Java tutorial
/**************************************************** Statistics Online Computational Resource (SOCR) http://www.StatisticsResource.org All SOCR programs, materials, tools and resources are developed by and freely disseminated to the entire community. Users may revise, extend, redistribute, modify under the terms of the Lesser GNU General Public License as published by the Open Source Initiative http://opensource.org/licenses/. All efforts should be made to develop and distribute factually correct, useful, portable and extensible resource all available in all digital formats for free over the Internet. SOCR resources are distributed in the hope that they will be useful, but without any warranty; without any explicit, implicit or implied warranty for merchantability or fitness for a particular purpose. See the GNU Lesser General Public License for more details see http://opensource.org/licenses/lgpl-license.php. http://www.SOCR.ucla.edu http://wiki.stat.ucla.edu/socr It s Online, Therefore, It Exists! ****************************************************/ package edu.ucla.stat.SOCR.applications.demo; import edu.ucla.stat.SOCR.applications.Application; import edu.ucla.stat.SOCR.core.IExperiment; import edu.ucla.stat.SOCR.distributions.BinomialDistribution; import edu.ucla.stat.SOCR.distributions.NormalDistribution; import org.jfree.chart.ChartFactory; import org.jfree.chart.ChartPanel; import org.jfree.chart.JFreeChart; import org.jfree.chart.axis.NumberAxis; import org.jfree.chart.plot.PiePlot; import org.jfree.chart.plot.PlotOrientation; import org.jfree.chart.plot.XYPlot; import org.jfree.chart.renderer.xy.XYLineAndShapeRenderer; import org.jfree.data.general.PieDataset; import org.jfree.data.xy.XYSeries; import org.jfree.data.xy.XYSeriesCollection; import javax.swing.*; import java.awt.*; import java.awt.event.ActionEvent; import java.awt.event.ActionListener; import java.awt.event.MouseEvent; import java.text.DecimalFormat; import java.util.Observable; import java.util.Observer; /** * The triangle experiment is to break a stick at random and see if the pieces * form a triangle. If so, is the triangle acute or obtuse? */ public class BlackScholesApplication extends Application implements Observer, IExperiment, ActionListener { private static final float LEFT_ALIGNMENT = 0; protected final int CHART_SIZE_X = 500; /** * @uml.property name="cHART_SIZE_Y" */ protected final int CHART_SIZE_Y = 500; protected ChartPanel chartPanel; protected JSplitPane upContainer; // statistical input variables protected double[] input = new double[10]; protected JTextField[] in = new JTextField[10]; private DecimalFormat formatter = new DecimalFormat("#0.0####"); private DecimalFormat tooltip_formatter = new DecimalFormat("#0.0#"); static final int Range = 100; static final int step = 1; String choice; int numInput; String title, xAxis, yAxis; //JComboBox gChoices; // protected JTextField inMu, inDelta, inDt, inS0, inN; // double Mu, Delta, Dt, S0, N; String tooltip; JToolBar toolBar; JPanel leftPanel = new JPanel(); Box inPanel = Box.createVerticalBox(); Box inputPanel = Box.createVerticalBox(); XYSeries s_serie, p_serie; StockOptionInfo info; /** * */ public BlackScholesApplication() { setName("BlackScholesApplication"); initInfo(); initInputPanel(); init(); } public void init() { updateGraph(); s_serie = new XYSeries("S", false); upContainer = new JSplitPane(JSplitPane.HORIZONTAL_SPLIT, new JScrollPane(leftPanel), new JScrollPane(chartPanel)); this.getMainPanel().removeAll(); this.getMainPanel().add(new JScrollPane(upContainer), BorderLayout.CENTER); this.getMainPanel().validate(); } void initInfo() { //System.out.println("heren umberOfStrategy = "+numberOfStrategy); info = new StockOptionInfo(); info.callName = "A1"; info.name = "Binomial convergence to Black-Scholes"; info.inputCount = 5; info.inputNames = new String[info.inputCount]; info.inputLongNames = new