【泡泡的project说明书】

/*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_s(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;
}