期权dlg.cpp

股票期权方面的一个程序

// 期权Dlg.cpp : implementation file
//

#include "stdafx.h"
#include "期权.h"
#include "期权Dlg.h"
#include "iostream.h"
#include "math.h"
#include "string.h"

#ifdef _DEBUG
#define new DEBUG_NEW
#undef THIS_FILE
static char THIS_FILE[] = __FILE__;
#endif

/////////////////////////////////////////////////////////////////////////////
// CAboutDlg dialog used for App About

class CAboutDlg : public CDialog
{
public:
	CAboutDlg();

// Dialog Data
	//{{AFX_DATA(CAboutDlg)
	enum { IDD = IDD_ABOUTBOX };
	//}}AFX_DATA

	// ClassWizard generated virtual function overrides
	//{{AFX_VIRTUAL(CAboutDlg)
	protected:
	virtual void DoDataExchange(CDataExchange* pDX);    // DDX/DDV support
	//}}AFX_VIRTUAL

// Implementation
protected:
	//{{AFX_MSG(CAboutDlg)
	//}}AFX_MSG
	DECLARE_MESSAGE_MAP()
};

CAboutDlg::CAboutDlg() : CDialog(CAboutDlg::IDD)
{
	//{{AFX_DATA_INIT(CAboutDlg)
	//}}AFX_DATA_INIT
}

void CAboutDlg::DoDataExchange(CDataExchange* pDX)
{
	CDialog::DoDataExchange(pDX);
	//{{AFX_DATA_MAP(CAboutDlg)
	//}}AFX_DATA_MAP
}

BEGIN_MESSAGE_MAP(CAboutDlg, CDialog)
	//{{AFX_MSG_MAP(CAboutDlg)
		// No message handlers
	//}}AFX_MSG_MAP
END_MESSAGE_MAP()

/////////////////////////////////////////////////////////////////////////////
// CMyDlg dialog

CMyDlg::CMyDlg(CWnd* pParent /*=NULL*/)
	: CDialog(CMyDlg::IDD, pParent)
{
	//{{AFX_DATA_INIT(CMyDlg)
	m_optiontime = 0.0;
	m_n = 0;
	m_currentprice = 0.0;
	m_optionprice = 0.0;
	m_rate = 0.0;
	m_sigama = 0.0;
	m_radio = -1;
	m_radio2 = -1;
	//}}AFX_DATA_INIT
	// Note that LoadIcon does not require a subsequent DestroyIcon in Win32
	m_hIcon = AfxGetApp()->LoadIcon(IDR_MAINFRAME);
}

void CMyDlg::DoDataExchange(CDataExchange* pDX)
{
	CDialog::DoDataExchange(pDX);
	//{{AFX_DATA_MAP(CMyDlg)
	DDX_Control(pDX, IDC_LIST1, m_list);
	DDX_Text(pDX, IDC_EDIT1, m_optiontime);
	DDX_Text(pDX, IDC_EDIT2, m_n);
	DDX_Text(pDX, IDC_EDIT3, m_currentprice);
	DDX_Text(pDX, IDC_EDIT4, m_optionprice);
	DDX_Text(pDX, IDC_EDIT5, m_rate);
	DDX_Text(pDX, IDC_EDIT6, m_sigama);
	DDX_Radio(pDX, IDC_RADIO1, m_radio);
	DDX_Radio(pDX, IDC_RADIO5, m_radio2);
	//}}AFX_DATA_MAP
}

BEGIN_MESSAGE_MAP(CMyDlg, CDialog)
	//{{AFX_MSG_MAP(CMyDlg)
	ON_WM_SYSCOMMAND()
	ON_WM_PAINT()
	ON_WM_QUERYDRAGICON()
	ON_BN_CLICKED(IDC_RADIO5, OnRadio5)
	//}}AFX_MSG_MAP
END_MESSAGE_MAP()

/////////////////////////////////////////////////////////////////////////////
// CMyDlg message handlers

BOOL CMyDlg::OnInitDialog()
{
	CDialog::OnInitDialog();

	// Add "About..." menu item to system menu.

