--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+ * *
+ * 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. *
+ * *
+ **************************************************************************/
+
+
+/**
+ * Code, a test-harness for invoking and driving the Applications
+ * Demonstrator classes.
+ *
+ * <p>To do:
+ * <ol>
+ * <li>Very long delay prior to connecting to the server.</li>
+ * <li>Some text output seem to struggle to get out, without
+ * the user tapping ENTER on the keyboard!</li>
+ * </ol>
+ *
+ * @author H W Yau
+ * @version $Revision: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+public class AppDemo {
+ flag merge;
+ flag validate;
+
+ //------------------------------------------------------------------------
+ // Class variables.
+ //------------------------------------------------------------------------
+
+ public float JGFavgExpectedReturnRateMC;
+
+ //public int Serial;
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * The number of time-steps which the Monte Carlo simulation should
+ * run for.
+ */
+ public int nTimeStepsMC;
+ /**
+ * The number of Monte Carlo simulations to run.
+ */
+ public int nRunsMC;
+
+ public int group;
+ /**
+ * The default duration between time-steps, in units of a year.
+ */
+ public float dTime;
+ /**
+ * Flag to determine whether initialisation has already taken place.
+ */
+ public boolean initialised;
+ /**
+ * Variable to determine which deployment scenario to run.
+ */
+ public int runMode;
+
+ //public Vector results;
+
+ //public PriceStock psMC;
+ public float pathStartValue;
+ public float avgExpectedReturnRateMC;
+ public float avgVolatilityMC;
+
+ public int counter;
+
+ public RatePath avgMCrate;
+
+ //public ToInitAllTasks initAllTasks;
+ public String name;
+ public int startDate;
+ public int endDate;
+ public int returnDefinition;
+ public float expectedReturnRate;
+ public float volatility;
+
+ public AppDemo(int nTimeStepsMC, int nRunsMC, int group) {
+ this.JGFavgExpectedReturnRateMC = (float)0.0;
+ //this.Serial = 1;
+
+ this.nTimeStepsMC = nTimeStepsMC;
+ this.nRunsMC = nRunsMC;
+ this.group = group;
+ this.initialised = false;
+
+ this.dTime = (float)1.0/(float)365.0;
+ this.pathStartValue = (float)100.0;
+ this.avgExpectedReturnRateMC = (float)0.0;
+ this.avgVolatilityMC = (float)0.0;
+
+ this.counter = 0;
+
+ this.avgMCrate = new RatePath(this.nTimeStepsMC,
+ "MC",
+ 19990109,
+ 19991231,
+ this.dTime);
+
+ //this.initAllTasks = null;
+ }
+ /**
+ * Single point of contact for running this increasingly bloated
+ * class. Other run modes can later be defined for whether a new rate
+ * should be loaded in, etc.
+ * Note that if the <code>hostname</code> is set to the string "none",
+ * then the demonstrator runs in purely serial mode.
+ */
+
+ /**
+ * Initialisation and Run methods.
+ */
+ public void initSerial() {
+ //
+ // Measure the requested path rate.
+ RatePath rateP = new RatePath();
+ //rateP.dbgDumpFields();
+ ReturnPath returnP = rateP.getReturnCompounded();
+ returnP.estimatePath();
+ //returnP.dbgDumpFields();
+ /*initAllTasks = new ToInitAllTasks(returnP,
+ nTimeStepsMC,
+ pathStartValue);*/
+ this.name = returnP.name;
+ this.startDate = returnP.startDate;
+ this.endDate = returnP.endDate;
+ //
+ // Instance variables defined in ReturnPath object.
+ this.returnDefinition = returnP.returnDefinition;
+ this.expectedReturnRate = returnP.expectedReturnRate;
+ this.volatility = returnP.volatility;
+
+ this.counter = 0;
+ return;
+ }
+
+ //------------------------------------------------------------------------
+ /**
+ * Method for doing something with the Monte Carlo simulations.
+ * It's probably not mathematically correct, but shall take an average over
+ * all the simulated rate paths.
+ *
+ * @exception DemoException thrown if there is a problem with reading in
+ * any values.
+ */
+ boolean processResults(Vector returnMCs) {
+ float sumReturnRateMC = (float) 0.0;
+ float sumVolatilityMC = (float) 0.0;
+ RatePath avgmcrate = this.avgMCrate;
+ for(int i = 0; i < returnMCs.size(); i++) {
+ ToResult returnMC = (ToResult)returnMCs.elementAt(i);
+ avgmcrate.inc_pathValue(returnMC.pathValue);
+ sumReturnRateMC += returnMC.expectedReturnRate;
+ sumVolatilityMC += returnMC.volatility;
+ }
+ avgExpectedReturnRateMC = sumReturnRateMC;
+ avgVolatilityMC = sumVolatilityMC;
+
+ this.counter++;
+ boolean isfinish = (this.counter == this.group);
+ if(isfinish) {
+ avgmcrate.inc_pathValue((float)1.0/((float)nRunsMC));
+ avgExpectedReturnRateMC /= nRunsMC;
+ avgVolatilityMC /= nRunsMC;
+ JGFavgExpectedReturnRateMC = avgExpectedReturnRateMC;
+ }
+
+ return isfinish;
+ }
+ //
+ //------------------------------------------------------------------------
+ // Accessor methods for class AppDemo.
+ // Generated by 'makeJavaAccessor.pl' script. HWY. 20th January 1999.
+ //------------------------------------------------------------------------
+ /**
+ * Accessor method for private instance variable <code>nTimeStepsMC</code>.
+ *
+ * @return Value of instance variable <code>nTimeStepsMC</code>.
+ */
+ /*public int get_nTimeStepsMC() {
+ return(this.nTimeStepsMC);
+ }*/
+ /**
+ * Set method for private instance variable <code>nTimeStepsMC</code>.
+ *
+ * @param nTimeStepsMC the value to set for the instance variable <code>nTimeStepsMC</code>.
+ */
+ public void set_nTimeStepsMC(int nTimeStepsMC) {
+ this.nTimeStepsMC = nTimeStepsMC;
+ }
+ /**
+ * Accessor method for private instance variable <code>nRunsMC</code>.
+ *
+ * @return Value of instance variable <code>nRunsMC</code>.
+ */
+ /*public int get_nRunsMC() {
+ return(this.nRunsMC);
+ }*/
+ /**
+ * Set method for private instance variable <code>nRunsMC</code>.
+ *
+ * @param nRunsMC the value to set for the instance variable <code>nRunsMC</code>.
