發帖 回復
返回列表
123
  • 2844閱讀
  • 30回復

PROGRAMMING 難題 (厚酬: 50000x2=100000好友元)(URGENT!!)(最主要都係睇NESTED FOR-LOOP!!) [復制鏈接]

 上一主題 下一主題
離線雲佬~~SY
特級會員
 
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看樓主 倒序閱讀 使用道具 樓主   發表于: 2011-04-15
是咁的,小弟有2個c++ programming遇到d阻滯, run 唔到D正常OUTPUT,望各位好友嘗面留條毛幫幫手睇下邊度有問題..如果成功的話(厚酬: 50000x2=100000好友元)
PS.有C++ SOFTWARE / VISUAL BASIC / VISUAL STUDIO 就最好不過~


其實依2個program 都係用d式去計option call/put price..
一個係CONSTANT ELASTICITY OF VARIANCE MODEl(cev),
另一個係JUMP DIFFUSION MODEL;



(最主要都係睇NESTED FOR-LOOP!!)同埋係咪ＬＯＧＩＣ　有問題？
[ 本文被雲佬~~SY在2011-04-16 20:34重新編輯 ]
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 1  發表于: 2011-04-15
第一個program: (PROGRAM１ GEＳＯＵＲＣＥ　ＣＯＤＥ）

復制代碼
  1. // CEV4_14.cpp : Defines the entry point for the console application.
  3. #include "stdafx.h"
  4. #include <fstream>
  5. #include <iostream>
  6. #include <math.h>
  7. #include <string>
  8. using namespace std;
  10. class price
  11. {
  12. public:
  13.       double strike;
  14.       double ca;
  15.       double pa;
  16.       double b;
  17.       double cc;
  18.       double pc;
  19.       double cv;
  20.       double pv;
  21.       double ctz;
  22.       double ctk;
  23.       double ctv;
  24.       double ctz1;
  25.       double ctk1;
  26.       double ctv1;
  27.       double ptz;
  28.       double ptk;
  29.       double ptv;
  30.       double ptz1;
  31.       double ptk1;
  32.       double ptv1;
  33.       double cchisq;
  34.       double cchisq1;
  35.       double pchisq;
  36.       double pchisq1;
  37.       double cp;
  38.       double pp;
  39.       double cmp;
  40.       double pmp;
  41. };
  43. double chisquare(double a,double b,double c,double d)
  44. {
  45.       double x=0;
  46.       double t[1500],w[1500],u[1500];
  47.       t[0]=((1/d))*(pow(a/2,b/2))*exp(-a/2);
  48.       u[0]=exp(-c/2);
  49.       w[0]=exp(-c/2);
  50.       x=w[0]*t[0];
  51.       for(int y=1;y<1500;y++)
  52.           {
  53.             t[y]=t[y-1]*(a/(b+2*y));
  54.             u[y]=u[y-1]*c/(2*y);
  55.             w[y]=w[y-1]+u[y];
  56.             x=x+w[y]*t[y];
  57.             }
  58.       return x;
  59. }
  62. int main(int argc, char** argv)
  63. {
  64. double S;
  65. double r,q,T;
  66. int alpha;
  67. int vol;
  68. double command;
  69. int i, VALUE=0;
  70. double p0=1, p1=76.18009173 , p2=-86.50532033 , p3=24.01409824;
  71. double p4=-1.231739572, p5=0.001208651, p6=-0.00000539524;
  72. double gamma_x, gamma, temp ;
  73. double tmp;
  74. double xx=0 , min=10000 , minalpha , minvol ;
  75. double zz=0 , min1=10000;
  76. cout << "Enter spot price:" << endl;
  77. cin >> command;
  78. S = command;
  79. cout << "Enter risk-free rate:" << endl;
  80. cin >> command;
  81. r = command;
  82. cout << "Enter dividend yield:" << endl;
  83. cin >> command;
  84. q = command;
  85. cout << "Enter period of maturity:" << endl;
  86. cin >> command;
  87. T = command;
  88. price K[30];
  89. i = 0;
  90. while (i==0)
  91. {
  92.   cout << "Enter strike price: (enter 9999 if there is no more strike price) " << endl;
  93.   cin >> command;
  94. if (command<9999)
  95.   {
  96.     K[VALUE].strike = command;
  97.     cout << "Enter put options' market price" << endl;
  98.     cin >> command;
  99.     K[VALUE].pmp = command;
  100.     cout << "Enter call options' market price" << endl;
  101.     cin >> command;
  102.     K[VALUE].cmp = command;
  103.     VALUE++;
  104.   }
  105. else            
  106. {i=1;}
  107. }
  113. for(vol=1;vol<500;vol++)
  114. {
  115.   for(alpha=1;alpha<300;alpha++)
  116.   {
  117.       for (i=0;i<VALUE;i++)
  118.       {
  119.       K[i].cv=((vol*vol/10000)/(2*(r-q)*(alpha/100-1)))*(exp(2*(r-q)*(alpha/100-1)*T)-1);
  120.       K[i].pv=((vol*vol/10000)/(2*(r-q)*(alpha/100-1)))*(exp(2*(r-q)*(alpha/100-1)*T)-1);
  121.       K[i].ca=pow((K[i].strike*exp (-(r-q)*T)),(2*(1-alpha/100)))/(((1-alpha)*(1-alpha))*K[i].cv);
  122.       K[i].pa=pow((K[i].strike*exp (-(r-q)*T)),(2*(1-alpha/100)))/(((1-alpha)*(1-alpha))*K[i].pv);
  123.       K[i].b=1/(1-alpha/100);
  124.       K[i].cc=pow(S,2*(1-alpha/100))/(((1-alpha)*(1-alpha))*K[i].cv);
  125.       K[i].pc=pow(S,2*(1-alpha/100))/(((1-alpha)*(1-alpha))*K[i].pv);
  126.       };
  128.       for(int i=0;i<VALUE;i++)
  129.       { if(alpha/100<1)
  130.         {
  131.         K[i].ctz=K[i].ca ;
  132.         K[i].ctk=K[i].b + 2 ;
  133.         K[i].ctv=K[i].cc ;
  134.         K[i].ctz1=K[i].cc ;
  135.         K[i].ctk1=K[i].b ;
  136.         K[i].ctv1=K[i].ca ;
  137.         K[i].ptz=K[i].pc ;
  138.         K[i].ptk=K[i].b ;
  139.         K[i].ptv=K[i].pa ;
  140.         K[i].ptz1=K[i].pa ;
  141.         K[i].ptk1=K[i].b+2 ;
  142.         K[i].ptv1=K[i].pc ;
  143.         }
  144.         else {
  145.         K[i].ctz=K[i].cc ;
  146.         K[i].ctk=-K[i].b ;
  147.         K[i].ctv=K[i].ca ;
  148.         K[i].ctz1=K[i].ca ;
