Examples.Trading
Class BuyAndHold

java.lang.Object
  Examples.Trading.BuyAndHold

public class BuyAndHold

extends java.lang.Object

Console program allocating a constant volatility asset and examining the buy and hold strategy. 100 shares are bought at time t=0 and held to the horizon. Computes the means and standard deviations of:

• the gains from trading
• the maximum amount borrowed
• the maximum drawdown
• the annualized return on investment (compounded continuously)
• the number of trades

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

BuyAndHold()

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

BuyAndHold

public BuyAndHold()

Method Detail

main

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