+ */
+ public void set_nRunsMC(int nRunsMC) {
+ this.nRunsMC = nRunsMC;
+ }
+ /**
+ * Accessor method for private instance variable <code>results</code>.
+ *
+ * @return Value of instance variable <code>results</code>.
+ */
+ /*public Vector get_results() {
+ return(this.results);
+ }*/
+ /**
+ * Set method for private instance variable <code>results</code>.
+ *
+ * @param results the value to set for the instance variable <code>results</code>.
+ */
+ /*public void set_results(Vector results) {
+ this.results = results;
+ }*/
+ //------------------------------------------------------------------------
+}
+
--- /dev/null
+class AppDemoRunner {
+ flag run;
+ flag turnin;
+
+ public String header;
+ public String name;
+ public int startDate;
+ public int endDate;
+ public float dTime;
+ public int returnDefinition;
+ public float expectedReturnRate;
+ public float volatility;
+ public int nTimeSteps;
+ public float pathStartValue;
+
+ int id, nRunsMC, group;
+ //ToInitAllTasks toinitalltasks;
+ public Vector results;
+
+ public AppDemoRunner(int id,
+ int nRunsMC,
+ int group,
+ AppDemo ad
+ /*ToInitAllTasks initalltask*/) {
+ this.id = id;
+ this.nRunsMC=nRunsMC;
+ this.group = group;
+ this.results = new Vector();
+
+ //this.header = initalltask.header;
+ this.name = ad.name;
+ this.startDate = ad.startDate;
+ this.endDate = ad.endDate;
+ this.dTime = ad.dTime;
+ this.returnDefinition = ad.returnDefinition;
+ this.expectedReturnRate = ad.expectedReturnRate;
+ this.volatility = ad.volatility;
+ this.nTimeSteps = ad.nTimeStepsMC;
+ this.pathStartValue = ad.pathStartValue;
+ }
+
+ public void run() {
+ // Now do the computation.
+ int ilow, iupper, slice;
+ int gp = this.group;
+ int index = this.id;
+ int nruns = this.nRunsMC;
+
+ slice = (nruns + gp-1)/gp;
+
+ ilow = index*slice;
+ iupper = (index+1)*slice;
+ if (index==gp-1) {
+ iupper=nruns;
+ }
+
+ for(int iRun=ilow; iRun < iupper; iRun++ ) {
+ //String header="MC run "+String.valueOf(iRun);
+ PriceStock ps = new PriceStock();
+ ps.setInitAllTasks(this);
+ ps.setTask(/*header, */(long)iRun*11);
+ ps.run();
+ results.addElement(ps.getResult());
+ }
+ }
+}
\ No newline at end of file
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+* *
+* 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 *
+* *
+* *
+* This version copyright (c) The University of Edinburgh, 2001. *
+* All rights reserved. *
+* *
+**************************************************************************/
+
+task t1(StartupObject s{initialstate}) {
+ //System.printString("task t1\n");
+
+ int datasize = 10000; //should be times of 2
+ int nruns = 62 * 62; //16 * 16;
+ int group = 62; // 16;
+
+ AppDemo ad = new AppDemo(datasize, nruns, group){merge};
+
+ ad.initSerial();
+
+ for(int i = 0; i < group; i++) {
+ AppDemoRunner adr = new AppDemoRunner(i,
+ nruns,
+ group,
+ ad){run};
+ }
+
+ taskexit(s{!initialstate});
+}
+
+task t2(AppDemoRunner adr{run}) {
+ //System.printString("task t2\n");
+
+ // Now do the computation.
+ adr.run();
+
+ taskexit(adr{!run, turnin});
+}
+
+task t3(AppDemo ad{merge}, AppDemoRunner adr{turnin}) {
+ //System.printString("task t3\n");
+ boolean isFinish = ad.processResults(adr.results);
+
+ if(isFinish) {
+ taskexit(ad{!merge, validate}, adr{!turnin});
+ }
+ taskexit(adr{!turnin});
+}
+
+task t4(AppDemo ad{validate}) {
+ //System.printString("task t4\n");
+ float refval = (float)(-0.0333976656762814);
+ float dev = Math.abs(ad.JGFavgExpectedReturnRateMC - refval);
+ if (dev > 1.0e-12 ){
+ //System.printString("Validation failed");
+ //System.printString(" expectedReturnRate= " + (int)(ad.JGFavgExpectedReturnRateMC*10000) + " " + (int)(dev*10000) + "\n");
+ }
+ taskexit(ad{!validate});
+}
+
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+ * *
+ * 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 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: 2010/07/24 23:25:15 $
+ */
+public class MonteCarloPath extends PathId {
+
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * Random fluctuations generated as a series of random numbers with
+ * given distribution.
+ */
+ public float[] fluctuations;
+ /**
+ * The path values from which the random fluctuations are used to update.
+ */
+ public float[] pathValue;
+ /**
+ * Integer flag for determining how the return was calculated, when
+ * used to calculate the mean drift and volatility parameters.
+ */
+ public int returnDefinition;
+ /**
+ * Value for the mean drift, for use in the generation of the random path.
+ */
+ public float expectedReturnRate;
+ /**
+ * Value for the volatility, for use in the generation of the random path.
+ */
+ public float volatility;
+ /**
+ * Number of time steps for which the simulation should act over.
+ */
+ public int nTimeSteps;
+ /**
+ * The starting value for of the security.
+ */
+ public float pathStartValue;
+ //------------------------------------------------------------------------
+ // 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();
+ this.expectedReturnRate = (float)0.0;
+ this.volatility = (float)0.0;
+ this.pathStartValue = (float)0.0;
+ this.returnDefinition=1;
+ this.nTimeSteps=0;
+ }
+
+ /**
+ * 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) {
+ /**
+ * These instance variables are members of PathId class.
+ */
+ this.expectedReturnRate = (float)0.0;
+ this.volatility = (float)0.0;
+ this.pathStartValue = (float)0.0;
+ this.returnDefinition=1;
+
+ copyInstanceVariables(returnPath);
+ this.nTimeSteps = nTimeSteps;
+ this.pathValue = new float[nTimeSteps];
+ this.fluctuations = new float[nTimeSteps];
+ }
+ /**
+ * 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,
+ float expectedReturnRate,
+ float volatility,
+ int nTimeSteps) {
+ /**
+ * These instance variables are members of PathId class.
+ * Invoking with this particular signature should point to the
+ * definition in the PathId class.