	// IDM_ABOUTBOX must be in the system command range.
	ASSERT((IDM_ABOUTBOX & 0xFFF0) == IDM_ABOUTBOX);
	ASSERT(IDM_ABOUTBOX < 0xF000);

	CMenu* pSysMenu = GetSystemMenu(FALSE);
	if (pSysMenu != NULL)
	{
		CString strAboutMenu;
		strAboutMenu.LoadString(IDS_ABOUTBOX);
		if (!strAboutMenu.IsEmpty())
		{
			pSysMenu->AppendMenu(MF_SEPARATOR);
			pSysMenu->AppendMenu(MF_STRING, IDM_ABOUTBOX, strAboutMenu);
		}
	}

	// Set the icon for this dialog.  The framework does this automatically
	//  when the application's main window is not a dialog
	SetIcon(m_hIcon, TRUE);			// Set big icon
	SetIcon(m_hIcon, FALSE);		// Set small icon
	
	// TODO: Add extra initialization here
	m_list.SetExtendedStyle(LVS_EX_GRIDLINES);
	counter=0;
	m_radio=0;
	m_radio2=0;
	UpdateData(FALSE);
	
	return TRUE;  // return TRUE  unless you set the focus to a control
}

void CMyDlg::OnSysCommand(UINT nID, LPARAM lParam)
{
	if ((nID & 0xFFF0) == IDM_ABOUTBOX)
	{
		CAboutDlg dlgAbout;
		dlgAbout.DoModal();
	}
	else
	{
		CDialog::OnSysCommand(nID, lParam);
	}
}

// If you add a minimize button to your dialog, you will need the code below
//  to draw the icon.  For MFC applications using the document/view model,
//  this is automatically done for you by the framework.

void CMyDlg::OnPaint() 
{
	if (IsIconic())
	{
		CPaintDC dc(this); // device context for painting

		SendMessage(WM_ICONERASEBKGND, (WPARAM) dc.GetSafeHdc(), 0);

		// Center icon in client rectangle
		int cxIcon = GetSystemMetrics(SM_CXICON);
		int cyIcon = GetSystemMetrics(SM_CYICON);
		CRect rect;
		GetClientRect(&rect);
		int x = (rect.Width() - cxIcon + 1) / 2;
		int y = (rect.Height() - cyIcon + 1) / 2;

		// Draw the icon
		dc.DrawIcon(x, y, m_hIcon);
	}
	else
	{
		CDialog::OnPaint();
	}
}

// The system calls this to obtain the cursor to display while the user drags
//  the minimized window.
HCURSOR CMyDlg::OnQueryDragIcon()
{
	return (HCURSOR) m_hIcon;
}


///////////////////////////////////
double Max(double a,double b)
{
	if(a > b) return a;
	else
		return b;
}

//////////////

double** Europeanup(int os,int n,double optiontime,double optionprice,double r,double sigama,double price)
{
	double u,d,a,p,t;
	double **option;
	option=new double *[n+1];
	for(int l=0;l<=n;l++)
	option[l]=new double[n+1]; 
	int i,j,m;
	for(i=0;i<n+1;i++)
		for(j=0;j<n+1;j++)
			option[i][j]=0;

	t=optiontime/12/n;
	u=exp(sigama*pow(t,0.5));
	d=1/u;
	a=exp(r*t);
	p=(a-d)/(u-d);
	option[0][0] = price;
	m = 2;
	for(i=1;i<n+1;i++)
	{
		for(j=0;j<m;j++)
		{
			option[j][i] = option[j][i-1] * u;
			if(j == m-1)
				option[j][i]=option[j-1][i-1]*d;
		}
		m++;
	}
	 if(os==1) return option;
		m=n;
		for(i=0;i<n+1;i++)
		option[i][n]=Max((option[i][n])-optionprice,0);

		for(i = n-1;i >= 0;i--)
		{
			for(j=0;j<m;j++)
			option[j][i]=exp(-r*t)*(p*option[j][i+1]+(1-p)*option[j+1][i+1]);
			m--;
		}
	