  149.         K[i].ctk1=2-K[i].b ;
  150.         K[i].ctv1=K[i].cc ;
  151.         K[i].ptz=K[i].pa ;
  152.         K[i].ptk=2-K[i].b ;
  153.         K[i].ptv=K[i].pc ;
  154.         K[i].ptz1=K[i].pc ;
  155.         K[i].ptk1=K[i].b ;
  156.         K[i].ptv1=K[i].pa ;}
  158.         gamma_x=K[i].ctk/2+1;
  159.         temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  160.         gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  161.         tmp=chisquare(K[i].ctz,K[i].ctk,K[i].ctv,gamma);
  162.         K[i].cchisq=tmp;
  163.         gamma_x=K[i].ctk1/2+1;
  164.         temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  165.         gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  166.         tmp=chisquare(K[i].ctz1,K[i].ctk1,K[i].ctv1,gamma);
  167.         K[i].cchisq1=tmp;
  168.         gamma_x=K[i].ptk/2+1;
  169.         temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  170.         gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  171.         tmp=chisquare(K[i].ptz,K[i].ptk,K[i].ptv,gamma);
  172.         K[i].pchisq1=tmp;
  173.         gamma_x=K[i].ptk1/2+1;
  174.         temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  175.         gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  176.         tmp=chisquare(K[i].ptz1,K[i].ptk1,K[i].ptv1,gamma);
  177.         K[i].pchisq=tmp;
  179.         K[i].cp=S*exp(-q*T)*(1-K[i].cchisq)-K[i].strike*exp(-r*T)*K[i].cchisq1;
  180.         K[i].pp=K[i].strike*exp(-r*T)*(1-K[i].pchisq1)-S*exp(-q*T)*K[i].pchisq;
  182.       };
  184.         xx=0;
  185.         zz=0;
  187.       for(int i=0;i<VALUE;i++)
  188.       {   //xx==0;
  189.         xx=xx+(pow(K[i].cp-K[i].cmp,2))+pow(K[i].pp-K[i].pmp,2);
  190.       };
  191.       if(xx<min)
  192.       {min=xx;
  193.       minalpha=alpha/100;
  194.       minvol=vol/100;
  195.       }
  197. }//for loop(alpha)
  198. }//for loop(vol)
  200. cout<<"Summation of the least square test :"<<min<<endl;
  201. cout<<"Corresponding alpha:"<<minalpha<<endl;
  202. cout<<"Corresponding sigma:"<<minvol<<endl;
  204. alpha=minalpha;
  205. vol=minvol;
  206. /*
  207. for (i=0;i<VALUE;i++)
  208. {
  209.   K[i].cv=((vol*vol)/(2*(r-q)*(alpha-1)))*(exp(2*(r-q)*(alpha-1)*T)-1);
  210.   K[i].pv=((vol*vol)/(2*(r-q)*(alpha-1)))*(exp(2*(r-q)*(alpha-1)*T)-1);
  211.   K[i].ca=pow((K[i].strike*exp (-(r-q)*T)),(2*(1-alpha)))/((pow(1-alpha,2))*K[i].cv);
  212.   K[i].pa=pow((K[i].strike*exp (-(r-q)*T)),(2*(1-alpha)))/((pow(1-alpha,2))*K[i].pv);
  213.   K[i].b=1/(1-alpha);
  214.   K[i].cc=pow (S,2*(1-alpha))/(pow((1-alpha),2)*K[i].cv);
  215.   K[i].pc=pow (S,2*(1-alpha))/(pow((1-alpha),2)*K[i].pv);
  216. }
  217. for(i=0;i<VALUE;i++)
  218. { if(alpha<1)
  219. {
  220.   K[i].ctz=K[i].ca ;
  221.   K[i].ctk=K[i].b + 2 ;
  222.   K[i].ctv=K[i].cc ;
  223.   K[i].ctz1=K[i].cc ;
  224.   K[i].ctk1=K[i].b ;
  225.   K[i].ctv1=K[i].ca ;
  226.   K[i].ptz=K[i].pc ;
  227.   K[i].ptk=K[i].b ;
  228.   K[i].ptv=K[i].pa ;
  229.   K[i].ptz1=K[i].pa ;
  230.   K[i].ptk1=K[i].b+2 ;
  231.   K[i].ptv1=K[i].pc ;
  232. }
  233. else {
  235.   K[i].ctz=K[i].cc ;
  236.   K[i].ctk=-K[i].b ;
  237.   K[i].ctv=K[i].ca ;
  238.   K[i].ctz1=K[i].ca ;
  239.   K[i].ctk1=2-K[i].b ;
  240.   K[i].ctv1=K[i].cc ;
  241.   K[i].ptz=K[i].pa ;
  242.   K[i].ptk=2-K[i].b ;
  243.   K[i].ptv=K[i].pc ;
  244.   K[i].ptz1=K[i].pc ;
  245.   K[i].ptk1=K[i].b ;
  246.   K[i].ptv1=K[i].pa ; }
  248. gamma_x=K[i].ctk/2+1;
  249. temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  250. gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  251. tmp=chisquare(K[i].ctz,K[i].ctk,K[i].ctv,gamma);
  252. K[i].cchisq=tmp;
  253. gamma_x=K[i].ctk1/2+1;
  254. temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  255. gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  256. tmp=chisquare(K[i].ctz1,K[i].ctk1,K[i].ctv1,gamma);
  257. K[i].cchisq1=tmp;
  258. gamma_x=K[i].ptk/2+1;
  259. temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  260. gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  261. tmp=chisquare(K[i].ptz,K[i].ptk,K[i].ptv,gamma);
  262. K[i].pchisq1=tmp;
  263. gamma_x=K[i].ptk1/2+1;
  264. temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
  265. gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
  266. tmp=chisquare(K[i].ptz1,K[i].ptk1,K[i].ptv1,gamma);
  267. K[i].pchisq=tmp;
  269. K[i].cp=S*exp(-q*T)*(1-K[i].cchisq)-K[i].strike*exp(-r*T)*K[i].cchisq1;
  270. K[i].pp=K[i].strike*exp(-r*T)*(1-K[i].pchisq1)-S*exp(-q*T)*K[i].pchisq;
  272. }*/
  274. for(int i=0;i<VALUE;i++)
  275. {   cout << "For Strike Price =" << K[i].strike << ", call price ="<<K[i].cp<<endl;
  276.   cout << "For Strike Price =" << K[i].strike << ", put price ="<<K[i].pp<<endl;
  277.   }
  279. return (0);
  280. }
[ 本文被雲佬~~SY在2011-04-16 20:33重新編輯 ]
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 2  發表于: 2011-04-15
第2個program:（ＳＯＵＲＣＥ　ＣＯＤＥ）