+ */
+ this.pathStartValue = (float)0.0;
+
+ copyInstanceVariables(pathId);
+ this.returnDefinition = returnDefinition;
+ this.expectedReturnRate = expectedReturnRate;
+ this.volatility = volatility;
+ this.nTimeSteps = nTimeSteps;
+ this.pathValue = new float[nTimeSteps];
+ this.fluctuations = new float[nTimeSteps];
+ }
+ /**
+ * 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,
+ float dTime,
+ int returnDefinition,
+ float expectedReturnRate,
+ float volatility,
+ int nTimeSteps) {
+ /**
+ * These instance variables are members of PathId class.
+ */
+ this.name = name;
+ this.startDate = startDate;
+ this.endDate = endDate;
+ this.dTime = dTime;
+ this.returnDefinition = returnDefinition;
+ this.expectedReturnRate = expectedReturnRate;
+ this.volatility = volatility;
+ this.nTimeSteps = nTimeSteps;
+ this.pathValue = new float[nTimeSteps];
+ this.fluctuations = new float[nTimeSteps];
+ }
+
+ //------------------------------------------------------------------------
+ // 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 float[] get_fluctuations() {
+ 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(float[] 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 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>.
+ */
+ public void set_pathValue(float[] 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ public void set_volatility(float volatility) {
+ this.volatility = volatility;
+ }
+ /**
+ * Accessor method for private instance variable <code>nTimeSteps</code>.
+ *
+ * @return Value of instance variable <code>nTimeSteps</code>.
+ * @exception DemoException thrown if instance variable <code>nTimeSteps</code>
+ * is undefined.
+ */
+ /*public int get_nTimeSteps() {
+ return(this.nTimeSteps);
+ }*/
+ /**
+ * Set method for private instance variable <code>nTimeSteps</code>.
+ *
+ * @param nTimeSteps the value to set for the instance variable
+ * <code>nTimeSteps</code>.
+ */
+ public void set_nTimeSteps(int nTimeSteps) {
+ this.nTimeSteps = nTimeSteps;
+ }
+ /**
+ * Accessor method for private instance variable <code>pathStartValue</code>.
+ *
+ * @return Value of instance variable <code>pathStartValue</code>.
+ * @exception DemoException thrown if instance variable <code>pathStartValue</code>
+ * is undefined.
+ */
+ /*public float get_pathStartValue() {
+ return(this.pathStartValue);
+ }*/
+ /**
+ * Set method for private instance variable <code>pathStartValue</code>.
+ *
+ * @param pathStartValue the value to set for the instance variable
+ * <code>pathStartValue</code>.
+ */
+ public void set_pathStartValue(float pathStartValue) {
+ this.pathStartValue = pathStartValue;
+ }
+ //------------------------------------------------------------------------
+ /**
+ * Method for copying the suitable instance variable from a
+ * <code>ReturnPath</code> object.
+ *
+ * @param obj Object used to define the instance variables which
+ * should be carried over to this object.
+ * @exception DemoException thrown if there is a problem accessing the
+ * instance variables from the target objetct.
+ */
+ private void copyInstanceVariables(ReturnPath obj) {
+ //
+ // Instance variables defined in the PathId object.
+ this.name = obj.name;
+ this.startDate = obj.startDate;
+ this.endDate = obj.endDate;
+ this.dTime = obj.dTime;
+ //
+ // Instance variables defined in this object.
+ this.returnDefinition = obj.returnDefinition;
+ this.expectedReturnRate = obj.expectedReturnRate;
+ this.volatility = obj.volatility;
+ }
+
+ /**
+ * Method for returning a RatePath object from the Monte Carlo data
+ * generated.
+ *
+ * @return a <code>RatePath</code> object representing the generated
+ * data.
+ * @exception DemoException thrown if there was a problem creating
+ * the RatePath object.
+ */
+ public RatePath getRatePath() {
+ return(new RatePath(this));
+ }
+ /**
+ * Method for calculating the sequence of fluctuations, based around
+ * a Gaussian distribution of given mean and variance, as defined
+ * in this class' instance variables. Mapping from Gaussian
+ * distribution of (0,1) to (mean-drift,volatility) is done via
+ * Ito's lemma on the log of the stock price.
+ *
+ * @param randomSeed The psuedo-random number seed value, to start off a
+ * given sequence of Gaussian fluctuations.
+ * @exception DemoException thrown if there are any problems with
+ * the computation.
+ */
+ public boolean computeFluctuationsGaussian(long randomSeed) {
+ int ntimesteps = this.nTimeSteps;
+ int length = this.fluctuations.length;
+ if( ntimesteps > length ) {
+ return false;
+ }
+ float[] flucts = this.fluctuations;
+ float expectedreturnrate = this.expectedReturnRate;
+ float vol = this.volatility;
+ float dtime = this.dTime;
+
+ //
+ // First, make use of the passed in seed value.
+ MyRandom rnd;
+ float v1,v2, r;
+ v1 = (float)0.0;
+ v2 = (float)0.0;
+ if( randomSeed == -1 ) {
+ rnd = new MyRandom(0, v1, v2);
+ } else {
+ rnd = new MyRandom((int)randomSeed, v1, v2);
+ }
+
+ //
+ // Determine the mean and standard-deviation, from the mean-drift and volatility.
+ float mean = (expectedreturnrate-(float)0.5*vol*vol)*dtime;
+ float sd = vol*Math.sqrtf(dtime);
+ float gauss, meanGauss=(float)0.0, variance=(float)0.0;
+ for( int i=0; i < ntimesteps; i += 2 ) {
+ r = rnd.seed();
+ gauss = r*rnd.v1;
+ meanGauss+= gauss;
+ variance+= gauss*gauss;
+ //
+ // Now map this onto a general Gaussian of given mean and variance.
+ flucts[i] = mean + sd*gauss;
+ // dbgPrintln("gauss="+gauss+" fluctuations="+fluctuations[i]);
+
+ gauss = r*rnd.v2;
+ meanGauss+= gauss;
+ variance+= gauss*gauss;
+ //
+ // Now map this onto a general Gaussian of given mean and variance.
+ flucts[i+1] = mean + sd*gauss;
+ }
+ meanGauss/=(float)ntimesteps;
+ variance /=(float)ntimesteps;
+ // dbgPrintln("meanGauss="+meanGauss+" variance="+variance);
+ }
+ /**
+ * Method for calculating the sequence of fluctuations, based around
+ * a Gaussian distribution of given mean and variance, as defined
+ * in this class' instance variables. Mapping from Gaussian
+ * distribution of (0,1) to (mean-drift,volatility) is done via
+ * Ito's lemma on the log of the stock price. This overloaded method
+ * is for when the random seed should be decided by the system.
