Examples.Libor
Class BondPaths

java.lang.Object
  extended byjava.awt.Component
      extended byjava.awt.Container
          extended byjava.awt.Window
              extended byjava.awt.Frame
                  extended byjavax.swing.JFrame
                      extended byGraphics.Frame
                          extended byGraphics.PathFrame
                              extended byExamples.Libor.BondPaths
All Implemented Interfaces:
javax.accessibility.Accessible, java.awt.image.ImageObserver, java.awt.MenuContainer, javax.swing.RootPaneContainer, java.io.Serializable, javax.swing.WindowConstants

public class BondPaths
extends PathFrame

Opens a window, allocates a Libor Process of dimension n=60 with quarterly compounding and then displays zero coupon bond paths with 300 time steps to maturity. The user defines the bond maturity.

The apparent jumps in the bond price paths is an artifact created by the way the program handles Libors at times t between Libor reset points T_j. It uses Libor evaluated at the nearest reset point and hence causing a jump as t crosses the midpoint of Libor accrual intervals.

See Also:
Serialized Form

Nested Class Summary
 
Nested classes inherited from class javax.swing.JFrame
javax.swing.JFrame.AccessibleJFrame
 
Nested classes inherited from class java.awt.Frame
java.awt.Frame.AccessibleAWTFrame
 
Nested classes inherited from class java.awt.Window
java.awt.Window.AccessibleAWTWindow
 
Nested classes inherited from class java.awt.Container
java.awt.Container.AccessibleAWTContainer
 
Nested classes inherited from class java.awt.Component
java.awt.Component.AccessibleAWTComponent, java.awt.Component.BltBufferStrategy, java.awt.Component.FlipBufferStrategy
 
Field Summary
 
Fields inherited from class javax.swing.JFrame
accessibleContext, EXIT_ON_CLOSE, rootPane, rootPaneCheckingEnabled
 
Fields inherited from class java.awt.Frame
CROSSHAIR_CURSOR, DEFAULT_CURSOR, E_RESIZE_CURSOR, HAND_CURSOR, ICONIFIED, MAXIMIZED_BOTH, MAXIMIZED_HORIZ, MAXIMIZED_VERT, MOVE_CURSOR, N_RESIZE_CURSOR, NE_RESIZE_CURSOR, NORMAL, NW_RESIZE_CURSOR, S_RESIZE_CURSOR, SE_RESIZE_CURSOR, SW_RESIZE_CURSOR, TEXT_CURSOR, W_RESIZE_CURSOR, WAIT_CURSOR
 
Fields inherited from class java.awt.Component
BOTTOM_ALIGNMENT, CENTER_ALIGNMENT, LEFT_ALIGNMENT, RIGHT_ALIGNMENT, TOP_ALIGNMENT
 
Fields inherited from interface javax.swing.WindowConstants
DISPOSE_ON_CLOSE, DO_NOTHING_ON_CLOSE, HIDE_ON_CLOSE
 
Fields inherited from interface java.awt.image.ImageObserver
ABORT, ALLBITS, ERROR, FRAMEBITS, HEIGHT, PROPERTIES, SOMEBITS, WIDTH
 
Constructor Summary
BondPaths(LiborProcess LP, double T, double B0, double dt, int mPath)
          Some parameter values are needed for the super class constructor (T,B0).
 
Method Summary
static void main(java.lang.String[] args)
          Opens the window and displays a new path of Libor L_75 and the corresponding path of driftless Libor code>L^0_75 whenever the window is clicked.
 double[] nextPath()
          Alternates between Libor and driftless Libor set at time t=T_11.
 
Methods inherited from class Graphics.PathFrame
paint
 
Methods inherited from class Graphics.Frame
saveAsEPS
 
Methods inherited from class javax.swing.JFrame
addImpl, createRootPane, frameInit, getAccessibleContext, getContentPane, getDefaultCloseOperation, getGlassPane, getJMenuBar, getLayeredPane, getRootPane, isDefaultLookAndFeelDecorated, isRootPaneCheckingEnabled, paramString, processWindowEvent, remove, setContentPane, setDefaultCloseOperation, setDefaultLookAndFeelDecorated, setGlassPane, setJMenuBar, setLayeredPane, setLayout, setRootPane, setRootPaneCheckingEnabled, update
 
Methods inherited from class java.awt.Frame
addNotify, finalize, getCursorType, getExtendedState, getFrames, getIconImage, getMaximizedBounds, getMenuBar, getState, getTitle, isResizable, isUndecorated, remove, removeNotify, setCursor, setExtendedState, setIconImage, setMaximizedBounds, setMenuBar, setResizable, setState, setTitle, setUndecorated
 