復制代碼
  1. // jd41414141.cpp : Defines the entry point for the console application.
  2. //
  4. #include "stdafx.h"
  5. #include <iostream>
  6. #include <math.h>
  7. using namespace std ;
  8. //#undef main
  10. double EuroCall(double S,double K,double r,double q,double T,double sig_call,double lambda,double k,double s,int n);
  11. double EuroPut(double S,double K,double r, double q,double T,double sig_put,double lambda,double k,double s,int n);
  12. double NP(double x);
  13. double N(double x);
  15. int main(int argc, char** argv)
  16. {
  17. double S;     // price of stock or underlying security
  18. double K1;     // strike price
  19. double K2;
  20. double K3;
  21. double K4;
  22. double K5;
  23. double K6;
  24. double K7;
  25. double K8;
  26. double K9;
  27. double K10;
  28. double K11;
  29. double K12;
  30. double K13;
  31. double K14;
  32. double K15;
  33. double r;     // interest rate
  34. double q;     // divident yield
  35. double T;     // reminding life
  36. double sigma;   // fixed voltility
  37. double lambda; // average number of jumps per year
  38. double k;     // average jump sizw measured as a percentage of the asset price
  39. double s;     // stardard deviation of the normal distribution for logarithm of the size of the percentage jump
  40. int n ;
  41. int VALUE = 30 ; // number of iteration
  43. double market_call_1;
  44. double market_call_2;
  45. double market_call_3;
  46. double market_call_4;
  47. double market_call_5;
  48. double market_call_6;
  49. double market_call_7;
  50. double market_call_8;
  51. double market_call_9;
  52. double market_call_10;
  53. double market_call_11;
  54. double market_call_12;
  55. double market_call_13;
  56. double market_call_14;
  57. double market_call_15;
  59. double market_put_1;
  60. double market_put_2;
  61. double market_put_3;
  62. double market_put_4;
  63. double market_put_5;
  64. double market_put_6;
  65. double market_put_7;
  66. double market_put_8;
  67. double market_put_9;
  68. double market_put_10;
  69. double market_put_11;
  70. double market_put_12;
  71. double market_put_13;
  72. double market_put_14;
  73. double market_put_15;
  75. cout << " Enter spot price :" << endl;
  76. cin >> S;
  77. cout << " Enter risk-free rate :" << endl;
  78. cin >> r;
  79. cout << " Enter dividend yield :" << endl;
  80. cin >> q;
  81. cout << " Enter period of maturity :" << endl;
  82. cin >> T;
  83. cout << endl;
  84. cout << " Enter 15 strike prices with corresponding market call and put prices:" << endl ;
  86. cout << endl;
  88. cout << " Enter strike price 1 :" <<endl;
  89. cin >> K1;
  90. cout << " Enter call option 1 market price :" <<endl;
  91. cin >> market_call_1;
  92. cout << " Enter put option market price :" <<endl;
  93. cin >> market_put_1;
  95. cout << endl;
  97. cout << " Enter strike price 2 :" <<endl;
  98. cin >> K2;
  99. cout << " Enter call option 2 market price :" <<endl;
  100. cin >> market_call_2;
  101. cout << " Enter put option 2 market price :" <<endl;
  102. cin >> market_put_2;
  104. cout << endl;
  106. cout << " Enter strike price 3:" <<endl;
  107. cin >> K3;
  108. cout << " Enter call option 3 market price :" <<endl;
  109. cin >> market_call_3;
  110. cout << " Enter put option 3 market price :" <<endl;
  111. cin >> market_put_3;
  113. cout << endl;
  115. cout << " Enter strike price 4 :" <<endl;
  116. cin >> K4;
  117. cout << " Enter call option 4 market price :" <<endl;
  118. cin >> market_call_4;
  119. cout << " Enter put option 4 market price :" <<endl;
  120. cin >> market_put_4;
  122. cout << endl;
  124. cout << " Enter strike price 5 :" <<endl;
  125. cin >> K5;
  126. cout << " Enter call option 5 market price :" <<endl;
  127. cin >> market_call_5;
  128. cout << " Enter put option 5 market price :" <<endl;
  129. cin >> market_put_5;
  131. cout << endl;
  133. cout << " Enter strike price 6 :" <<endl;
  134. cin >> K6;
  135. cout << " Enter call option 6 market price :" <<endl;
  136. cin >> market_call_6;
  137. cout << " Enter put option 6 market price :" <<endl;
  138. cin >> market_put_6;
  140. cout << endl;
  142. cout << " Enter strike price 7 :" <<endl;
  143. cin >> K7;
  144. cout << " Enter call option 7 market price :" <<endl;
  145. cin >> market_call_7;
  146. cout << " Enter put option 7 market price :" <<endl;
  147. cin >> market_put_7;
  149. cout << endl;
  151. cout << " Enter strike price 8 :" <<endl;
  152. cin >> K8;
  153. cout << " Enter call option 8 market price :" <<endl;
  154. cin >> market_call_8;
  155. cout << " Enter put option 8 market price :" <<endl;
  156. cin >> market_put_8;
  158. cout << endl;
  160. cout << " Enter strike price 9 :" <<endl;
  161. cin >> K9;
  162. cout << " Enter call option 9 market price :" <<endl;
  163. cin >> market_call_9;
  164. cout << " Enter put option 9 market price :" <<endl;
  165. cin >> market_put_9;
  167. cout << endl;
  169. cout << " Enter strike price 10:" <<endl;
  170. cin >> K10;
  171. cout << " Enter call option 10 market price :" <<endl;
  172. cin >> market_call_10;
  173. cout << " Enter put option 10 market price :" <<endl;
  174. cin >> market_put_10;
  176. cout << endl;
  178. cout << " Enter strike price 11 :" <<endl;
  179. cin >> K11;
  180. cout << " Enter call option 11 market price :" <<endl;
  181. cin >> market_call_11;
  182. cout << " Enter put option 11 market price :" <<endl;
  183. cin >> market_put_11;
  185. cout << endl;
  187. cout << " Enter strike price 12 :" <<endl;
  188. cin >> K12;
  189. cout << " Enter call option 12 market price :" <<endl;
  190. cin >> market_call_12;
  191. cout << " Enter put option 12 market price :" <<endl;
  192. cin >> market_put_12;
  194. cout << endl;
  196. cout << " Enter strike price 13 :" <<endl;
  197. cin >> K13;
  198. cout << " Enter call option 13 market price :" <<endl;
  199. cin >> market_call_13;
  200. cout << " Enter put option 13 market price :" <<endl;
  201. cin >> market_put_13;
  203. cout << endl;
  205. cout << " Enter strike price 14 :" <<endl;
  206. cin >> K14;
  207. cout << " Enter call option 14 market price :" <<endl;
  208. cin >> market_call_14;
  209. cout << " Enter put option 14 market price :" <<endl;
  210. cin >> market_put_14;
  212. cout << endl;
  214. cout << " Enter strike price 15 :" <<endl;
  215. cin >> K15;
  216. cout << " Enter call option 15 market price :" <<endl;
  217. cin >> market_call_15;
  218. cout << " Enter put option 15 market price :" <<endl;
  219. cin >> market_put_15;
  221. cout << endl;
  223. cout<<"In progress ... "<< endl;
  224. cout << endl;
  226. int a=0;
  228. double temp_min_call;
  229. double temp_min_put;
  230. double min_call;
  231. double min_put;
  232. double min_sum;
  234. int min_i_call;
  235. int min_h_put;
  237. int h;
  238. int i;
  239. int j;
  240. static int factorial[300000];
  241. static double temp[300000];
  243. static double f_call_1[300000];
  244. static double f_call_2[300000];
  245. static double f_call_3[300000];
  246. static double f_call_4[300000];
  247. static double f_call_5[300000];
  248. static double f_call_6[300000];
  249. static double f_call_7[300000];
  250. static double f_call_8[300000];
