样本源程序.txt

高斯分布源程序

#include<iostream>
#include<cmath>
#include<time.h>
#include <stdlib.h>
using namespace std;

#define r		(0.08)
#define sigma	(0.2)
#define deltT	(1/250.0)

double gaussrand()         //标准高斯分布函数
{
    static double V1, V2, S;
    static int phase = 0;
    double X;
   
    if ( phase == 0 ) {
        do {
            double U1 = (double)rand() / RAND_MAX;
            double U2 = (double)rand() / RAND_MAX;
           
            V1 = 2 * U1 - 1;
            V2 = 2 * U2 - 1;
            S = V1 * V1 + V2 * V2;
        } while(S >= 1 || S == 0);
       
        X = V1 * sqrt(-2 * log(S) / S);
    } else
        X = V2 * sqrt(-2 * log(S) / S);
       
    phase = 1 - phase;

    return X;
}


double stockPrice( double p0 )
{

	
	double z = gaussrand();
	   p0=p0 * exp( r * deltT + sigma * sqrt( deltT ) * z) ;     
	return p0;
}



int main()               //主函数
{
	 

	double p1=11;
	int i;

	srand(time(NULL));              //产生随机数种子
	
	           
	for(i=1;i<6*250;i++)
	{
		p1=stockPrice( p1 );

	}
       
		  cout<<p1<<endl;            


		return 0;
}