	return option;
}

//////////////////
double** Europeandown(int os,int n,double time,double optionprice,double r,double sigama,double price)
{
	double **option;
	option=new double *[n+1];
	for(int l=0;l<=n;l++)
	option[l]=new double[n+1]; 
	int i,j,m;
	for(i=0;i<n+1;i++)
		for(j=0;j<n+1;j++)
			option[i][j]=0;
	double u,d,a,p,t;
	t=time/12/n;
	u=exp(sigama*pow(t,0.5));
	d=1/u;
	a=exp(r*t);
	p=(a-d)/(u-d);
	option[0][0] = price;
	m = 2;
	for(i=1;i<n+1;i++)
	{
		for(j=0;j<m;j++)
		{
			option[j][i] = option[j][i-1] * u;
			if(j == m-1)
				option[j][i]=option[j-1][i-1]*d;
		}
		m++;
	}
	 if(os==1) return option;
		m=n;
		for(i=0;i<n+1;i++)
		option[i][n]=Max((optionprice-option[i][n]),0);
		for(i = n-1;i >= 0;i--)
		{
			for(j=0;j<m;j++)
			option[j][i]=exp(-r*t)*(p*option[j][i+1]+(1-p)*option[j+1][i+1]);
			m--;
		}
	
	return option;
}


///////////////////////

double** Americanup(int os,int n,double time,double optionprice,double r,double sigama,double price)
{
	double **option;
	option=new double *[n+1];
	for(int l=0;l<=n;l++)
		option[l]=new double[n+1]; 
	int i,j,m;
	for(i=0;i<n+1;i++)
		for(j=0;j<n+1;j++)
			option[i][j]=0;
	double u,d,a,p,t;
	t=time/12/n;
	u=exp(sigama*pow(t,0.5));
	d=1/u;
	a=exp(r*t);
	p=(a-d)/(u-d);
	option[0][0] = price;
	m = 2;
	for(i=1;i<n+1;i++)
	{
		for(j=0;j<m;j++)
		{
			option[j][i] = option[j][i-1] * u;
			if(j == m-1)
				option[j][i]=option[j-1][i-1]*d;
		}
		m++;
	}
    if(os==1) return option;
	m=n;
	for(i=0;i<n+1;i++)
		option[i][n]=Max((option[i][n])-optionprice,0);

	for(i = n-1;i >= 0;i--)
	{
		for(j=0;j<m;j++)
			option[j][i]=Max(exp(-r*t)*(p*option[j][i+1]+(1-p)*option[j+1][i+1]),(option[i][j]-price));
		m--;
	}
	
	return option;
}

///////////////////////

double** Americandown(int os,int n,double time,double optionprice,double r,double sigama,double price)
{
	double **option;
	option=new double *[n+1];
	for(int l=0;l<=n;l++)
		option[l]=new double[n+1]; 
	int i,j,m;
	for(i=0;i<n+1;i++)
		for(j=0;j<n+1;j++)
			option[i][j]=0;
	double u,d,a,p,t;
	t=time/12/n;
	u=exp(sigama*pow(t,0.5));
	d=1/u;
	a=exp(r*t);
	p=(a-d)/(u-d);
	option[0][0] = price;
	m = 2;
	for(i=1;i<n+1;i++)
	{
		for(j=0;j<m;j++)
		{
			option[j][i] = option[j][i-1] * u;
			if(j == m-1)
				option[j][i]=option[j-1][i-1]*d;
		}
		m++;
	}
	 if(os==1) return option;
	m=n;
	for(i=0;i<n+1;i++)
		option[i][n]=Max((optionprice-option[i][n]),0);

	for(i = n-1;i >= 0;i--)
	{
		for(j=0;j<m;j++)
			option[j][i]=Max(exp(-r*t)*(p*option[j][i+1]+(1-p)*option[j+1][i+1]),(price-option[j][i]));
		m--;
	}

	return option;
}
//////////////////////////////////

void CMyDlg::OnOK() 
{
	// TODO: Add extra validation here
	
//	CDialog::OnOK();
	while(counter>=0)
	{
		m_list.DeleteColumn(counter);
		counter--;
	}
	m_list.DeleteAllItems( );
	