  251. static double f_call_9[300000];
  252. static double f_call_10[300000];
  253. static double f_call_11[300000];
  254. static double f_call_12[300000];
  255. static double f_call_13[300000];
  256. static double f_call_14[300000];
  257. static double f_call_15[300000];
  259. static double f_put_1[300000];
  260. static double f_put_2[300000];
  261. static double f_put_3[300000];
  262. static double f_put_4[300000];
  263. static double f_put_5[300000];
  264. static double f_put_6[300000];
  265. static double f_put_7[300000];
  266. static double f_put_8[300000];
  267. static double f_put_9[300000];
  268. static double f_put_10[300000];
  269. static double f_put_11[300000];
  270. static double f_put_12[300000];
  271. static double f_put_13[300000];
  272. static double f_put_14[300000];
  273. static double f_put_15[300000];
  275. class merton
  276. {
  277. public :
  278.   double price;
  279.   double jump_num;  
  280.   double jump_size;  
  281.   double sd;
  282.   double vol;
  283. };
  286. static double merton_call_1[300000];
  287. static double merton_call_2[300000];
  288. static double merton_call_3[300000];
  289. static double merton_call_4[300000];
  290. static double merton_call_5[300000];
  291. static double merton_call_6[300000];
  292. static double merton_call_7[300000];
  293. static double merton_call_8[300000];
  294. static double merton_call_9[300000];
  295. static double merton_call_10[300000];
  296. static double merton_call_11[300000];
  297. static double merton_call_12[300000];
  298. static double merton_call_13[300000];
  299. static double merton_call_14[300000];
  300. static double merton_call_15[300000];
  302. static double merton_put_1[300000];
  303. static double merton_put_2[300000];
  304. static double merton_put_3[300000];
  305. static double merton_put_4[300000];
  306. static double merton_put_5[300000];
  307. static double merton_put_6[300000];
  308. static double merton_put_7[300000];
  309. static double merton_put_8[300000];
  310. static double merton_put_9[300000];
  311. static double merton_put_10[300000];
  312. static double merton_put_11[300000];
  313. static double merton_put_12[300000];
  314. static double merton_put_13[300000];
  315. static double merton_put_14[300000];
  316. static double merton_put_15[300000];
  318. static merton temp_call_1[300000];
  319. static merton temp_call_2[300000];
  320. static merton temp_call_3[300000];
  321. static merton temp_call_4[300000];
  322. static merton temp_call_5[300000];
  323. static merton temp_call_6[300000];
  324. static merton temp_call_7[300000];
  325. static merton temp_call_8[300000];
  326. static merton temp_call_9[300000];
  327. static merton temp_call_10[300000];
  328. static merton temp_call_11[300000];
  329. static merton temp_call_12[300000];
  330. static merton temp_call_13[300000];
  331. static merton temp_call_14[300000];
  332. static merton temp_call_15[300000];
  334. static merton temp_put_1[300000];
  335. static merton temp_put_2[300000];
  336. static merton temp_put_3[300000];
  337. static merton temp_put_4[300000];
  338. static merton temp_put_5[300000];
  339. static merton temp_put_6[300000];
  340. static merton temp_put_7[300000];
  341. static merton temp_put_8[300000];
  342. static merton temp_put_9[300000];
  343. static merton temp_put_10[300000];
  344. static merton temp_put_11[300000];
  345. static merton temp_put_12[300000];
  346. static merton temp_put_13[300000];
  347. static merton temp_put_14[300000];
  348. static merton temp_put_15[300000];
  350. for (sigma=0;sigma<=1 ; sigma+=0.1)
  352. {
  354. for (lambda=0;lambda<=1 ; lambda+=0.1)
  356. {
  358. for (k=0;k<=1 ; k+=0.1)
  360. {
  362. for (s=0;s<=1 ; s+=0.1)
  364. {
  366. for (n=0;n<=VALUE ; n++)
  367. {
  369. double callPrice_1;
  370. double callPrice_2;
  371. double callPrice_3;
  372. double callPrice_4;
  373. double callPrice_5;
  374. double callPrice_6;
  375. double callPrice_7;
  376. double callPrice_8;
  377. double callPrice_9;
  378. double callPrice_10;
  379. double callPrice_11;
  380. double callPrice_12;
  381. double callPrice_13;
  382. double callPrice_14;
  383. double callPrice_15;
  385. double putPrice_1;
  386. double putPrice_2;
  387. double putPrice_3;
  388. double putPrice_4;
  389. double putPrice_5;
  390. double putPrice_6;
  391. double putPrice_7;
  392. double putPrice_8;
  393. double putPrice_9;
  394. double putPrice_10;
  395. double putPrice_11;
  396. double putPrice_12;
  397. double putPrice_13;
  398. double putPrice_14;
  399. double putPrice_15;
  401. callPrice_1 = EuroCall (S , K1 , r , q , T , sigma , lambda , k , s , n );
  402. callPrice_2 = EuroCall (S , K2 , r , q , T , sigma , lambda , k , s , n );
  403. callPrice_3 = EuroCall (S , K3 , r , q , T , sigma , lambda , k , s , n );
  404. callPrice_4 = EuroCall (S , K4 , r , q , T , sigma , lambda , k , s , n );
  405. callPrice_5 = EuroCall (S , K5 , r , q , T , sigma , lambda , k , s , n );
  406. callPrice_6 = EuroCall (S , K6 , r , q , T , sigma , lambda , k , s , n );
  407. callPrice_7 = EuroCall (S , K7 , r , q , T , sigma , lambda , k , s , n );
  408. callPrice_8 = EuroCall (S , K8 , r , q , T , sigma , lambda , k , s , n );
  409. callPrice_9 = EuroCall (S , K9 , r , q , T , sigma , lambda , k , s , n );
  410. callPrice_10 = EuroCall (S , K10 , r , q , T , sigma , lambda , k , s , n );
  411. callPrice_11 = EuroCall (S , K11 , r , q , T , sigma , lambda , k , s , n );
  412. callPrice_12 = EuroCall (S , K12 , r , q , T , sigma , lambda , k , s , n );
  413. callPrice_13 = EuroCall (S , K13 , r , q , T , sigma , lambda , k , s , n );
  414. callPrice_14 = EuroCall (S , K14 , r , q , T , sigma , lambda , k , s , n );
  415. callPrice_15 = EuroCall (S , K15 , r , q , T , sigma , lambda , k , s , n );
  417. putPrice_1 = EuroPut (S , K1 , r , q , T , sigma , lambda , k , s , n );
  418. putPrice_2 = EuroPut (S , K2 , r , q , T , sigma , lambda , k , s , n );
  419. putPrice_3 = EuroPut (S , K3 , r , q , T , sigma , lambda , k , s , n );
  420. putPrice_4 = EuroPut (S , K4 , r , q , T , sigma , lambda , k , s , n );
  421. putPrice_5 = EuroPut (S , K5 , r , q , T , sigma , lambda , k , s , n );
  422. putPrice_6 = EuroPut (S , K6 , r , q , T , sigma , lambda , k , s , n );
  423. putPrice_7 = EuroPut (S , K7 , r , q , T , sigma , lambda , k , s , n );
  424. putPrice_8 = EuroPut (S , K8 , r , q , T , sigma , lambda , k , s , n );
  425. putPrice_9 = EuroPut (S , K9 , r , q , T , sigma , lambda , k , s , n );
  426. putPrice_10 = EuroPut (S , K10 , r , q , T , sigma , lambda , k , s , n );
  427. putPrice_11 = EuroPut (S , K11 , r , q , T , sigma , lambda , k , s , n );
  428. putPrice_12 = EuroPut (S , K12 , r , q , T , sigma , lambda , k , s , n );
  429. putPrice_13 = EuroPut (S , K13 , r , q , T , sigma , lambda , k , s , n );
  430. putPrice_14 = EuroPut (S , K14 , r , q , T , sigma , lambda , k , s , n );
  431. putPrice_15 = EuroPut (S , K15 , r , q , T , sigma , lambda , k , s , n );
  433. f_call_1[n] = callPrice_1;
  434. f_call_2[n] = callPrice_2;
  435. f_call_3[n] = callPrice_3;
  436. f_call_4[n] = callPrice_4;
  437. f_call_5[n] = callPrice_5;
  438. f_call_6[n] = callPrice_6;