+ *
+ * @exception DemoException thrown if there are any problems with
+ * the computation.
+ */
+ public void computeFluctuationsGaussian() {
+ computeFluctuationsGaussian((long)-1);
+ }
+ /**
+ * Method for calculating the corresponding rate path, given the
+ * fluctuations and starting rate value.
+ *
+ * @param startValue the starting value of the rate path, to be
+ * updated with the precomputed fluctuations.
+ * @exception DemoException thrown if there are any problems with
+ * the computation.
+ */
+ public void computePathValue(float startValue) {
+ float[] pathvalue = this.pathValue;
+ float[] flucts = this.fluctuations;
+ int length = this.nTimeSteps;
+ pathvalue[0] = startValue;
+ if( returnDefinition == 1 |
+ returnDefinition == 2) {
+ for(int i=1; i < length; i++ ) {
+ //System.printI((int)(flucts[i] * 10000));
+ pathvalue[i] = pathvalue[i-1] * Math.expf(flucts[i]);
+ }
+ }
+ }
+}
--- /dev/null
+public class MyRandom {
+
+ public int iseed;
+ public float v1,v2;
+
+ public MyRandom(int iseed, float v1, float v2) {
+ this.iseed = iseed;
+ this.v1 = v1;
+ this.v2 = v2;
+ }
+
+ public float update() {
+ float rand;
+ float scale= (float)4.656612875e-10;
+
+ int is1,is2,iss2;
+ int imult= 16807;
+ int imod = 2147483647;
+ int seed = this.iseed;
+
+ if (seed<=0) {
+ iseed = seed = 1;
+ }
+
+ is2 = seed % 32768;
+ is1 = seed / 32768;
+ iss2 = is2 * imult;
+ is2 = iss2 % 32768;
+ is1 = (is1 * imult + iss2 / 32768) % (65536);
+
+ iseed = seed = (is1 * 32768 + is2) % imod;
+
+ rand = scale * seed;
+
+ return rand;
+
+ }
+
+ public float seed() {
+
+ float s,u1,u2,r;
+ s = (float)1.0;
+ //do {
+ u1 = update();
+ u2 = update();
+
+ v1 = (float)2.0 * u1 - (float)1.0;
+ v2 = (float)2.0 * u2 - (float)1.0;
+ s = v1*v1 + v2*v2;
+ //} while (s >= (float)1.0);
+ s = s - (int)s;
+ //System.printI(0xb4);
+ r = Math.sqrtf((float)(-2.0*Math.logf(s))/(float)s);
+ //System.printI(0xb5);
+ return r;
+
+ }
+}
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+* *
+* 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. *
+* *
+**************************************************************************/
+
+/**
+ * Base class for all the security objects, namely in terms of
+ * providing a consistent means of identifying each such object.
+ * Also provides some methods for writing out debug messages.
+ *
+ * @author H W Yau
+ * @version $Revision: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+public class PathId {
+
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * Simple string name.
+ */
+ public String name;
+
+ /**
+ * The start date for the path, in YYYYMMDD format.
+ */
+ public int startDate;
+ /**
+ * The end date for the path, in YYYYMMDD format.
+ */
+ public int endDate;
+ /**
+ * The change in time between two successive data values.
+ */
+ public float dTime;
+
+ //------------------------------------------------------------------------
+ // Constructors.
+ //------------------------------------------------------------------------
+ /**
+ * Default constructor.
+ */
+ public PathId() {
+ this.startDate=0;
+ this.endDate=0;
+ this.dTime=(float)0.0;
+ }
+
+ /**
+ * Another constructor.
+ *
+ * @param name The name for the security to record.
+ */
+ public PathId(String name) {
+ this.name = name;
+ this.startDate=0;
+ this.endDate=0;
+ this.dTime=(float)0.0;
+ }
+
+ //------------------------------------------------------------------------
+ // Methods.
+ //------------------------------------------------------------------------
+ //------------------------------------------------------------------------
+ // Accessor methods for class PathId.
+ // Generated by 'makeJavaAccessor.pl' script. HWY. 20th January 1999.
+ //------------------------------------------------------------------------
+ /**
+ * Accessor method for private instance variable <code>name</code>.
+ *
+ * @return Value of instance variable <code>name</code>.
+ * @exception DemoException thrown if instance variable <code>name</code> is undefined.
+ */
+ /*public String get_name() {
+ return(this.name);
+ }*/
+ /**
+ * Set method for private instance variable <code>name</code>.
+ *
+ * @param name the value to set for the instance variable <code>name</code>.
+ */
+ public void set_name(String name) {
+ this.name = name;
+ }
+ /**
+ * Accessor method for private instance variable <code>startDate</code>.
+ *
+ * @return Value of instance variable <code>startDate</code>.
+ * @exception DemoException thrown if instance variable <code>startDate</code> is undefined.
+ */
+ /*public int get_startDate() {
+ return(this.startDate);
+ }*/
+ /**
+ * Set method for private instance variable <code>startDate</code>.
+ *
+ * @param startDate the value to set for the instance variable <code>startDate</code>.
+ */
+ public void set_startDate(int startDate) {
+ this.startDate = startDate;
+ }
+ /**
+ * Accessor method for private instance variable <code>endDate</code>.
+ *
+ * @return Value of instance variable <code>endDate</code>.
+ * @exception DemoException thrown if instance variable <code>endDate</code> is undefined.
+ */
+ /*public int get_endDate() {
+ return(this.endDate);
+ }*/
+ /**
+ * Set method for private instance variable <code>endDate</code>.
+ *
+ * @param endDate the value to set for the instance variable <code>endDate</code>.
+ */
+ public void set_endDate(int endDate) {
+ this.endDate = endDate;
+ }
+ /**
+ * Accessor method for private instance variable <code>dTime</code>.
+ *
+ * @return Value of instance variable <code>dTime</code>.
+ * @exception DemoException thrown if instance variable <code>dTime</code> is undefined.
+ */
+ /*public float get_dTime() {
+ return(this.dTime);
+ }*/
+ /**
+ * Set method for private instance variable <code>dTime</code>.
+ *
+ * @param dTime the value to set for the instance variable <code>dTime</code>.