String[info.inputCount]; info.inputNames[0] = "S0"; info.inputNames[1] = "E"; info.inputNames[2] = "sigma"; info.inputNames[3] = "r"; info.inputNames[4] = "t"; info.inputLongNames[0] = "Stock price at time t=0"; info.inputLongNames[1] = "Exercise price"; info.inputLongNames[2] = "Annual standard deviation (volatility)"; info.inputLongNames[3] = "risk-free interest rate"; info.inputLongNames[4] = "Time to expiration (days)"; info.inputDefault = new double[info.inputCount]; info.inputValue = new double[info.inputCount]; info.inputDefault[0] = 30; info.inputDefault[1] = 29; info.inputDefault[2] = 0.3; info.inputDefault[3] = 0.05; info.inputDefault[4] = 40; info.outputCount = 2; info.outputName = new String[info.outputCount]; info.outputName[0] = "Black Scholes"; info.outputName[1] = "Binomial"; info.note = "\n Note: The binomial option pricing is computed for each step up to a maxinum of " + Range + " steps."; } void initGraph() { JFreeChart chart = createEmptyChart(null); //create a empty graph first chartPanel = new ChartPanel(chart, false); chartPanel.setPreferredSize(new Dimension(CHART_SIZE_X, CHART_SIZE_Y)); } void updateGraph() { //System.out.println("UpdateGraph get called") calculate(); XYSeriesCollection ds = createDataset(); JFreeChart chart = ChartFactory.createXYLineChart(title, // chart title xAxis, // x axis label yAxis, // y axis label ds, // data PlotOrientation.VERTICAL, true, // include legend true, // tooltips false // urls ); chart.setBackgroundPaint(Color.white); XYPlot subplot1 = (XYPlot) chart.getPlot(); XYLineAndShapeRenderer renderer1 = (XYLineAndShapeRenderer) subplot1.getRenderer(); renderer1.setSeriesPaint(0, Color.red); renderer1.setSeriesPaint(1, Color.blue); Shape shape = renderer1.getBaseShape(); renderer1.setSeriesShape(2, shape); renderer1.setSeriesShape(3, shape); renderer1.setBaseLinesVisible(true); renderer1.setBaseShapesVisible(true); renderer1.setBaseShapesFilled(true); renderer1.setSeriesShapesVisible(0, false); NumberAxis rangeAxis = (NumberAxis) subplot1.getRangeAxis(); rangeAxis.setAutoRangeIncludesZero(false); chartPanel = new ChartPanel(chart, false); chartPanel.setPreferredSize(new Dimension(CHART_SIZE_X, CHART_SIZE_Y)); upContainer = new JSplitPane(JSplitPane.HORIZONTAL_SPLIT, new JScrollPane(leftPanel), new JScrollPane(chartPanel)); this.getMainPanel().removeAll(); this.getMainPanel().add(new JScrollPane(upContainer), BorderLayout.CENTER); this.getMainPanel().validate(); // getRecordTable().setText("Any Explaination goes here."); // } protected XYSeriesCollection createDataset() { //System.out.println("stepS0="+stepS0); //System.out.println("createDataset start"); /* s_serie = new XYSeries("S", false); for (int i=0; i<numSs; i++){ s_serie.add(i, (S[i])); }*/ XYSeriesCollection ds = new XYSeriesCollection(); ds.addSeries(p_serie); ds.addSeries(s_serie); return ds; } // this is only for creat a empty chart protected JFreeChart createEmptyChart(PieDataset dataset) { JFreeChart chart = ChartFactory.createPieChart("SOCR Chart", // chart title null, // data true, // include legend true, false); PiePlot plot = (PiePlot) chart.getPlot(); plot.setLabelFont(new Font("SansSerif", Font.PLAIN, 12)); plot.setNoDataMessage("No data available"); plot.setCircular(false); plot.setLabelGap(0.02); return chart; } private void initInputPanel() { //System.out.println("initInputPanel start"); inPanel.removeAll(); xAxis = "Number of Steps"; yAxis = "Call Price"; title = info.name; numInput = info.inputCount; for (int i = 0; i < numInput; i++) { JPanel jp = new JPanel(); in[i] = new JTextField(14); jp.add(new JLabel(info.inputNames[i])); input[i] = (info.inputDefault[i]); in[i].setText(String.valueOf(input[i])); jp.add(in[i]); inputPanel.add(jp); in[i].addActionListener(this); in[i].setActionCommand("Input" + (i + 1)); } inPanel.validate(); String text = ""; for (int i = 0; i < numInput; i++) { text += " " + info.inputNames[i] + ": " + info.inputLongNames[i] + "\n"; } if (info.note != null) text += info.note; getRecordTable().setText(text); leftPanel.add(inputPanel, BorderLayout.NORTH); } /** * This