  439. f_call_7[n] = callPrice_7;
  440. f_call_8[n] = callPrice_8;
  441. f_call_9[n] = callPrice_9;
  442. f_call_10[n] = callPrice_10;
  443. f_call_11[n] = callPrice_11;
  444. f_call_12[n] = callPrice_12;
  445. f_call_13[n] = callPrice_13;
  446. f_call_14[n] = callPrice_14;
  447. f_call_15[n] = callPrice_15;
  450. f_put_1[n] = putPrice_1;
  451. f_put_2[n] = putPrice_2;
  452. f_put_3[n] = putPrice_3;
  453. f_put_4[n] = putPrice_4;
  454. f_put_5[n] = putPrice_5;
  455. f_put_6[n] = putPrice_6;
  456. f_put_7[n] = putPrice_7;
  457. f_put_8[n] = putPrice_8;
  458. f_put_9[n] = putPrice_9;
  459. f_put_10[n] = putPrice_10;
  460. f_put_11[n] = putPrice_11;
  461. f_put_12[n] = putPrice_12;
  462. f_put_13[n] = putPrice_13;
  463. f_put_14[n] = putPrice_14;
  464. f_put_15[n] = putPrice_15;
  466. }
  468. j = 1 ;
  470. factorial[0] = 1;
  472. for (i=1; i<=VALUE; i++)
  473. {
  474.   j=j*1;
  475.   factorial[i] = j;
  476. }
  478. temp[0] = 1;
  480. for ( i=0; i<VALUE ; i++)
  481. {
  482.   temp[i+1] = ( lambda*(1+k)*T) * temp [i];
  483. }
  485. merton_call_1[0] = exp(-(lambda*(1+k)*T)) * f_call_1[0];
  486. merton_call_2[0] = exp(-(lambda*(1+k)*T)) * f_call_2[0];
  487. merton_call_3[0] = exp(-(lambda*(1+k)*T)) * f_call_3[0];
  488. merton_call_4[0] = exp(-(lambda*(1+k)*T)) * f_call_4[0];
  489. merton_call_5[0] = exp(-(lambda*(1+k)*T)) * f_call_5[0];
  490. merton_call_6[0] = exp(-(lambda*(1+k)*T)) * f_call_6[0];
  491. merton_call_7[0] = exp(-(lambda*(1+k)*T)) * f_call_7[0];
  492. merton_call_8[0] = exp(-(lambda*(1+k)*T)) * f_call_8[0];
  493. merton_call_9[0] = exp(-(lambda*(1+k)*T)) * f_call_9[0];
  494. merton_call_10[0] = exp(-(lambda*(1+k)*T)) * f_call_10[0];
  495. merton_call_11[0] = exp(-(lambda*(1+k)*T)) * f_call_11[0];
  496. merton_call_12[0] = exp(-(lambda*(1+k)*T)) * f_call_12[0];
  497. merton_call_13[0] = exp(-(lambda*(1+k)*T)) * f_call_13[0];
  498. merton_call_14[0] = exp(-(lambda*(1+k)*T)) * f_call_14[0];
  499. merton_call_15[0] = exp(-(lambda*(1+k)*T)) * f_call_15[0];
  502. merton_put_1[0] = exp(-(lambda*(1+k)*T)) * f_put_1[0];
  503. merton_put_2[0] = exp(-(lambda*(1+k)*T)) * f_put_2[0];
  504. merton_put_3[0] = exp(-(lambda*(1+k)*T)) * f_put_3[0];
  505. merton_put_4[0] = exp(-(lambda*(1+k)*T)) * f_put_4[0];
  506. merton_put_5[0] = exp(-(lambda*(1+k)*T)) * f_put_5[0];
  507. merton_put_6[0] = exp(-(lambda*(1+k)*T)) * f_put_6[0];
  508. merton_put_7[0] = exp(-(lambda*(1+k)*T)) * f_put_7[0];
  509. merton_put_8[0] = exp(-(lambda*(1+k)*T)) * f_put_8[0];
  510. merton_put_9[0] = exp(-(lambda*(1+k)*T)) * f_put_9[0];
  511. merton_put_10[0] = exp(-(lambda*(1+k)*T)) * f_put_10[0];
  512. merton_put_11[0] = exp(-(lambda*(1+k)*T)) * f_put_11[0];
  513. merton_put_12[0] = exp(-(lambda*(1+k)*T)) * f_put_12[0];
  514. merton_put_13[0] = exp(-(lambda*(1+k)*T)) * f_put_13[0];
  515. merton_put_14[0] = exp(-(lambda*(1+k)*T)) * f_put_14[0];
  516. merton_put_15[0] = exp(-(lambda*(1+k)*T)) * f_put_15[0];
  518. for (i=0 ; i<VALUE; i++)
  519. {
  520.   merton_call_1[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_1[i+1]) / factorial[i+1]) + merton_call_1[i];
  521.   merton_call_2[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_2[i+1]) / factorial[i+1]) + merton_call_2[i];
  522.   merton_call_3[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_3[i+1]) / factorial[i+1]) + merton_call_3[i];
  523.   merton_call_4[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_4[i+1]) / factorial[i+1]) + merton_call_4[i];
  524.   merton_call_5[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_5[i+1]) / factorial[i+1]) + merton_call_5[i];
  525.   merton_call_6[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_6[i+1]) / factorial[i+1]) + merton_call_6[i];
  526.   merton_call_7[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_7[i+1]) / factorial[i+1]) + merton_call_7[i];
  527.   merton_call_8[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_8[i+1]) / factorial[i+1]) + merton_call_8[i];
  528.   merton_call_9[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_9[i+1]) / factorial[i+1]) + merton_call_9[i];
  529.   merton_call_10[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_10[i+1]) / factorial[i+1]) + merton_call_10[i];
  530.   merton_call_11[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_11[i+1]) / factorial[i+1]) + merton_call_11[i];
  531.   merton_call_12[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_12[i+1]) / factorial[i+1]) + merton_call_12[i];
  532.   merton_call_13[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_13[i+1]) / factorial[i+1]) + merton_call_13[i];
  533.   merton_call_14[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_14[i+1]) / factorial[i+1]) + merton_call_14[i];
  534.   merton_call_15[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_call_15[i+1]) / factorial[i+1]) + merton_call_15[i];
  536.   merton_put_1[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_1[i+1]) / factorial [i+1]) + merton_put_1[i];
  537.   merton_put_2[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_2[i+1]) / factorial [i+1]) + merton_put_2[i];
  538.   merton_put_3[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_3[i+1]) / factorial [i+1]) + merton_put_3[i];
  539.   merton_put_4[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_4[i+1]) / factorial [i+1]) + merton_put_4[i];
  540.   merton_put_5[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_5[i+1]) / factorial [i+1]) + merton_put_5[i];
  541.   merton_put_6[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_6[i+1]) / factorial [i+1]) + merton_put_6[i];
  542.   merton_put_7[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_7[i+1]) / factorial [i+1]) + merton_put_7[i];
  543.   merton_put_8[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_8[i+1]) / factorial [i+1]) + merton_put_8[i];
  544.   merton_put_9[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_9[i+1]) / factorial [i+1]) + merton_put_9[i];
  545.   merton_put_10[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_10[i+1]) / factorial [i+1]) + merton_put_10[i];
  546.   merton_put_11[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_11[i+1]) / factorial [i+1]) + merton_put_11[i];
  547.   merton_put_12[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_12[i+1]) / factorial [i+1]) + merton_put_12[i];
  548.   merton_put_13[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_13[i+1]) / factorial [i+1]) + merton_put_13[i];
  549.   merton_put_14[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_14[i+1]) / factorial [i+1]) + merton_put_14[i];
  550.   merton_put_15[i+1] = ((exp(-(lambda*(1+k)*T)) * temp[i+1] * f_put_15[i+1]) / factorial [i+1]) + merton_put_15[i];
  552.   }
  554. temp_call_1[a].price = merton_call_1[VALUE];
  555. temp_call_1[a].jump_num = lambda;
  556. temp_call_1[a].jump_size = k;
  557. temp_call_1[a].sd = s;
  558. temp_call_1[a].vol = sigma;
  560. temp_call_2[a].price = merton_call_2[VALUE];
  561. temp_call_2[a].jump_num = lambda;
  562. temp_call_2[a].jump_size = k;
  563. temp_call_2[a].sd = s;
  564. temp_call_2[a].vol = sigma;
  566. temp_call_3[a].price = merton_call_3[VALUE];
  567. temp_call_3[a].jump_num = lambda;
  568. temp_call_3[a].jump_size = k;
  569. temp_call_3[a].sd = s;
