is undefined.
+ */
/*public float get_volatility2() {
return(this.volatility2);
}*/
/**
- * Set method for private instance variable <code>volatility2</code>.
- *
- * @param volatility2 the value to set for the instance variable <code>volatility2</code>.
- */
+ * Set method for private instance variable <code>volatility2</code>.
+ *
+ * @param volatility2 the value to set for the instance variable <code>volatility2</code>.
+ */
public void set_volatility2(float volatility2) {
this.volatility2 = volatility2;
}
/**
- * Accessor method for private instance variable <code>mean</code>.
- *
- * @return Value of instance variable <code>mean</code>.
- * @exception DemoException thrown if instance variable <code>mean</code> is undefined.
- */
+ * Accessor method for private instance variable <code>mean</code>.
+ *
+ * @return Value of instance variable <code>mean</code>.
+ * @exception DemoException thrown if instance variable <code>mean</code> is undefined.
+ */
/*public float get_mean() {
return(this.mean);
}*/
/**
- * Set method for private instance variable <code>mean</code>.
- *
- * @param mean the value to set for the instance variable <code>mean</code>.
- */
+ * Set method for private instance variable <code>mean</code>.
+ *
+ * @param mean the value to set for the instance variable <code>mean</code>.
+ */
public void set_mean(float mean) {
this.mean = mean;
}
/**
- * Accessor method for private instance variable <code>variance</code>.
- *
- * @return Value of instance variable <code>variance</code>.
- * @exception DemoException thrown if instance variable <code>variance</code> is undefined.
- */
+ * Accessor method for private instance variable <code>variance</code>.
+ *
+ * @return Value of instance variable <code>variance</code>.
+ * @exception DemoException thrown if instance variable <code>variance</code> is undefined.
+ */
/*public float get_variance() {
return(this.variance);
}*/
/**
- * Set method for private instance variable <code>variance</code>.
- *
- * @param variance the value to set for the instance variable <code>variance</code>.
- */
+ * Set method for private instance variable <code>variance</code>.
+ *
+ * @param variance the value to set for the instance variable <code>variance</code>.
+ */
public void set_variance(float variance) {
this.variance = variance;
}
//------------------------------------------------------------------------
/**
- * Method to calculate the expected return rate from the return data,
- * using the relationship:
- * \mu = \frac{\bar{u}}{\Delta t} + \frac{\sigma^2}{2}
- *
- * @exception DemoException thrown one tries to obtain an undefined variable.
- */
+ * Method to calculate the expected return rate from the return data,
+ * using the relationship:
+ * \mu = \frac{\bar{u}}{\Delta t} + \frac{\sigma^2}{2}
+ *
+ * @exception DemoException thrown one tries to obtain an undefined variable.
+ */
public void computeExpectedReturnRate() {
this.expectedReturnRate = mean/(float)this.dTime + (float)0.5*volatility2;
}
/**
- * Method to calculate <code>volatility</code> and <code>volatility2</code>
- * from the return path data, using the relationship, based on the
- * precomputed <code>variance</code>.
- * \sigma^2 = s^2\Delta t
- *
- * @exception DemoException thrown if one of the quantites in the
- * computation are undefined.
- */
+ * Method to calculate <code>volatility</code> and <code>volatility2</code>
+ * from the return path data, using the relationship, based on the
+ * precomputed <code>variance</code>.
+ * \sigma^2 = s^2\Delta t
+ *
+ * @exception DemoException thrown if one of the quantites in the
+ * computation are undefined.
+ */
public void computeVolatility() {
this.volatility2 = this.variance / (float)this.dTime;
this.volatility = Math.sqrtf(volatility2);
}
/**
- * Method to calculate the mean of the return, for use by other
- * calculations.
- *
- * @exception DemoException thrown if <code>nPathValue</code> is
- * undefined.
- */
+ * Method to calculate the mean of the return, for use by other
+ * calculations.
+ *
+ * @exception DemoException thrown if <code>nPathValue</code> is
+ * undefined.
+ */
public void computeMean() {
- float sum = (float) 0.0;
- float[] tmpvalue = this.pathValue;
- int length = this.nPathValue;
- for( int i=1; i < length; i++ ) {
- sum += tmpvalue[i];
- }
- this.mean = sum / ((float)(length - (float)1.0));
+ float sum = (float) 0.0;
+ float[] tmpvalue = this.pathValue;
+ int length = this.nPathValue;
+ for( int i=1; i < length; i++ ) {
+ sum += tmpvalue[i];
+ }
+ this.mean = sum / ((float)(length - (float)1.0));
}
/**
- * Method to calculate the variance of the retrun, for use by other
- * calculations.
- *
- * @exception DemoException thrown if the <code>mean</code> or
- * <code>nPathValue</code> values are undefined.
- */
+ * Method to calculate the variance of the retrun, for use by other
+ * calculations.
+ *
+ * @exception DemoException thrown if the <code>mean</code> or
+ * <code>nPathValue</code> values are undefined.
+ */
public void computeVariance() {
- float sum = (float) 0.0;
- int length = this.nPathValue;
- float[] tmpvalue = this.pathValue;
- float tmpmean = this.mean;
+ float sum = (float) 0.0;
+ int length = this.nPathValue;
+ float[] tmpvalue = this.pathValue;
+ float tmpmean = this.mean;
for( int i=1; i < length; i++ ) {
- sum += (tmpvalue[i] - tmpmean)*(tmpvalue[i] - tmpmean);
+ sum += (tmpvalue[i] - tmpmean)*(tmpvalue[i] - tmpmean);
}
this.variance = sum / ((float)(length - (float)1.0));
}
/**
- * A single method for invoking all the necessary methods which
- * estimate the parameters.
- *
- * @exception DemoException thrown if there is a problem reading any
- * variables.
- */
+ * A single method for invoking all the necessary methods which
+ * estimate the parameters.
+ *
+ * @exception DemoException thrown if there is a problem reading any
+ * variables.
+ */
public void estimatePath() {
computeMean();
computeVariance();
computeVolatility();
}
/**
- * Dumps the contents of the fields, to standard-out, for debugging.
- */
+ * Dumps the contents of the fields, to standard-out, for debugging.
+ */
public void dbgDumpFields() {
super.dbgDumpFields();
-// dbgPrintln("nPathValue=" +this.nPathValue);
-// dbgPrintln("expectedReturnRate="+this.expectedReturnRate);
-// dbgPrintln("volatility=" +this.volatility);
-// dbgPrintln("volatility2=" +this.volatility2);
-// dbgPrintln("mean=" +this.mean);
-// dbgPrintln("variance=" +this.variance);
+ // dbgPrintln("nPathValue=" +this.nPathValue);
+ // dbgPrintln("expectedReturnRate="+this.expectedReturnRate);
+ // dbgPrintln("volatility=" +this.volatility);
+ // dbgPrintln("volatility2=" +this.volatility2);
+ // dbgPrintln("mean=" +this.mean);
+ // dbgPrintln("variance=" +this.variance);
}
}
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