+ */
+ public void set_dTime(float dTime) {
+ this.dTime = dTime;
+ }
+ //------------------------------------------------------------------------
+ /**
+ * Clone the instance variables in this class, from another instance
+ * of this class.
+ *
+ * @param obj the PathId object from which to copy.
+ * @exception DemoException thrown if the values to be copied contain
+ * any undefined objects.
+ */
+ public void copyInstanceVariables(PathId obj) {
+ this.name = obj.name;
+ this.startDate = obj.startDate;
+ this.endDate = obj.endDate;
+ this.dTime = obj.dTime;
+ }
+ /**
+ * Dumps the contents of the fields, to standard-out, for debugging.
+ */
+ public void dbgDumpFields() {
+// dbgPrintln("name=" +this.name);
+// dbgPrintln("startDate="+this.startDate);
+// dbgPrintln("endDate=" +this.endDate);
+// dbgPrintln("dTime=" +this.dTime);
+ }
+}
+
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+ * *
+ * 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 to do the work in the Application demonstrator, in particular
+ * the pricing of the stock path generated by Monte Carlo. The run
+ * method will generate a single sequence with the required statistics,
+ * estimate its volatility, expected return rate and final stock price
+ * value.
+ *
+ * @author H W Yau
+ * @version $Revision: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+public class PriceStock{
+
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * The Monte Carlo path to be generated.
+ */
+ public MonteCarloPath mcPath;
+ /**
+ * String identifier for a given task.
+ */
+ //private String taskHeader;
+ /**
+ * Random seed from which the Monte Carlo sequence is started.
+ */
+ public long randomSeed;
+ /**
+ * Initial stock price value.
+ */
+ public float pathStartValue;
+ /**
+ * Object which represents the results from a given computation task.
+ */
+ public ToResult result;
+ public float expectedReturnRate;
+ public float volatility;
+ public float volatility2;
+ public float finalStockPrice;
+ public float[] pathValue;
+
+ //------------------------------------------------------------------------
+ // Constructors.
+ //------------------------------------------------------------------------
+ /**
+ * Default constructor.
+ */
+ public PriceStock() {
+ //this.taskHeader = "";
+ this.randomSeed=-1;
+ this.pathStartValue=(float)0.0;
+ this.expectedReturnRate=(float)0.0;
+ this.volatility=(float)0.0;
+ this.volatility2=(float)0.0;
+ this.finalStockPrice=(float)0.0;
+
+ mcPath = new MonteCarloPath();
+ }
+ //------------------------------------------------------------------------
+ // Methods.
+ //------------------------------------------------------------------------
+ //------------------------------------------------------------------------
+ // Methods which implement the Slaveable interface.
+ //------------------------------------------------------------------------
+ /**
+ * Method which is passed in the initialisation data common to all tasks,
+ * and then unpacks them for use by this object.
+ *
+ * @param obj Object representing data which are common to all tasks.
+ */
+ public void setInitAllTasks(AppDemoRunner obj) {
+ mcPath.name = obj.name;
+ mcPath.startDate = obj.startDate;
+ mcPath.endDate = obj.endDate;
+ mcPath.dTime = obj.dTime;
+ mcPath.returnDefinition = obj.returnDefinition;
+ mcPath.expectedReturnRate = obj.expectedReturnRate;
+ mcPath.volatility = obj.volatility;
+ int nTimeSteps = obj.nTimeSteps;
+ mcPath.nTimeSteps = nTimeSteps;
+ this.pathStartValue = obj.pathStartValue;
+ mcPath.pathStartValue = pathStartValue;
+ mcPath.pathValue = new float[nTimeSteps];
+ mcPath.fluctuations = new float[nTimeSteps];
+ }
+ /**
+ * Method which is passed in the data representing each task, which then
+ * unpacks it for use by this object.
+ *
+ * @param obj Object representing the data which defines a given task.
+ */
+ public void setTask(/*String header, */long randomSeed) {
+ //this.taskHeader = header;
+ this.randomSeed = randomSeed;
+ }
+ /**
+ * The business end. Invokes the necessary computation routine, for a
+ * a given task.
+ */
+ public void run() {
+ mcPath.computeFluctuationsGaussian(randomSeed);
+ mcPath.computePathValue(pathStartValue);
+ RatePath rateP = new RatePath(mcPath);
+ ReturnPath returnP = rateP.getReturnCompounded();
+ returnP.estimatePath();
+ expectedReturnRate = returnP.expectedReturnRate;
+ volatility = returnP.volatility;
+ volatility2 = returnP.volatility2;
+ finalStockPrice = rateP.getEndPathValue();//pathValue[rateP.pathValue.length-1];
+ pathValue = mcPath.pathValue;
+ }
+ /*
+ * Method which returns the results of a computation back to the caller.
+ *
+ * @return An object representing the computed results.
+ */
+ public ToResult getResult() {
+ //String resultHeader = "Result of task with Header="+taskHeader+": randomSeed="+randomSeed+": pathStartValue="+(int)pathStartValue;
+ ToResult res = new ToResult(/*resultHeader,*/
+ expectedReturnRate,
+ volatility,
+ volatility2,
+ finalStockPrice,
+ pathValue);
+ return res;
+ }
+}
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+ * *
+ * 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 recording the values in the time-dependent path of a security.
+ *
+ * <p>To Do list:
+ * <ol>
+ * <li><i>None!</i>
+ * </ol>
+ *
+ * @author H W Yau
+ * @version $Revision: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+public class RatePath extends PathId {
+
+ //------------------------------------------------------------------------
+ // Class variables.
+ //------------------------------------------------------------------------
+ /**
+ * Class variable to represent the minimal date, whence the stock prices
+ * appear. Used to trap any potential problems with the data.
+ */
+ public int MINIMUMDATE;
+ /**
+ * Class variable for defining what is meant by a small number, small enough
+ * to cause an arithmetic overflow when dividing. According to the
+ * Java Nutshell book, the actual range is +/-4.9406564841246544E-324
+ */
+ public float EPSILON;
+
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * An instance variable, for storing the rate's path values itself.
+ */
+ public float[] pathValue;
+ /**
+ * An instance variable, for storing the corresponding date of the datum,
+ * in 'YYYYMMDD' format.
+ */
+ public int[] pathDate;
+ /**
+ * The number of accepted values in the rate path.
+ */
+ public int nAcceptedPathValue;
+
+ //------------------------------------------------------------------------
+ // Constructors.
+ //------------------------------------------------------------------------
+ /**
+ * Constructor, where the user specifies the directory and filename in
+ * from which the data should be read.