  570. temp_call_3[a].vol = sigma;
  572. temp_call_4[a].price = merton_call_4[VALUE];
  573. temp_call_4[a].jump_num = lambda;
  574. temp_call_4[a].jump_size = k;
  575. temp_call_4[a].sd = s;
  576. temp_call_4[a].vol = sigma;
  578. temp_call_5[a].price = merton_call_5[VALUE];
  579. temp_call_5[a].jump_num = lambda;
  580. temp_call_5[a].jump_size = k;
  581. temp_call_5[a].sd = s;
  582. temp_call_5[a].vol = sigma;
  584. temp_call_6[a].price = merton_call_6[VALUE];
  585. temp_call_6[a].jump_num = lambda;
  586. temp_call_6[a].jump_size = k;
  587. temp_call_6[a].sd = s;
  588. temp_call_6[a].vol = sigma;
  590. temp_call_7[a].price = merton_call_7[VALUE];
  591. temp_call_7[a].jump_num = lambda;
  592. temp_call_7[a].jump_size = k;
  593. temp_call_7[a].sd = s;
  594. temp_call_7[a].vol = sigma;
  596. temp_call_8[a].price = merton_call_8[VALUE];
  597. temp_call_8[a].jump_num = lambda;
  598. temp_call_8[a].jump_size = k;
  599. temp_call_8[a].sd = s;
  600. temp_call_8[a].vol = sigma;
  602. temp_call_9[a].price = merton_call_9[VALUE];
  603. temp_call_9[a].jump_num = lambda;
  604. temp_call_9[a].jump_size = k;
  605. temp_call_9[a].sd = s;
  606. temp_call_9[a].vol = sigma;
  608. temp_call_10[a].price = merton_call_10[VALUE];
  609. temp_call_10[a].jump_num = lambda;
  610. temp_call_10[a].jump_size = k;
  611. temp_call_10[a].sd = s;
  612. temp_call_10[a].vol = sigma;
  614. temp_call_11[a].price = merton_call_11[VALUE];
  615. temp_call_11[a].jump_num = lambda;
  616. temp_call_11[a].jump_size = k;
  617. temp_call_11[a].sd = s;
  618. temp_call_11[a].vol = sigma;
  620. temp_call_12[a].price = merton_call_12[VALUE];
  621. temp_call_12[a].jump_num = lambda;
  622. temp_call_12[a].jump_size = k;
  623. temp_call_12[a].sd = s;
  624. temp_call_12[a].vol = sigma;
  626. temp_call_13[a].price = merton_call_13[VALUE];
  627. temp_call_13[a].jump_num = lambda;
  628. temp_call_13[a].jump_size = k;
  629. temp_call_13[a].sd = s;
  630. temp_call_13[a].vol = sigma;
  632. temp_call_14[a].price = merton_call_14[VALUE];
  633. temp_call_14[a].jump_num = lambda;
  634. temp_call_14[a].jump_size = k;
  635. temp_call_14[a].sd = s;
  636. temp_call_14[a].vol = sigma;
  638. temp_call_15[a].price = merton_call_15[VALUE];
  639. temp_call_15[a].jump_num = lambda;
  640. temp_call_15[a].jump_size = k;
  641. temp_call_15[a].sd = s;
  642. temp_call_15[a].vol = sigma;
  644. temp_put_1[a].price = merton_put_1[VALUE];
  645. temp_put_1[a].jump_num = lambda;
  646. temp_put_1[a].jump_size = k;
  647. temp_put_1[a].sd = s;
  648. temp_put_1[a].vol = sigma;
  650. temp_put_2[a].price = merton_put_2[VALUE];
  651. temp_put_2[a].jump_num = lambda;
  652. temp_put_2[a].jump_size = k;
  653. temp_put_2[a].sd = s;
  654. temp_put_2[a].vol = sigma;
  656. temp_put_3[a].price = merton_put_3[VALUE];
  657. temp_put_3[a].jump_num = lambda;
  658. temp_put_3[a].jump_size = k;
  659. temp_put_3[a].sd = s;
  660. temp_put_3[a].vol = sigma;
  662. temp_put_4[a].price = merton_put_4[VALUE];
  663. temp_put_4[a].jump_num = lambda;
  664. temp_put_4[a].jump_size = k;
  665. temp_put_4[a].sd = s;
  666. temp_put_4[a].vol = sigma;
  668. temp_put_5[a].price = merton_put_5[VALUE];
  669. temp_put_5[a].jump_num = lambda;
  670. temp_put_5[a].jump_size = k;
  671. temp_put_5[a].sd = s;
  672. temp_put_5[a].vol = sigma;
  674. temp_put_6[a].price = merton_put_6[VALUE];
  675. temp_put_6[a].jump_num = lambda;
  676. temp_put_6[a].jump_size = k;
  677. temp_put_6[a].sd = s;
  678. temp_put_6[a].vol = sigma;
  680. temp_put_7[a].price = merton_put_7[VALUE];
  681. temp_put_7[a].jump_num = lambda;
  682. temp_put_7[a].jump_size = k;
  683. temp_put_7[a].sd = s;
  684. temp_put_7[a].vol = sigma;
  686. temp_put_8[a].price = merton_put_8[VALUE];
  687. temp_put_8[a].jump_num = lambda;
  688. temp_put_8[a].jump_size = k;
  689. temp_put_8[a].sd = s;
  690. temp_put_8[a].vol = sigma;
  692. temp_put_9[a].price = merton_put_9[VALUE];
  693. temp_put_9[a].jump_num = lambda;
  694. temp_put_9[a].jump_size = k;
  695. temp_put_9[a].sd = s;
  696. temp_put_9[a].vol = sigma;
  698. temp_put_10[a].price = merton_put_10[VALUE];
  699. temp_put_10[a].jump_num = lambda;
  700. temp_put_10[a].jump_size = k;
  701. temp_put_10[a].sd = s;
  702. temp_put_10[a].vol = sigma;
  704. temp_put_11[a].price = merton_put_11[VALUE];
  705. temp_put_11[a].jump_num = lambda;
  706. temp_put_11[a].jump_size = k;
  707. temp_put_11[a].sd = s;
  708. temp_put_11[a].vol = sigma;
  710. temp_put_12[a].price = merton_put_12[VALUE];
  711. temp_put_12[a].jump_num = lambda;
  712. temp_put_12[a].jump_size = k;
  713. temp_put_12[a].sd = s;
  714. temp_put_12[a].vol = sigma;
  716. temp_put_13[a].price = merton_put_13[VALUE];
  717. temp_put_13[a].jump_num = lambda;
  718. temp_put_13[a].jump_size = k;
  719. temp_put_13[a].sd = s;
  720. temp_put_13[a].vol = sigma;
  722. temp_put_14[a].price = merton_put_14[VALUE];
  723. temp_put_14[a].jump_num = lambda;
  724. temp_put_14[a].jump_size = k;
  725. temp_put_14[a].sd = s;
  726. temp_put_14[a].vol = sigma;
  728. temp_put_15[a].price = merton_put_15[VALUE];
  729. temp_put_15[a].jump_num = lambda;
  730. temp_put_15[a].jump_size = k;
  731. temp_put_15[a].sd = s;
  732. temp_put_15[a].vol = sigma;
  734.   a++;
  736.   }
  737.  
  738.   }
  739.  
  740.   }
  742.   }
  744. min_call = 9999; // sum of the square difference of Merton's call
  745. min_put = 9999; // sum of the square difference of Merton's put
  746. min_sum = 9999; // total sum of sum of least square difference for both Merton's call and put
  748. for (i=0 ; i<a ; i++)
  749. {
  750.   for (h=0; h<a ; i++)
  751.   {
  752.     if ((temp_call_1[i].vol == temp_put_1[h].vol) && (temp_call_1[i].jump_num == temp_put_1[h].jump_num)
  753.       && (temp_call_1[i].jump_size == temp_put_1[h].jump_size) && (temp_call_1[i].sd = temp_put_1[h].sd))
  754.   {
  755.     temp_min_call = (( temp_call_1[i].price - market_call_1) * (temp_call_1[i].price - market_call_1))
  756.     + ((temp_call_2[i].price - market_call_2) * (temp_call_2[i].price - market_call_2))
  757.     + ((temp_call_3[i].price - market_call_3) * (temp_call_3[i].price - market_call_3))
  758.     + ((temp_call_4[i].price - market_call_4) * (temp_call_4[i].price - market_call_4))
  759.     + ((temp_call_5[i].price - market_call_5) * (temp_call_5[i].price - market_call_5))
  760.     + ((temp_call_6[i].price - market_call_6) * (temp_call_6[i].price - market_call_6))
  761.     + ((temp_call_7[i].price - market_call_7) * (temp_call_7[i].price - market_call_7))
  762.     + ((temp_call_8[i].price - market_call_8) * (temp_call_8[i].price - market_call_8))
  763.     + ((temp_call_9[i].price - market_call_9) * (temp_call_9[i].price - market_call_9))
  764.     + ((temp_call_10[i].price - market_call_10) * (temp_call_10[i].price - market_call_10))
  765.     + ((temp_call_11[i].price - market_call_11) * (temp_call_11[i].price - market_call_11))
  766.     + ((temp_call_12[i].price - market_call_12) * (temp_call_12[i].price - market_call_12))
  767.     + ((temp_call_13[i].price - market_call_13) * (temp_call_13[i].price - market_call_13))
  768.     + ((temp_call_14[i].price - market_call_14) * (temp_call_14[i].price - market_call_14))
