/***************************************************************************                                                                         **             Java Grande Forum Benchmark Suite - MPJ 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.                            **                                                                         ***************************************************************************/package jgf_mpj_benchmarks.section3.montecarlo;//package montecarlo;/**  * 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: 2005/04/29 17:43:42 $  */public class ReturnPath extends PathId {  //------------------------------------------------------------------------  // Class variables.  //------------------------------------------------------------------------  /**    * A class variable, for setting whether to print debug messages or not.    */  public static boolean DEBUG=true;  /**    * Class variable, for defining the prompt to print in front of debug    * messages.    */  protected static String prompt="ReturnPath> ";  /**    * 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 static int COMPOUNDED = 1;  /**    * 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 static int NONCOMPOUNDED = 2;  //------------------------------------------------------------------------  // Instance variables.  //------------------------------------------------------------------------  /**    * An instance variable, for storing the return values.    */  private double[] pathValue;  /**    * The number of accepted values in the rate path.    */  private int nPathValue=0;  /**    * Integer flag for indicating how the return was calculated.    */  private int returnDefinition = 0;  /**    * Value for the expected return rate.    */  private double expectedReturnRate = Double.NaN;  /**    * Value for the volatility, calculated from the return data.    */  private double volatility = Double.NaN;  /**    * Value for the volatility-squared, a more natural quantity    * to use for many of the calculations.    */  private double volatility2 = Double.NaN;  /**    * Value for the mean of this return.    */  private double mean = Double.NaN;  /**    * Value for the variance of this return.    */  private double variance = Double.NaN;  //------------------------------------------------------------------------  // Constructors.  //------------------------------------------------------------------------  /**    * Default constructor.    */  public ReturnPath() {    super();    set_prompt(prompt);    set_DEBUG(DEBUG);  }  /**    * 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(double[] pathValue, int nPathValue, int returnDefinition) {    set_prompt(prompt);    set_DEBUG(DEBUG);    this.pathValue = pathValue;    this.nPathValue = nPathValue;    this.returnDefinition = returnDefinition;  }  //------------------------------------------------------------------------  // 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 double[] get_pathValue() throws DemoException {    if( this.pathValue == null )      throw new DemoException("Variable pathValue is undefined!");    return(this.pathValue);  }  /**    * Set method for private instance variable <code>pathValue</code>.    *    * @param pathValue the value to set for the instance variable <code>pathValue</code>.    */  public void set_pathValue(double[] pathValue) {    this.pathValue = pathValue;  }  /**    * Accessor method for private instance variable <code>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() throws DemoException {    if( this.nPathValue == 0 )      throw new DemoException("Variable nPathValue is undefined!");    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() throws DemoException {    if( this.returnDefinition == 0 )      throw new DemoException("Variable returnDefinition is undefined!");    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 double get_expectedReturnRate() throws DemoException {    if( this.expectedReturnRate == Double.NaN )      throw new DemoException("Variable expectedReturnRate is undefined!");    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(double 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 double get_volatility() throws DemoException {    if( this.volatility == Double.NaN )      throw new DemoException("Variable volatility is undefined!");    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(double 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 double get_volatility2() throws DemoException {    if( this.volatility2 == Double.NaN )      throw new DemoException("Variable volatility2 is undefined!");    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(double 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 double get_mean() throws DemoException {    if( this.mean == Double.NaN )      throw new DemoException("Variable mean is undefined!");    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(double 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 double get_variance() throws DemoException {    if( this.variance == Double.NaN )      throw new DemoException("Variable variance is undefined!");    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(double 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() throws DemoException {    this.expectedReturnRate = mean/get_dTime() + 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() throws DemoException {    if( this.variance == Double.NaN )       throw new DemoException("Variable variance is not defined!");    this.volatility2 = variance / get_dTime();    this.volatility  = Math.sqrt(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() throws DemoException{    if( this.nPathValue == 0 )      throw new DemoException("Variable nPathValue is undefined!");    this.mean = 0.0;    for( int i=1; i < nPathValue; i++ ) {      mean += pathValue[i];    }    this.mean /= ((double)(nPathValue - 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() throws DemoException{    if( this.mean == Double.NaN || this.nPathValue == 0)      throw new DemoException("Variable mean and/or nPathValue are undefined!");    this.variance = 0.0;        for( int i=1; i < nPathValue; i++ ) {      variance += (pathValue[i] - mean)*(pathValue[i] - mean);    }    this.variance /= ((double)(nPathValue - 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() throws DemoException{    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);  }}