Methods inherited from class java.awt.Window
addPropertyChangeListener, addPropertyChangeListener, addWindowFocusListener, addWindowListener, addWindowStateListener, applyResourceBundle, applyResourceBundle, createBufferStrategy, createBufferStrategy, dispose, getBufferStrategy, getFocusableWindowState, getFocusCycleRootAncestor, getFocusOwner, getFocusTraversalKeys, getGraphicsConfiguration, getInputContext, getListeners, getLocale, getMostRecentFocusOwner, getOwnedWindows, getOwner, getToolkit, getWarningString, getWindowFocusListeners, getWindowListeners, getWindowStateListeners, hide, isActive, isFocusableWindow, isFocusCycleRoot, isFocused, isShowing, pack, postEvent, processEvent, processWindowFocusEvent, processWindowStateEvent, removeWindowFocusListener, removeWindowListener, removeWindowStateListener, setCursor, setFocusableWindowState, setFocusCycleRoot, setLocationRelativeTo, show, toBack, toFront
 
Methods inherited from class java.awt.Container
add, add, add, add, add, addContainerListener, applyComponentOrientation, areFocusTraversalKeysSet, countComponents, deliverEvent, doLayout, findComponentAt, findComponentAt, getAlignmentX, getAlignmentY, getComponent, getComponentAt, getComponentAt, getComponentCount, getComponents, getContainerListeners, getFocusTraversalPolicy, getInsets, getLayout, getMaximumSize, getMinimumSize, getPreferredSize, insets, invalidate, isAncestorOf, isFocusCycleRoot, isFocusTraversalPolicySet, layout, list, list, locate, minimumSize, paintComponents, preferredSize, print, printComponents, processContainerEvent, remove, removeAll, removeContainerListener, setFocusTraversalKeys, setFocusTraversalPolicy, setFont, transferFocusBackward, transferFocusDownCycle, validate, validateTree
 
Methods inherited from class java.awt.Component
action, add, addComponentListener, addFocusListener, addHierarchyBoundsListener, addHierarchyListener, addInputMethodListener, addKeyListener, addMouseListener, addMouseMotionListener, addMouseWheelListener, bounds, checkImage, checkImage, coalesceEvents, contains, contains, createImage, createImage, createVolatileImage, createVolatileImage, disable, disableEvents, dispatchEvent, enable, enable, enableEvents, enableInputMethods, firePropertyChange, firePropertyChange, firePropertyChange, getBackground, getBounds, getBounds, getColorModel, getComponentListeners, getComponentOrientation, getCursor, getDropTarget, getFocusListeners, getFocusTraversalKeysEnabled, getFont, getFontMetrics, getForeground, getGraphics, getHeight, getHierarchyBoundsListeners, getHierarchyListeners, getIgnoreRepaint, getInputMethodListeners, getInputMethodRequests, getKeyListeners, getLocation, getLocation, getLocationOnScreen, getMouseListeners, getMouseMotionListeners, getMouseWheelListeners, getName, getParent, getPeer, getPropertyChangeListeners, getPropertyChangeListeners, getSize, getSize, getTreeLock, getWidth, getX, getY, gotFocus, handleEvent, hasFocus, imageUpdate, inside, isBackgroundSet, isCursorSet, isDisplayable, isDoubleBuffered, isEnabled, isFocusable, isFocusOwner, isFocusTraversable, isFontSet, isForegroundSet, isLightweight, isOpaque, isValid, isVisible, keyDown, keyUp, list, list, list, location, lostFocus, mouseDown, mouseDrag, mouseEnter, mouseExit, mouseMove, mouseUp, move, nextFocus, paintAll, prepareImage, prepareImage, printAll, processComponentEvent, processFocusEvent, processHierarchyBoundsEvent, processHierarchyEvent, processInputMethodEvent, processKeyEvent, processMouseEvent, processMouseMotionEvent, processMouseWheelEvent, removeComponentListener, removeFocusListener, removeHierarchyBoundsListener, removeHierarchyListener, removeInputMethodListener, removeKeyListener, removeMouseListener, removeMouseMotionListener, removeMouseWheelListener, removePropertyChangeListener, removePropertyChangeListener, repaint, repaint, repaint, repaint, requestFocus, requestFocus, requestFocusInWindow, requestFocusInWindow, reshape, resize, resize, setBackground, setBounds, setBounds, setComponentOrientation, setDropTarget, setEnabled, setFocusable, setFocusTraversalKeysEnabled, setForeground, setIgnoreRepaint, setLocale, setLocation, setLocation, setName, setSize, setSize, setVisible, show, size, toString, transferFocus, transferFocusUpCycle
 
Methods inherited from class java.lang.Object
clone, equals, getClass, hashCode, notify, notifyAll, wait, wait, wait
 
Methods inherited from interface java.awt.MenuContainer
getFont, postEvent
 

Constructor Detail

BondPaths

public BondPaths(LiborProcess LP,
                 double T,
                 double B0,
                 double dt,
                 int mPath)
Some parameter values are needed for the super class constructor (T,B0).

Parameters:
LP - the Libor process
T - bond maturity
B0 - bond value B(0,T)
dt - size of time step (must be T/timesteps=T/300).
mPath - number of paths displayed simultaneously.
Method Detail

nextPath

public double[] nextPath()
Alternates between Libor and driftless Libor set at time t=T_11.

Specified by:
nextPath in class PathFrame

main

public static void main(java.lang.String[] args)
Opens the window and displays a new path of Libor L_75 and the corresponding path of driftless Libor code>L^0_75 whenever the window is clicked.