【小女准备今晚再改一遍程序】把我之前的程序贴上来backup！
程序代码：#ifndef FUND_H
#define FUND_H
/*此头文件用来包括所有基金的类定义
将fund分为封闭式基金closedendfund和openendfund，母基金motherfund
子基金umbrellafund，其中将fund声明为虚基类，尝试用virtual copy constructor*/
//base class:fund
class fund
{
public:
fund(){};
virtual double get_netvalue() const=0;
virtual double get_stockprice() const=0;
virtual fund* clone() const=0;//使用复制构造函数（克隆）
private:
};
//封闭式基金类定义
class closedendfund:public fund
{public:
closedendfund(double netvalue_,double stockprice_):netvalue(netvalue_),stockprice(stockprice_)
{};
virtual fund* clone() const //function clone
{return new closedendfund(*this);
}
virtual double get_netvalue() const
{return netvalue;}
virtual double get_stockprice() const
{return stockprice;}
private:
double netvalue;
double stockprice;
};
//开放式基金类定义
class openendfund:public fund
{public:
openendfund(double netvalue_):netvalue(netvalue_) {};
virtual fund* clone() const //function clone
{return new openendfund(*this);
}
virtual double get_netvalue() const
{return netvalue;}
virtual double get_stockprice() const
{return netvalue;//不知道这样改了会不会bug....
}
private:
double netvalue;
};
//母基金类定义
class motherfund: public fund//不知道为什么把这个继承改成public openendfund就不对了。。？这是为什么呢？
{
public:
motherfund(double netvalue_) : netvalue(netvalue_) {};
virtual fund* clone() const//function clone
{return new motherfund(*this);
}
virtual double get_netvalue() const
{return netvalue;}
virtual double get_stockprice() const
{return netvalue;//不知道这样改了会不会bug....
}
private:
double netvalue;
};
//子基金类定义
class umbrellafund : public fund//不知道为什么把这个继承改成public openendfund就不对了。。？这是为什么呢？
{
public:
umbrellafund(double netvalue_,double stockprice_) : netvalue(netvalue_),stockprice(stockprice_) {};
virtual fund* clone() const //function clone
{return new umbrellafund(*this);
}
virtual double get_netvalue() const
{return netvalue;}
virtual double get_stockprice() const
{return stockprice;}
private:
double netvalue;
double stockprice;
};
#endif#include <iostream>
#include "fund.h"
#include "MCmodel.h"
using namespace std;
double LOFarbitrage(const motherfund& motherfund_,const umbrellafund& umbrellafundA_,const umbrellafund& umbrellafundB_,int shares_);/*考虑到在实际中的套利，基金在申购后需要在T+3才可以卖出，
故我们考虑在模型中使用蒙特卡洛方法来模拟三天后的基金价格，
并以此作为套利的依据*/
#ifndef SIMPLEMC_H
#define SIMPLEMC_H
#include "fund.h"
#include <cstdlib>
#include <cmath>
double MonteCarlo(const fund& thefund,
double Expiry,
double Vol,
double r,
unsigned long NumberOfPaths);
#endif/*考虑到在实际中的套利，基金在申购后需要在T+3才可以卖出，
故我们考虑在模型中使用蒙特卡洛方法来模拟三天后的基金价格，
并以此作为套利的依据*/
#ifndef SIMPLEMC_H
#define SIMPLEMC_H
#include "fund.h"
#include <cstdlib>
#include <cmath>
double MonteCarlo(const fund& thefund,
double Expiry,
double Vol,
double r,
unsigned long NumberOfPaths);
#endif//套利函数
//arbitrage function
#include <iostream>
#include "fund.h"
#include "MCmodel1.h"
using namespace std;
double LOFarbitrage(const motherfund& motherfund_,const umbrellafund& umbrellafundA_,const umbrellafund& umbrellafundB_,int shares_)