  769.     + ((temp_call_15[i].price - market_call_15) * (temp_call_15[i].price - market_call_15));
  771.     temp_min_put = (( temp_put_1[h].price - market_put_1) * (temp_put_1[h].price - market_put_1))
  772.     + ((temp_put_2[h].price - market_put_2) * (temp_call_2[h].price - market_put_2))
  773.     + ((temp_put_3[h].price - market_put_3) * (temp_call_2[h].price - market_put_3))
  774.     + ((temp_put_4[h].price - market_put_4) * (temp_call_2[h].price - market_put_4))
  775.     + ((temp_put_5[h].price - market_put_5) * (temp_call_2[h].price - market_put_5))
  776.     + ((temp_put_6[h].price - market_put_6) * (temp_call_2[h].price - market_put_6))
  777.     + ((temp_put_7[h].price - market_put_7) * (temp_call_2[h].price - market_put_7))
  778.     + ((temp_put_8[h].price - market_put_8) * (temp_call_2[h].price - market_put_8))
  779.     + ((temp_put_9[h].price - market_put_9) * (temp_call_2[h].price - market_put_9))
  780.     + ((temp_put_10[h].price - market_put_10) * (temp_call_2[h].price - market_put_10))
  781.     + ((temp_put_11[h].price - market_put_11) * (temp_call_2[h].price - market_put_11))
  782.     + ((temp_put_12[h].price - market_put_12) * (temp_call_2[h].price - market_put_12))
  783.     + ((temp_put_13[h].price - market_put_13) * (temp_call_2[h].price - market_put_13))
  784.     + ((temp_put_14[h].price - market_put_14) * (temp_call_2[h].price - market_put_14))
  785.     + ((temp_put_15[h].price - market_put_15) * (temp_call_2[h].price - market_put_15));
  787.     if ((temp_min_call+temp_min_put) < min_sum)
  788.     {
  789.       min_sum = (temp_min_call+temp_min_put);
  790.       min_call = temp_min_call;
  791.       min_i_call = i;
  792.       min_put = temp_min_put;
  793.       min_h_put = h;
  794.     }
  795.     }
  796.   }
  797. }
  799. cout << "Volatility fixed number Merton's model: " << temp_call_1[min_i_call].vol << endl;
  800. cout << "Jump number: " << temp_call_1[min_i_call].jump_num << endl;
  801. cout << "Jump size: " << temp_call_1[min_i_call].jump_size << endl;
  802. cout << "Standard deviation of normal distribution: " << temp_call_1[min_i_call].sd << endl;
  803. cout << endl;
  804. cout << "Merton's European call price 1: " << temp_call_1[min_i_call].price << endl;
  805. cout << "Merton's European call price 2: " << temp_call_2[min_i_call].price << endl;
  806. cout << "Merton's European call price 3: " << temp_call_3[min_i_call].price << endl;
  807. cout << "Merton's European call price 4: " << temp_call_4[min_i_call].price << endl;
  808. cout << "Merton's European call price 5: " << temp_call_5[min_i_call].price << endl;
  809. cout << "Merton's European call price 6: " << temp_call_6[min_i_call].price << endl;
  810. cout << "Merton's European call price 7: " << temp_call_7[min_i_call].price << endl;
  811. cout << "Merton's European call price 8: " << temp_call_8[min_i_call].price << endl;
  812. cout << "Merton's European call price 9: " << temp_call_9[min_i_call].price << endl;
  813. cout << "Merton's European call price 10: " << temp_call_10[min_i_call].price << endl;
  814. cout << "Merton's European call price 11: " << temp_call_11[min_i_call].price << endl;
  815. cout << "Merton's European call price 12: " << temp_call_12[min_i_call].price << endl;
  816. cout << "Merton's European call price 13: " << temp_call_13[min_i_call].price << endl;
  817. cout << "Merton's European call price 14: " << temp_call_14[min_i_call].price << endl;
  818. cout << "Merton's European call price 15: " << temp_call_15[min_i_call].price << endl;
  819. cout << "Sum of least square difference between Merton's call and Market call: " << min_call << endl;
  820. cout << endl;
  821. cout << "Merton's European put price 1: " << temp_put_1[min_h_put].price << endl;
  822. cout << "Merton's European put price 2: " << temp_put_2[min_h_put].price << endl;
  823. cout << "Merton's European put price 3: " << temp_put_3[min_h_put].price << endl;
  824. cout << "Merton's European put price 4: " << temp_put_4[min_h_put].price << endl;
  825. cout << "Merton's European put price 5: " << temp_put_5[min_h_put].price << endl;
  826. cout << "Merton's European put price 6: " << temp_put_6[min_h_put].price << endl;
  827. cout << "Merton's European put price 7: " << temp_put_7[min_h_put].price << endl;
  828. cout << "Merton's European put price 8: " << temp_put_8[min_h_put].price << endl;
  829. cout << "Merton's European put price 9: " << temp_put_9[min_h_put].price << endl;
  830. cout << "Merton's European put price 10: " << temp_put_10[min_h_put].price << endl;
  831. cout << "Merton's European put price 11: " << temp_put_11[min_h_put].price << endl;
  832. cout << "Merton's European put price 12: " << temp_put_12[min_h_put].price << endl;
  833. cout << "Merton's European put price 13: " << temp_put_13[min_h_put].price << endl;
  834. cout << "Merton's European put price 14: " << temp_put_14[min_h_put].price << endl;
  835. cout << "Merton's European put price 15: " << temp_put_15[min_h_put].price << endl;
  836. cout << "Sum of least square difference between Merton's put and Market put: " << min_put << endl;
  837. cout << endl;
  838. //Wait for the user to read the output on the console
  839. system("PAUSE");
  840. return 0;
  841. }
  845. double EuroCall(double S,double K,double r,double q,double T,double sig_call,double lambda,double k,double s,int n)
  846. {
  847.     double d1,d2;
  848.     double new_sig;
  849.     double new_r;
  851.     double new_var;
  853.     new_var = sig_call*sig_call + n*s*s / T;
  854.     new_sig = sqrt(new_var);
  856.     new_r = r - lambda*k + n*log(1+k) / T;
  857.    
  858.     d1 = (log(S/K) + (new_r-q+(new_sig*new_sig)*0.5 ) * T ) / (new_sig*sqrt(T));
  859.     d2 = d1 - new_sig*sqrt(T);
  861.     return S*exp(-q*T)*N(d1) - K*exp(-new_r*T)*N(d2);
  862. }
  866. double EuroPut(double S,double K,double r, double q,double T,double sig_put,double lambda,double k,double s,int n)
  867. {
  868.     double d1,d2;
  869.     double new_sig;
  870.     double new_r;
  872.     double new_var;
  874.     new_var = sig_put*sig_put + n*s*s / T;
  875.     new_sig = sqrt(new_var);
  877.     new_r = r - lambda*k + n*log(1+k) / T;
  878.    
  879.     d1 = (log(S/K) + (new_r-q+(new_sig*new_sig)*0.5 ) * T ) / (new_sig*sqrt(T));
  880.     d2 = d1 - new_sig*sqrt(T);
  882.     return K*exp(-new_r*T)*N(-d2) - S*exp(-q*T)*N(-d1);
  883. }
  887. double NP(double x)
  888. {
  889.     return (1.0/sqrt(2.0 * 3.1415)* exp(-x*x*0.5));
  890. }
  893. double N(double x)
  894. {
  895.     double a1 = 0.319381530;
  896.     double a2 = -0.356563782;
  897.     double a3 = 1.781477937;
  898.     double a4 = -1.821255978;
  899.     double a5 = 1.330274429;
  900.     double k;
  902.     k = 1/(1+0.2316419*x);
  904.     if ( x >= 0.0)
  905.     {
  906.       return(1-NP(x)*((a1*k) + (a2*k*k) + (a3*k*k*k) + (a4*k*k*k*k) + (a5*k*k*k*k*k)));
  907.     }
  908.     else
  909.     {
  910.       return (1-N(-x));
  911.     }
  912. }
[ 本文被雲佬~~SY在2011-04-16 20:34重新編輯 ]
回復
舉報
離線reve
創意達人
發帖
55251
好友元
7186
閱讀權限
55251
貢獻值
2
只看該作者 3  發表于: 2011-04-15
外星文應該直接搵桶笑啦！
keep walking, keep scoring, let's do it again!!! YNWA
回復
舉報
離線PonG
超級會員
發帖
38500
好友元
116168
閱讀權限
38500
貢獻值
2
只看該作者 4  發表于: 2011-04-15
i am sick ....