	UpdateData(TRUE);
	int i,j=0;
	double rate=m_rate/100,sigama=m_sigama/100;
	if(m_n<=0) 
	{
		i=MessageBox("Pieces must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	if(m_optiontime<=0) 
	{
		i=MessageBox("option time must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	if(m_optionprice<=0) 
	{
		i=MessageBox("option price must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	if(m_rate<=0) 
	{
		i=MessageBox("rate must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	if(m_sigama<=0) 
	{
		i=MessageBox("wave rate must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	if(m_currentprice<=0) 
	{
		i=MessageBox("current price must be bigger than 0 ","Input wrong number",MB_OK|MB_ICONWARNING);
		if(i==IDOK) return;
	}
	counter=m_n+1;	
	int nItem=0;
	int nSubItem=1;
	CString a,b,c;

	double **option;
	switch(m_radio)
	{
		case 0: option=Europeanup(m_radio2,m_n, m_optiontime, m_optionprice , rate ,sigama , m_currentprice );
			break;
		case 1: option=Europeandown(m_radio2,m_n, m_optiontime, m_optionprice , rate ,sigama , m_currentprice );
			break;
		case 2: option=Americanup(m_radio2,m_n, m_optiontime, m_optionprice , rate ,sigama , m_currentprice );
			break;
		case 3: option=Americandown(m_radio2,m_n, m_optiontime, m_optionprice , rate ,sigama , m_currentprice );
			break;
		default: break;
	}
	
	for( i=0 ;i<=2*m_n+1;i++)
	{	
		CString a,b;
		double k=(i-1)*(m_optiontime)*30/m_n;
		int k1=int(k);
		int k2=int((k-k1)*10);
		if(i!=0) a.Format("%d.%d天", k1,k2);
		b.Format("%d", i+1);
		if(i!=0&&i<=m_n+1)m_list.InsertColumn( i,a );
		else if(i<=m_n+1)m_list.InsertColumn( i,"" );
		m_list.SetColumnWidth( i, 70 );
		if(i!=2*m_n+1)m_list.InsertItem(i, b );
	}

	
/*	for(i=0;i<m_n+1;i++)
	{
		for(j=0;j<=m_n+1;j++)
		if(i>j)
		{
			m_list.SetItemText( nItem, nSubItem,"");
			nSubItem++;
		}
		else
		{
			c.Format("%lf", option[i][j]);
			m_list.SetItemText(nItem, nSubItem,c);
			nSubItem++;
		}
		nItem++;
		nSubItem=1;
	}*/

	int k,l;
	double **output;
	output=new double *[2*m_n+1];
	for(l=0;l<=2*m_n;l++)
		output[l]=new double[m_n+1]; 
	for(i=0;i<2*m_n+1;i++)
	{
		for(j=0;j<m_n+1;j++)
			output [i][j]=0;
	
	}
	for(i=0;i<m_n+1;i++)
	{
		for(j=0,k=0;j<i+1;j++)
		{
			output[m_n-i+k][i] = option[j][i];
			k=k+2;
		}
		k=0;
	}

/*	for(i=0;i<2*m_n+1;i++)
	{
		for(j=0;j<=m_n;j++)
		if((m_n-i)>j)
		{
			m_list.SetItemText( nItem, nSubItem,"");
			nSubItem++;
		}
		else
		{
			c.Format("%lf", output[i][j]);
			m_list.SetItemText(nItem, nSubItem,c);
			nSubItem++;
		}
		nItem++;
		nSubItem=1;
	}
	*/
	int flag=1;
	for(i=0,k=m_n;i<2*m_n+1;)
	{
		for(j=0;j<=m_n;j++)
		{
			if(j<k)
			{
				m_list.SetItemText( nItem, nSubItem,"");
				nSubItem++;
			}
			else
			{
				if(flag)
				{
					c.Format("%lf", output[i][j]);
					m_list.SetItemText(nItem, nSubItem,c);
					nSubItem++;
					flag=0;
				}
				else
				{
					m_list.SetItemText( nItem, nSubItem,"");
					nSubItem++;
					flag=1;
				}
			}
		}
				flag=1;
				i++;
				if(i<m_n+1) k--;
				else
					k++;
				nItem++;
				nSubItem=1;
			
	}
}

void CMyDlg::OnRadio5() 
{
	// TODO: Add your control notification handler code here
	
}