+ *
+ * @param String dirName
+ * @param String filename
+ * @exception DemoException thrown if there is a problem reading in
+ * the data file.
+ */
+ public RatePath() {
+ this.MINIMUMDATE = 19000101;
+ this.EPSILON= (float)10.0 * (float)(4.9E-324);
+ this.nAcceptedPathValue = 0;
+ readRatesFile();
+ }
+ /**
+ * Constructor, for when the user specifies simply an array of values
+ * for the path. User must also include information for specifying
+ * the other characteristics of the path.
+ *
+ * @param pathValue the array containing the values for the path.
+ * @param name the name to attach to the path.
+ * @param startDate date from which the path is supposed to start, in
+ * 'YYYYMMDD' format.
+ * @param startDate date from which the path is supposed to end, in
+ * 'YYYYMMDD' format.
+ * @param dTime the time interval between successive path values, in
+ * fractions of a year.
+ */
+ public RatePath(float[] pathValue,
+ String name,
+ int startDate,
+ int endDate,
+ float dTime) {
+ this.MINIMUMDATE = 19000101;
+ this.EPSILON= (float)10.0 * (float)(4.9E-324);
+
+ this.name = name;
+ this.startDate = startDate;
+ this.endDate = endDate;
+ this.dTime = dTime;
+ this.pathValue = pathValue;
+ this.nAcceptedPathValue = pathValue.length;
+ }
+ /**
+ * Constructor, for use by the Monte Carlo generator, when it wishes
+ * to represent its findings as a RatePath object.
+ *
+ * @param mc the Monte Carlo generator object, whose data are to
+ * be copied over.
+ * @exception DemoException thrown if there is an attempt to access
+ * an undefined variable.
+ */
+ public RatePath(MonteCarloPath mc) {
+ this.MINIMUMDATE = 19000101;
+ this.EPSILON= (float)10.0 * (float)(4.9E-324);
+
+ //
+ // Fields pertaining to the parent PathId object:
+ this.name = mc.name;
+ this.startDate = mc.startDate;
+ this.endDate = mc.endDate;
+ this.dTime = mc.dTime;
+ //
+ // Fields pertaining to RatePath object itself.
+ pathValue=mc.pathValue;
+ nAcceptedPathValue=mc.nTimeSteps;
+ //
+ // Note that currently the pathDate is neither declared, defined,
+ // nor used in the MonteCarloPath object.
+ pathDate=new int[nAcceptedPathValue];
+ }
+ /**
+ * Constructor, for when there is no actual pathValue with which to
+ * initialise.
+ *
+ * @param pathValueLegth the length of the array containing the values
+ * for the path.
+ * @param name the name to attach to the path.
+ * @param startDate date from which the path is supposed to start, in
+ * 'YYYYMMDD' format.
+ * @param startDate date from which the path is supposed to end, in
+ * 'YYYYMMDD' format.
+ * @param dTime the time interval between successive path values, in
+ * fractions of a year.
+ */
+ public RatePath(int pathValueLength,
+ String name,
+ int startDate,
+ int endDate,
+ float dTime) {
+ this.MINIMUMDATE = 19000101;
+ this.EPSILON= (float)10.0 * (float)(4.9E-324);
+
+ this.name = name;
+ this.startDate = startDate;
+ this.endDate = endDate;
+ this.dTime = dTime;
+ this.pathValue = new float[pathValueLength];
+ this.nAcceptedPathValue = pathValue.length;
+ }
+ //------------------------------------------------------------------------
+ // Methods.
+ //------------------------------------------------------------------------
+ /**
+ * Routine to update this rate path with the values from another rate
+ * path, via its pathValue array.
+ *
+ * @param operandPath the path value array to use for the update.
+ * @exception DemoException thrown if there is a mismatch between the
+ * lengths of the operand and target arrays.
+ */
+ public boolean inc_pathValue(float[] operandPath) {
+ int length = this.pathValue.length;
+ if( length != operandPath.length ) {
+ return false;
+ }
+ float[] pathvalue = this.pathValue;
+ for(int i=0; i<length; i++ ) {
+ pathvalue[i] += operandPath[i];
+ }
+ return true;
+ }
+ /**
+ * Routine to scale this rate path by a constant.
+ *
+ * @param scale the constant with which to multiply to all the path
+ * values.
+ * @exception DemoException thrown if there is a mismatch between the
+ * lengths of the operand and target arrays.
+ */
+ public boolean inc_pathValue(float scale) {
+ float[] pathvalue = this.pathValue;
+ if( pathvalue==null ) {
+ return false;
+ }
+ int length = this.pathValue.length;
+ for(int i=0; i<length; i++ ) {
+ pathvalue[i] *= scale;
+ }
+ return true;
+ }
+ //------------------------------------------------------------------------
+ // Accessor methods for class RatePath.
+ // 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.
+ */
+ /*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>.
+ */
+ public void set_pathValue(float[] pathValue) {
+ this.pathValue = pathValue;
+ }
+ /**
+ * Accessor method for private instance variable <code>pathDate</code>.
+ *
+ * @return Value of instance variable <code>pathDate</code>.
+ * @exception DemoException thrown if instance variable <code>pathDate</code> is undefined.
+ */
+ /*public int[] get_pathDate() {
+ return(this.pathDate);
+ }*/
+ /**
+ * Set method for private instance variable <code>pathDate</code>.
+ *
+ * @param pathDate the value to set for the instance variable <code>pathDate</code>.
+ */
+ public void set_pathDate(int[] pathDate) {
+ this.pathDate = pathDate;
+ }
+ //------------------------------------------------------------------------
+ /**
+ * Method to return the terminal value for a given rate path, as used
+ * in derivative calculations.
+ *
+ * @return The last value in the rate path.
+ */
+ public float getEndPathValue() {
+ return( getPathValue(pathValue.length-1) );
+ }
+ /**
+ * Method to return the value for a given rate path, at a given index.
+ * <i>One may want to index this in a more user friendly manner!</i>
+ *
+ * @param index the index on which to return the path value.
+ * @return The value of the path at the designated index.
+ */
+ public float getPathValue(int index) {
+ return(pathValue[index]);
+ }
+ /**
+ * Method for calculating the returns on a given rate path, via the
+ * definition for the instantaneous compounded return.
+ * u_i = \ln{\frac{S_i}{S_{i-1}}}
+ *
+ * @return the return, as defined.
+ * @exception DemoException thrown if there is a problem with the
+ * calculation.