死左係邊, breakpt CHECK 唔check 到
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 5  發表于: 2011-04-15
引用第3樓reve於2011-04-15 01:13發表的“”:
外星文應該直接搵桶笑啦！ [表情] [表情] [表情] [表情] [表情]


桶少都愛莫能助..所以先要各大好友出手相助呀..
回復
舉報
離線智者
版主
發帖
14653
好友元
46535
閱讀權限
37357
貢獻值
2
只看該作者 6  發表于: 2011-04-15
你問人都要有題目架
  
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 7  發表于: 2011-04-15
引用第4樓→※Pong※←於2011-04-15 01:16發表的“”:
i am sick ....
死左係邊, breakpt CHECK 唔check 到 [表情]


死係d for-loop 到..

pong 妹 你得唔得閒用visual studio 開黎睇下/.

2個program係run到的,但中間d for-loop 就死左.
回復
舉報
離線PonG
超級會員
發帖
38500
好友元
116168
閱讀權限
38500
貢獻值
2
只看該作者 8  發表于: 2011-04-15
引用第7樓雲佬~~SY於2011-04-15 01:19發表的“”:
死係d for-loop 到..
pong 妹 [表情] [表情] 你得唔得閒用visual studio 開黎睇下/.
.......

#include "stdafx.h" < 係邊
回復
舉報
離線PonG
超級會員
發帖
38500
好友元
116168
閱讀權限
38500
貢獻值
2
只看該作者 9  發表于: 2011-04-15
你唔趕我聽朝幫你睇睇, but 我D PROGRAM 幾差你都知, 同埋我唔識C++  
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 10  發表于: 2011-04-15
引用第8樓→※Pong※←於2011-04-15 01:22發表的“”:
#include "stdafx.h" < 係邊


你有冇VISUAL STUDIO?
咁你直接開個NEW PROJECT,跟住揀WIN32,再跟住就唔好PRESS EMPTY PROJECT , PRESS CONSOLE, 之後就有依個FILE 架LA
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 11  發表于: 2011-04-15
引用第9樓→※Pong※←於2011-04-15 01:23發表的“”:
你唔趕我聽朝幫你睇睇, but 我D PROGRAM 幾差你都知, 同埋我唔識C++   [表情]


其實聽日都OK.的..都係D NESTED FOR-LOOP GE 問題..
唔知係咪D 擺位問題..

攪左好耐都係唔得.

BTW, 都THZ

第一個PROGRAM要留意依(其實):

for(vol=1;vol<500;vol++)
{
for(alpha=1;alpha<300;alpha++)
{
    for (i=0;i<VALUE;i++)
    {
    K.cv=((vol*vol/10000)/(2*(r-q)*(alpha/100-1)))*(exp(2*(r-q)*(alpha/100-1)*T)-1);
    K.pv=((vol*vol/10000)/(2*(r-q)*(alpha/100-1)))*(exp(2*(r-q)*(alpha/100-1)*T)-1);
    K.ca=pow((K.strike*exp (-(r-q)*T)),(2*(1-alpha/100)))/(((1-alpha)*(1-alpha))*K.cv);
    K.pa=pow((K.strike*exp (-(r-q)*T)),(2*(1-alpha/100)))/(((1-alpha)*(1-alpha))*K.pv);
    K.b=1/(1-alpha/100);
    K.cc=pow(S,2*(1-alpha/100))/(((1-alpha)*(1-alpha))*K.cv);
    K.pc=pow(S,2*(1-alpha/100))/(((1-alpha)*(1-alpha))*K.pv);
    };

    for(int i=0;i<VALUE;i++)
    { if(alpha/100<1)
    {
    K.ctz=K.ca ;
    K.ctk=K.b + 2 ;
    K.ctv=K.cc ;
    K.ctz1=K.cc ;
    K.ctk1=K.b ;
    K.ctv1=K.ca ;
    K.ptz=K.pc ;
    K.ptk=K.b ;
    K.ptv=K.pa ;
    K.ptz1=K.pa ;
    K.ptk1=K.b+2 ;
    K.ptv1=K.pc ;
    }
    else {
    K.ctz=K.cc ;
    K.ctk=-K.b ;
    K.ctv=K.ca ;
    K.ctz1=K.ca ;
    K.ctk1=2-K.b ;
    K.ctv1=K.cc ;
    K.ptz=K.pa ;
    K.ptk=2-K.b ;
    K.ptv=K.pc ;
    K.ptz1=K.pc ;
    K.ptk1=K.b ;
    K.ptv1=K.pa ;}

    gamma_x=K.ctk/2+1;
    temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
    gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
    tmp=chisquare(K.ctz,K.ctk,K.ctv,gamma);
    K.cchisq=tmp;
    gamma_x=K.ctk1/2+1;
    temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
    gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
    tmp=chisquare(K.ctz1,K.ctk1,K.ctv1,gamma);
    K.cchisq1=tmp;
    gamma_x=K.ptk/2+1;
    temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
    gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
    tmp=chisquare(K.ptz,K.ptk,K.ptv,gamma);
    K.pchisq1=tmp;
    gamma_x=K.ptk1/2+1;
    temp=p0+p1/(gamma_x+1)+p2/(gamma_x+2)+p3/(gamma_x+3)+p4/(gamma_x+4)+p5/(gamma_x+5)+p6/(gamma_x+6);
    gamma=(sqrt(2*3.1452)/gamma_x)*temp*(pow(gamma_x+5.5,gamma_x+0.5))*exp(-(gamma_x+5.5));
    tmp=chisquare(K.ptz1,K.ptk1,K.ptv1,gamma);
    K.pchisq=tmp;

    K.cp=S*exp(-q*T)*(1-K.cchisq)-K.strike*exp(-r*T)*K.cchisq1;
    K.pp=K.strike*exp(-r*T)*(1-K.pchisq1)-S*exp(-q*T)*K.pchisq;

    };

    xx=0;
    zz=0;

    for(int i=0;i<VALUE;i++)
    {   //xx==0;
    xx=xx+(pow(K.cp-K.cmp,2))+pow(K.pp-K.pmp,2);
    };
    if(xx<min)
    {min=xx;
    minalpha=alpha/100;
    minvol=vol/100;
    }

}//for loop(alpha)
}//for loop(vol)

cout<<"Summation of the least square test :"<<min<<endl;
cout<<"Corresponding alpha:"<<minalpha<<endl;
cout<<"Corresponding sigma:"<<minvol<<endl;
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 12  發表于: 2011-04-15
第2個PROGRAM 其實主要都係依5個FOR-LOOP睇下有冇問題:

for (sigma=0;sigma<=1 ; sigma+=0.1)

{

for (lambda=0;lambda<=1 ; lambda+=0.1)

{

for (k=0;k<=1 ; k+=0.1)

{

for (s=0;s<=1 ; s+=0.1)

{

for (n=0;n<=VALUE ; n++)
{
回復
舉報
離線煙花
禁止發言
發帖
37458
好友元
377091
閱讀權限
37458
貢獻值
3
只看該作者 13  發表于: 2011-04-15
用戶被禁言,該主題自動屏蔽!
回復
舉報
離線雲佬~~SY
特級會員
發帖
12285
好友元
35671
閱讀權限
12308
貢獻值
0
只看該作者 14  發表于: 2011-04-15
引用第13樓煙花於2011-04-15 01:31發表的“”:
[表情] [表情]
我睇完....其實....想講........
.......


明白的..PROGRAMMING D 野唔係正常人所能明白的..
回復
舉報
發帖 回復
返回列表
123