{double Pr=0.015;
double Rr=0.005;
double Br=0.0005;
double condition1=(umbrellafundA_.get_stockprice()+umbrellafundB_.get_stockprice())*(1-Br)-2*motherfund_.get_netvalue()*(1+Pr);
//[1] (Ma+Mb)*x*(1-br)> 2x*Nm*(1+Pr):T+3可以卖出
double condition2=(umbrellafundA_.get_stockprice()+umbrellafundB_.get_stockprice())*(1-Br)-2*motherfund_.get_netvalue()*(1+Rr);
//[2] (Ma+Mb)*x*(1-br)< 2x*Nm*(1+Rr):T+1可以卖出
if (condition1>0)
return condition1*shares_;
else if (condition2<0)
return (-1)*condition2*shares_;
else
return 0;
}/*考虑到在实际中的套利，基金在申购后需要在T+2才可以卖出，
故我们考虑在模型中使用蒙特卡洛方法来模拟三天后的基金价格，
并以此作为套利的依据*/
//this CPP用来模拟stockprice
#include "MCmodel1.h"
#include <cmath>
#include "fund.h"
// the basic math functions should be in namespace std but aren't in VCPP6
#if !defined(_MSC_VER)
using namespace std;
#endif
//此处定义生成随机数的方法
double GetOneGaussianBySummation()
{
double result=0;
for (unsigned long j=0; j < 12; j++)
result += rand()/static_cast<double>(RAND_MAX);
result -= 6.0;
return result;
}
double GetOneGaussianByBoxMuller()
{
double result;
double x;
double y;
double sizeSquared;
do
{
x = 2.0*rand()/static_cast<double>(RAND_MAX)-1;
y = 2.0*rand()/static_cast<double>(RAND_MAX)-1;
sizeSquared = x*x + y*y;
}
while
( sizeSquared >= 1.0);
result = x*sqrt(-2*log(sizeSquared)/sizeSquared);
return result;
}
//以下为蒙特卡洛方法的函数定义
double MonteCarlo(const fund& thefund,
double Expiry,
double Vol,
double r,
unsigned long NumberOfPaths)
{//首先从fund的派生来获得其现价
double present_price=thefund.get_stockprice();
double variance = Vol*Vol*Expiry;
double rootVariance = sqrt(variance);
double itoCorrection = -0.5*variance;
double movedSpot = present_price*exp(r*Expiry +itoCorrection);
double thisfutureprice;
double runningSum=0;
for (unsigned long i=0; i < NumberOfPaths; i++)
{
double thisGaussian = GetOneGaussianByBoxMuller();
thisfutureprice = movedSpot*exp( rootVariance*thisGaussian);
runningSum += thisfutureprice;
}
double mean = runningSum / NumberOfPaths;
mean *= exp(-r*Expiry);
double future_price= mean;
return future_price;
}
#include "fund.h"
#include "LOFarbitrage.h"
#include <iostream>
using namespace std;
int main()
{double mothernetvalue;//输入需要的五个值，具体需要的输入函数没写
double umbrellavalueA,umbrellapriceA;
double umbrellavalueB,umbrellapriceB;
int theshares;//用多少份来进行套利
cout<<"输入母基金净值"<<endl;
cin>>mothernetvalue;
cout<<"输入子基金A净值"<<endl;
cin>>umbrellavalueA;
cout<<"输入子基金A市价"<<endl;
cin>>umbrellapriceA;
cout<<"输入子基金B净值"<<endl;
cin>>umbrellavalueB;
cout<<"输入子基金B市价"<<endl;
cin>>umbrellapriceB;
cout<<"每次套利多少份"<<endl;
cin>>theshares;
motherfund the_motherfund(mothernetvalue);
umbrellafund umbrellaA(umbrellavalueA,umbrellapriceA);//建立需要的五个变量
umbrellafund umbrellaB(umbrellavalueB,umbrellapriceB);
double thepayoff=LOFarbitrage(the_motherfund,umbrellaA,umbrellaB,theshares);//代入这个函数计算有没有套利，套利出来是多少，为了简便没有的时候设为0
if (thepayoff==0)
cout<<"此时无套利机会"<<endl;
if (thepayoff!=0)
cout<<"此时有套利机会,可以套利"<<thepayoff<<endl;
}
我原来的账号还有别的更本人的和C++书的合影呢。。可惜那照片不知道哪儿去了。。你的表情太不纯洁鸟！