+ */
+ public ReturnPath getReturnCompounded() {
+ int length = this.nAcceptedPathValue;
+ float[] pathvalue = this.pathValue;
+ if( pathvalue == null || length == 0 ) {
+ return null;
+ }
+ float[] returnPathValue = new float[length];
+ returnPathValue[0] = (float)0.0;
+ for(int i=1; i< length; i++ ) {
+ returnPathValue[i] = Math.logf(pathvalue[i] / pathvalue[i-1]);
+ }
+
+ ReturnPath rPath = new ReturnPath(returnPathValue, length, 1);
+ //
+ // Copy the PathId information to the ReturnPath object.
+ rPath.copyInstanceVariables(this);
+ rPath.estimatePath();
+ return(rPath);
+ }
+ /**
+ * Method for calculating the returns on a given rate path, via the
+ * definition for the instantaneous non-compounded return.
+ * u_i = \frac{S_i - S_{i-1}}{S_i}
+ *
+ * @return the return, as defined.
+ * @exception DemoException thrown if there is a problem with the
+ * calculation.
+ */
+ public ReturnPath getReturnNonCompounded() {
+ int length = this.nAcceptedPathValue;
+ float[] pathvalue = this.pathValue;
+ if( pathvalue == null || length == 0 ) {
+ return null;
+ }
+ float[] returnPathValue = new float[length];
+ returnPathValue[0] = (float)0.0;
+ for(int i=1; i< length; i++ ) {
+ returnPathValue[i] = (pathvalue[i] - pathvalue[i-1])/pathvalue[i];
+ }
+
+ ReturnPath rPath = new ReturnPath(returnPathValue, length, 2);
+ //
+ // Copy the PathId information to the ReturnPath object.
+ rPath.copyInstanceVariables(this);
+ rPath.estimatePath();
+ return(rPath);
+ }
+ //------------------------------------------------------------------------
+ // Private methods.
+ //------------------------------------------------------------------------
+ /**
+ * Method for reading in data file, in a given format.
+ * Namely:
+ <pre>
+ 881003,0.0000,14.1944,13.9444,14.0832,2200050,0
+ 881004,0.0000,14.1668,14.0556,14.1668,1490850,0
+ ...
+ 990108,35.8125,36.7500,35.5625,35.8125,4381200,0
+ 990111,35.8125,35.8750,34.8750,35.1250,3920800,0
+ 990112,34.8750,34.8750,34.0000,34.0625,3577500,0
+ </pre>
+ * <p>Where the fields represent, one believes, the following:
+ * <ol>
+ * <li>The date in 'YYMMDD' format</li>
+ * <li>Open</li>
+ * <li>High</li>
+ * <li>Low</li>
+ * <li>Last</li>
+ * <li>Volume</li>
+ * <li>Open Interest</li>
+ * </ol>
+ * One will probably make use of the closing price, but this can be
+ * redefined via the class variable <code>DATUMFIELD</code>. Note that
+ * since the read in data are then used to compute the return, this would
+ * be a good place to trap for zero values in the data, which will cause
+ * all sorts of problems.
+ *
+ * @param dirName the directory in which to search for the data file.
+ * @param filename the data filename itself.
+ * @exception DemoException thrown if there was a problem with the data
+ * file.
+ */
+ private void readRatesFile(){
+ //
+ // Now create an array to store the rates data.
+ int minimumdate = MINIMUMDATE;
+ float epsilon = EPSILON;
+ int nLines = 1000; //200;
+ int year = 88;
+ int month = 10;
+ int day = 3;
+ this.pathValue = new float[nLines];
+ this.pathDate = new int[nLines];
+ float[] pathvalue = this.pathValue;
+ int[] pathdate = this.pathDate;
+ nAcceptedPathValue=0;
+ int iLine=0;
+ /*char[] date = new char[9];
+ date[0] = '1';
+ date[1] = '9';
+ date[2] = (char)(year/10 + '0');
+ date[3] = (char)(year%10 + '0');
+ date[4] = (char)(month/10 + '0');
+ date[5] = (char)(month%10 + '0');
+ date[6] = (char)(day/10 + '0');
+ date[7] = (char)(day%10 + '0');
+ date[8] = '\0';*/
+ int aDate = 19881003;
+ /*for(int di = 0; di < 9; di++) {
+ aDate = aDate * 10 + (int)date[di];
+ }*/
+ for(int k = 0; k < 20; /*40;*/ k++ ) {
+ for(int j = 0; j < 50; /*5;*/ j++) {
+ /*String date = "19"+String.valueOf(year);
+ if(month < 10) {
+ date += "0";
+ }
+ date += String.valueOf(month);
+ if(day < 10) {
+ date += "0";
+ }
+ date += String.valueOf(day);*/
+ //int aDate = Integer.parseInt(date);
+ day++;
+ aDate++;
+ /*if(date[7] == '9') {
+ date[7] = '0';
+ date[6] = (char)(date[6] + 1);
+ } else {
+ date[7] = (char)(date[7] + 1);
+ }*/
+ if(month == 2) {
+ if(day == 29) {
+ day = 1;
+ month++;
+ /*date[6] = '0';
+ date[7] = '1';
+ date[5] = '3';*/
+ aDate += 72;// - day(29) + 101;
+ }
+ } else {
+ if(day == 31) {
+ day = 1;
+ month++;
+ aDate += 70;
+ /*date[6] = '0';
+ date[7] = '1';*/
+ if(month == 13) {
+ month = 1;
+ year++;
+ aDate += 8800;
+ /*date[4] = '0';
+ date[5] = '1';
+ if(date[3] == '9') {
+ if(date[2] == '9') {
+ if(date[1] == '9') {
+ date[1] = '0';
+ date[0] = (char)(date[0] + 1);
+ } else {
+ date[1] = (char)(date[1] + 1);
+ }
+ date[2] = '0';
+ } else {
+ date[2] = (char)(date[2] + 1);
+ }
+ date[3] = '0';
+ } else {
+ date[3] = (char)(date[3] + 1);
+ }*/
+ } /*else {
+ if(date[5] == '9') {
+ date[4] = '1';
+ date[5] = '0';
+ } else {
+ date[5] = (char)(date[5] + 1);
+ }
+ }*/
+ }
+ }
+ //
+ // static float float.parsefloat() method is a feature of JDK1.2!
