TestAsianRQMCSeries.java

package tutorial;
 
import java.io.*;
import java.util.ArrayList;
import umontreal.ssj.rng.*;
import umontreal.ssj.hups.*;
import umontreal.ssj.mcqmctools.*;
import umontreal.ssj.stat.Tally;
import umontreal.ssj.stat.PgfDataTable;
 
public class TestAsianRQMCSeries extends AsianGBM implements MonteCarloModelDouble {
 
   public TestAsianRQMCSeries(double r, double sigma, double strike, double s0, int s, double[] zeta) {
      super(r, sigma, strike, s0, s, zeta);
   }
 
   @Override
   public void simulate(RandomStream stream) {
      generatePath(stream);
   }
 
   @Override
   public double getPerformance() {
      return getPayoff();
   }
 
   public int getDimension() {
      return d;
   }
 
   public String toString() {
      return "Asian option under GBM, for testing";
   }
   
   public String getTag() {
      return "AsianRQMCSeries";
   }
 
   public static void main(String[] args) throws IOException {
      // public static void main() {
      int s = 12; // Dimension (number of time steps).
      int dim = s;
      double[] zeta = new double[s + 1]; // The observation times.
      for (int j = 0; j <= s; j++)
         zeta[j] = (double) j / (double) s;
      TestAsianRQMCSeries model = new TestAsianRQMCSeries(0.05, 0.5, 100.0, 100.0, s, zeta);
      Tally statValue = new Tally("value of Asian option");
      // Tally statRQMC = new Tally("RQMC averages for Asian option");
 
      // RQMCExperimentDouble exper = new RQMCExperimentDouble();
      int n = 10000;
      System.out.println("Ordinary MC:\n");
      System.out.println(
            MonteCarloExperiment.simulateRunsDefaultReportStudent(model, n, new MRG32k3a(), statValue, 0.95, s));
 
      int base = 2; // Basis for the loglog plots.
      int numSets = 10; // Number of sets in the series.
      int numSkipReg = 1; // Number of sets skipped for the regression.
      int i;
      int m = 50; // Number of RQMC randomizations.
      int[] N = { 512, 1024, 2048, 4096, 8192, 16384, 32768, 65536, 131072, 262144, 524288, 1048576, 2097152 }; // 13
      int[] a = { 149, 275, 857, 1731, 2431, 6915, 12545, 19463, 50673, 96407, 204843, 443165, 768165 };
 
      // Create a list of series of RQMC point sets.
      ArrayList<RQMCPointSet[]> listOfSeries = new ArrayList<RQMCPointSet[]>();
      PointSet p;
      PointSetRandomization rand;
      RandomStream noise = new MRG32k3a();
 
      // Korobov lattice + baker
      RQMCPointSet[] theRQMCSetLattice = new RQMCPointSet[numSets];
      rand = new RandomShift(noise);
      for (i = 0; i < numSets; ++i) {
         p = new BakerTransformedPointSet(new KorobovLattice(N[i], a[i], dim));
         theRQMCSetLattice[i] = new RQMCPointSet(p, rand);
      }
      theRQMCSetLattice[0].setLabel("Lattice+baker+shift");
      listOfSeries.add(theRQMCSetLattice);
 
      // Sobol + LMS + shift
      RQMCPointSet[] theRQMCSetSobol = new RQMCPointSet[numSets];
      int mink = 9; // Smallest power of 2 considered.
      rand = new LMScrambleShift(noise);
      for (i = 0; i < numSets; ++i) {
         p = (new SobolSequence(i + mink, 31, dim));
         theRQMCSetSobol[i] = new RQMCPointSet(p, rand);
      }
      theRQMCSetSobol[0].setLabel("Sobol+LMS+Shift");
      listOfSeries.add(theRQMCSetSobol);
 
      RQMCExperimentSeries experSeries = new RQMCExperimentSeries(theRQMCSetLattice, base);
      experSeries.testVarianceRate(model, m);
      System.out.println(experSeries.reportVarianceRate(numSkipReg, true));
      System.out.println((experSeries.toPgfDataTable("Korobov+baker")).drawPgfPlotSingleCurve("Korobov+baker", "axis",
            3, 4, 2, "", "marks=*"));
 
      // Perform an experiment with a list of series of RQMC point sets.
      ArrayList<PgfDataTable> listCurves = new ArrayList<PgfDataTable>();
      System.out.println(experSeries.testVarianceRateManyPointTypes(model, listOfSeries, m, numSkipReg, true, true,
            true, listCurves));
      System.out.println("\n Now printing data table for the two curves  *****  \n\n\n");
      // Prints the data of each curve as a table.
      for (PgfDataTable curve : listCurves)
         System.out.println(curve.formatTable());
      // Produces LaTeX code to draw these curves with pgfplot.
      String plot = PgfDataTable.drawPgfPlotManyCurves("Korobov and Sobol", "loglogaxis", 0, 2, listCurves, 2, "", " ");
      System.out.println(plot);
 
      // Produces a complete LaTeX file with the plots.
      String pfile = (PgfDataTable.pgfplotFileHeader() + plot + PgfDataTable.pgfplotEndDocument());
      Writer file = new FileWriter("testPlotAsianRQMC.tex");
      file.write(pfile);
      file.close();
   }
 
}