辅导CPT206编程、写作Financial Mathematics

” 辅导CPT206编程、写作Financial MathematicsCPT206 Java Programming for Financial Mathematics:Coursework 2 Task SpecificationThomas SeligDue date: Sunday, 9 May, 2021, 10pmThis is the specification task sheet for the Coursework 2 assessment component of your CPT206module. This is worth 15% of your final grade for this module. The submission deadline for thisassignment is Sunday, 9 May, 2021, at 10pm. Detailed submission instructions are provided inSection 3.1 Task specification (60 marks)The aim of this coursework is to Implement the Hull-White model, which is a model of future interestrates. First described by John Hull and Alan White in 1990, this model is one of the historicallymost important interest rate models, and is still often used for risk-management purposes in themarket today. As part of this task, you will also produce a report documenting your design choices,detailed in Section 2.1.1 Model dynamicsThe model is a short-rate model, whose dynamics are given by the following equation:dr(t) = (t) ar(t)dt + dW(t). (1)In Equation (1), a and are positive constants, the function (t) is chosen so as to exactly fit theinitial yield curve observed in the market, and W(t) is a standard Brownian motion. This meansthat the differential dW(t) has normal distribution with mean 0 and variance dt.1.2 Task description (40 marks)You will write a Java program that Simulates the Hull-White model over a given time period.Your Java program should be written in a single Main class. It should take the following inputparameters: The constants a, , and the function (t) which drive the models behaviour. These shouldbe chosen by yourself (e.g. as class variables/constants), and the values selected will bedocumented in the report (see Section 2). An initial rate r0 0. A time period T 0 and a positive Integer n indicating the number of increment intervals.1The idea is to break down the time period [0, T] into n increment intervals of length dt =Tn,and apply the Euler method to Equation (1) to simulate the model over that time period. In otherwords, we should have: r(t = 0) = r0, and for any given time t =kTnfor some k {0, . . . , n 1},r(t + dt) = r(t) + dr(t), where the increment dr(t) is given by Equation (1).Your program should display the values of the rate function r(t) over the chosen time period(i.e. should show the values of r(t) for all t of the form t =kTnas above). It should also calculate theminimum, maximum and average values of the rate function, and display them. For the minimumand maximum, it should also display the point t at which these are reached.1.3 Code quality (20 marks)The remaining marks (20) for the coding part will be awarded for general code quality as seen inthe course materials to date. Here is some guidance. Keep your code neat and tidy; make sure it is properly indented throughout. Choose suitable names for variables and methods. Comment your code as needed. Split your code into separate methods as appropriate; code in the main method should bekept to a minimum; methods overall should not be too long.2 Report (40 marks)You will write a report providing some details on how you designed and implemented your program,as described in Section 1. Your report will consist of three main parts.2.1 Input parameter choices (15 marks)In this part, you should explain the choices you make for the parameters a, and the function (t)which drive the behaviour of your system. For this, you will need to do some short researches onthe Hull-White model and choose suitable values for these. Include links to any references used inyour report. This part should be no more than 1 page in length.2.2 Program design choices (15 marks)In this part, you should Explain the design choices you made for your Java program. You shouldconsider the following questions. What are the different members (class variables or methods) of your Java class? What istheir purpose? How did you proceed in implementing the models dynamics as described by Equation 1?How did you calculate minimum, maximum and average values of the rate function?This part should be no more than 1 page in length.2.3 Testing description (10 marks)In your report, you should include a description of the testing you undertake of your system. Stateclearly which functionalities you are testing, what test you are carrying out, and why. You may2include screenshots (of code, the output console, etc.) for clarity. This part should be no morethan 1 page in length, screenshots excluded.3 Submission instructionsIn the dedicated Coursework 3 submission Assignment activity on the Learning Mall Online, youwill need to submit the following two (2) documents. A plaintext .txt file, into which you have copied the source code of your Java class.This file should be named CPT206 CW2 Code studentId.txt. Your report from Section 2, typed into for instance a Word document, and converted intoa PDF file.This file should be named CPT206 CW2 Report studentId.pdf.The submission deadline is: Sunday, 9 May, 2021, 10pm.This assignment is individual work. Plagiarism (e.g. copying materials from other sourceswithout proper Acknowledgement) is a serious academic offence. Plagiarism and collusion will notbe tolerated and will be dealt with in accordance with the University Code of Practice on AcademicIntegrity. Submitting work created by others, whether paid for or not, is a serious offence, andwill be prosecuted vigorously. Individual students may be invited to explain parts of their code inperson during a dedicated BBB session, and if they fail to demonstrate an understanding of thecode, no credit will be given for that part of the code.Late submissions. The standard University policy on late submissions will apply: 5% ofthe total marks available for the component shall be deducted from the assessment mark for eachworking day after the Submission date, up to a maximum of five working days, so long as this doesnot reduce the mark below the pass mark (40%); submissions more than five working days late willnot be accepted.Good luck!请加QQ：99515681 或邮箱：99515681@qq.com WX：codehelp

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