+ int tmp = k + j;
+ float aPathValue = (float)(121.7500 - tmp);
+ if( (aDate <= minimumdate) /*| (Math.abs(aPathValue) < epsilon)*/ ) {
+ //System.printString("Skipped erroneous data indexed by date="+date+".");
+ } else {
+ pathdate[iLine] = aDate;
+ pathvalue[iLine] = aPathValue;
+ iLine++;
+ }
+ }
+ }
+ //
+ // Record the actual number of accepted data points.
+ nAcceptedPathValue = iLine;
+ //
+ // Now to fill in the structures from the 'PathId' class.
+ this.name = "rate";
+ this.startDate = pathdate[0];
+ this.endDate = pathdate[iLine-1];
+ this.dTime = (float)(1.0/365.0);
+ }
+}
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+* *
+* 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.
+ *
+ * <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: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+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.
+ */
+ 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.
+ */
+ public int NONCOMPOUNDED;
+
+ //------------------------------------------------------------------------
+ // Instance variables.
+ //------------------------------------------------------------------------
+ /**
+ * An instance variable, for storing the return values.
+ */
+ public float[] pathValue;
+ /**
+ * The number of accepted values in the rate path.
+ */
+ public int nPathValue;
+ /**
+ * Integer flag for indicating how the return was calculated.
+ */
+ public int returnDefinition;
+ /**
+ * Value for the expected return rate.
+ */
+ public float expectedReturnRate;
+ /**
+ * 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.
+ */
+ public float volatility2;
+ /**
+ * Value for the mean of this return.
+ */
+ public float mean;
+ /**
+ * Value for the variance of this return.
+ */
+ public float variance;
+
+ //------------------------------------------------------------------------
+ // Constructors.
+ //------------------------------------------------------------------------
+ /**
+ * Default constructor.
+ */
+ public ReturnPath() {
+ super();
+
+ this.COMPOUNDED = 1;
+ this.NONCOMPOUNDED = 2;
+ this.nPathValue=-1;
+ this.returnDefinition = -1;
+ this.expectedReturnRate = (float)0.0;
+ this.volatility = (float)0.0;
+ this.volatility2 = (float)0.0;
+ this.mean = (float)0.0;
+ this.variance = (float)0.0;
+ }
+
+ /**
+ * 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) {
+ this.pathValue = pathValue;
+ this.nPathValue = nPathValue;
+ this.returnDefinition = returnDefinition;
+
+ this.COMPOUNDED = 1;
+ this.NONCOMPOUNDED = 2;
+ this.expectedReturnRate = (float)0.0;
+ this.volatility = (float)0.0;
+ this.volatility2 = (float)0.0;
+ this.mean = (float)0.0;
+ this.variance = (float)0.0;
+ }
+
+ //------------------------------------------------------------------------
+ // Methods.
+ //------------------------------------------------------------------------
+ //------------------------------------------------------------------------
+ // Accessor methods for class ReturnPath.
+ // 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ /*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>.
+ */
+ 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.
+ */
+ 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.
+ */
+ 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.
+ */
+ 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));
+ }
+ /**
+ * 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;
+ for( int i=1; i < length; i++ ) {
+ 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.
+ */
+ public void estimatePath() {
+ computeMean();
+ computeVariance();
+ computeExpectedReturnRate();
+ computeVolatility();
+ }
+ /**
+ * 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);
+ }
+}
--- /dev/null
+/** Banboo Version **/
+
+/**************************************************************************
+* *
+* 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 defining the results of a task. Currently, this is simply
+ * the Monte Carlo generate rate path.
+ *
+ * @author H W Yau
+ * @version $Revision: 1.1 $ $Date: 2010/07/24 23:25:15 $
+ */
+public class ToResult {
+ //private String header;
+ public float expectedReturnRate;
+ public float volatility;
+ public float volatility2;
+ public float finalStockPrice;
+ public float[] pathValue;
+
+ /**
+ * Constructor, for the results from a computation.
+ *
+ * @param header Simple header string.
+ * @param pathValue Data computed by the Monte Carlo generator.
+ */
+ public ToResult(/*String header, */
+ float expectedReturnRate,
+ float volatility,
+ float volatility2,
+ float finalStockPrice,
+ float[] pathValue) {
+ //this.header=header;
+ this.expectedReturnRate = expectedReturnRate;
+ this.volatility = volatility;
+ this.volatility2 = volatility2;
+ this.finalStockPrice = finalStockPrice;
+ this.pathValue = pathValue;
+ }
+ /**
+ * Gives a simple string representation of this object.
+ *
+ * @return String representation of this object.
+ */
+ /*public String toString(){
+ return(header);
+ }*/
+ //------------------------------------------------------------------------
+ // Accessor methods for class ToResult.
+ // Generated by 'makeJavaAccessor.pl' script. HWY. 20th January 1999.
+ //------------------------------------------------------------------------
+ /**
+ * Accessor method for private instance variable <code>header</code>.
+ *
+ * @return Value of instance variable <code>header</code>.
+ */
+ /*public String get_header() {
+ return(this.header);
+ }*/
+ /**
+ * Set method for private instance variable <code>header</code>.
+ *
+ * @param header the value to set for the instance variable <code>header</code>.
+ */
+ /*public void set_header(String header) {
+ this.header = header;
+ }*/
+ /**
+ * Accessor method for private instance variable <code>expectedReturnRate</code>.
+ *
+ * @return Value of instance variable <code>expectedReturnRate</code>.
+ */
+ /*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>.
+ */
+ 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>.
+ */
+ /*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>.
+ */
+ 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>.
+ */
+ /*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>.
+ */
+ public void set_volatility2(float volatility2) {
+ this.volatility2 = volatility2;
+ }
+ /**
+ * Accessor method for private instance variable <code>finalStockPrice</code>.
+ *
+ * @return Value of instance variable <code>finalStockPrice</code>.
+ */
+ /*public float get_finalStockPrice() {
+ return(this.finalStockPrice);
+ }*/
+ /**
+ * Set method for private instance variable <code>finalStockPrice</code>.
+ *
+ * @param finalStockPrice the value to set for the instance variable
+ * <code>finalStockPrice</code>.
+ */
+ public void set_finalStockPrice(float finalStockPrice) {
+ this.finalStockPrice = finalStockPrice;
+ }
+ /**
+ * Accessor method for private instance variable <code>pathValue</code>.
+ *
+ * @return Value of instance variable <code>pathValue</code>.
+ */
+ /*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>.
+ */
+ public void set_pathValue(float[] pathValue) {
+ this.pathValue = pathValue;
+ }
+ //------------------------------------------------------------------------
+}
+
+
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