Examples.Trading
Class AverageDown

java.lang.Object
  extended byExamples.Trading.AverageDown

public class AverageDown
extends java.lang.Object

Console program allocating a constant volatility asset and examining the strategy which averages down as follows: 100 shares are bought at time t=0. Each time the asset price declines 5% from the level of the last buy another 100 share are bought. Computes the means and standard deviations of:

All except the last quantity are discounted amounts and all are evaluated at the time horizon T. Parameters (time to expiration, volatility,...) fixed in source code. No user interaction. 10,000 paths of the underlying asset are simulated.


Constructor Summary
AverageDown()
           
 
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

AverageDown

public AverageDown()
Method Detail

main

public static void main(java.lang.String[] args)