method is the default update method and defines how the display is * updated. This method should be overridden. */ public void update(Observable arg0, Object arg1) { } public void calculate() { //System.out.println("calculate start"); double S0 = input[0]; double E = input[1]; double sigma = input[2]; double r = input[3]; double day = input[4]; double t = day / 365; // int n = (int)input[5]; //System.out.println("calculate start: S0="+S0+" E="+E+" sigma="+sigma+" r="+r+" day="+day+" n="+n); NormalDistribution nd = new NormalDistribution(0, 1); //r=Math.log(1+r); double d1 = (Math.log(S0 / E) + (r + .5 * sigma * sigma) * t) / (sigma * Math.sqrt(t)); double d2 = d1 - sigma * Math.sqrt(t); double c = S0 * nd.getCDF(d1) - (E / Math.pow(Math.E, r * t)) * nd.getCDF(d2); p_serie = new XYSeries(info.outputName[0], false); p_serie.add(0, c); p_serie.add(Range, c); double u, d, rp, p1, p2, k, CC, dt; BinomialDistribution b1, b2; s_serie = new XYSeries(info.outputName[1], false); //working /* for (int i=step; i<=Range; i+=step){ u = Math.pow(Math.E,sigma*Math.sqrt(t/i)); d = 1/u; rp = Math.pow(1+r, t/i)-1; // rp = Math.log(1+r)/(i/t); p1 = (1+rp-d)/(u-d) ; p2 = (p1*u)/(1+rp); k = Math.round(0.5+(Math.log(E/(S0*Math.pow(d, i))))/(Math.log(u/d))); //System.out.println("i="+i+" u="+u+" d="+d+" rp="+rp+" p1="+p1+" p2="+p2+" k ="+k); b1 = new BinomialDistribution(i,p1); b2 = new BinomialDistribution(i,p2); //System.out.println(b1.getCDF(k-1)); //System.out.println(b2.getCDF(k-1)); CC = S0*(1-b2.getCDF(k-1))-(E/Math.pow(1+rp,i))*(1-b1.getCDF(k-1)); s_serie.add(i,CC); //System.out.println(CC); }*/ // better for (int i = step; i <= Range; i += step) { dt = t / i; u = Math.pow(Math.E, sigma * Math.sqrt(t / i)); d = 1 / u; rp = Math.pow(Math.E, r * dt); // rp = Math.log(1+r)/(i/t); p1 = (rp - d) / (u - d); p2 = (p1 * u) / (rp); k = Math.round(0.5 + (Math.log(E / (S0 * Math.pow(d, i)))) / (Math.log(u / d))); //System.out.println("i="+i+" u="+u+" d="+d+" rp="+rp+" p1="+p1+" p2="+p2+" k ="+k); b1 = new BinomialDistribution(i, p1); b2 = new BinomialDistribution(i, p2); //System.out.println(b1.getCDF(k-1)); //System.out.println(b2.getCDF(k-1)); CC = S0 * (1 - b2.getCDF(k - 1)) - (E * Math.pow(Math.E, -r * t)) * (1 - b1.getCDF(k - 1)); s_serie.add(i, CC); //System.out.println(CC); } /* numSs= (int)(1/N); S = new double[numSs]; S[0]=S0; //System.out.println("numSs="+numSs); double sq = Math.sqrt(Delta); double e; double ds; for (int i=0; i<numSs; i++){ e = nd.simulate(); ds = Mu*S0*Dt+Delta*S0*sq*e; if (i!=0) S[i]= S[i-1]+ds; } */ } public void actionPerformed(ActionEvent evt) { // System.out.println("action start"); for (int i = 0; i < numInput; i++) if (evt.getActionCommand().equals("Input" + (i + 1))) { input[i] = Double.parseDouble(in[i].getText()); // System.out.println("getting input["+i+"]="+input[i]); updateGraph(); chartPanel.validate(); } /* if (evt.getActionCommand().equals("Mu")) { Mu = Double.parseDouble(inMu.getText()); }else if (evt.getActionCommand().equals("Delta")) { Delta = Double.parseDouble(inDelta.getText()); }else if (evt.getActionCommand().equals("Dt")) { Dt = Double.parseDouble(inDt.getText()); }else if (evt.getActionCommand().equals("S0")) { S0 = Double.parseDouble(inS0.getText()); }else if (evt.getActionCommand().equals("N")) { N = Double.parseDouble(inN.getText()); } updateGraph(); chartPanel.validate(); */ this.getMainPanel().validate(); } public void mouseClicked(MouseEvent event) { } public String getOnlineDescription() { return new String("http://socr.stat.ucla.edu/"); }; // Needs to be overwritten by objects that extend this class public String getAppletInfo() { return new String("SOCR Experiments: http://www.socr.ucla.edu \n"); } public Container getDisplayPane() { JSplitPane container = new JSplitPane(JSplitPane.VERTICAL_SPLIT, getMainPanel(), getTextPanel()); return container; } public void update() { updateGraph(); }; public void initialize() { // TODO Auto-generated method stub } }