Examples.Pricing
Class QMCversusMC_1

java.lang.Object
  extended byExamples.Pricing.QMCversusMC_1

public class QMCversusMC_1
extends java.lang.Object

A call on a constant volatility asset is valued using Monte Carlo and Quasi Monte Carlo simulation using the Sobol sequence. The valuation is carried out as a problem in any user defined dimension (the number of time steps to the horizon).

The results are compared to the analytic call price and the relative error of the following methods compared:

In each case uniform vectors are converted to normal ones using the inverse normal CDF on each coordinate. The relative error of the Monte Carlo price is reported as a histogram over a user defined number of Monte Carlo runs. Quasi Monte Carlo prices are deterministic, so only the value of the relative error is reported.

The user chooses the number of simulated paths for each Monte Carlo or Quasi Monte Carlo computation.


Constructor Summary
QMCversusMC_1()
           
 
Method Summary
static void main(java.lang.String[] args)
           
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

QMCversusMC_1

public QMCversusMC_1()
Method Detail

main

public static void main(java.lang.String[] args)
                 throws java.io.FileNotFoundException,
                        java.io.IOException
Throws:
java.io.FileNotFoundException
java.io.IOException