辅导C++、辅导C++ barrierCallPayoff程序、讲解C++、讲解C ++ barrierCallPayoff

#include <iostream>

#include <iomanip>

#include <cmath>

#include <vector>

#include <fstream>

#include <random>

#include <algorithm>

using namespace std;

double barrierCallPayoff(double S0, double T, double sigma, double r, double d, int M, int N, double B)

{

// declare a random number generator

// here we choose the merton twister engine(32bit)

static mt19937 rng;

normal_distribution<> ND(0., 1.);

double sum = 0.;

double dt = T / M; //step size of path

for (int n = 0; n < N; n++)

{

vector<double> stockPath(M + 1);

stockPath[0] = S0;

// create a path with the initial value

for (int i = 1; i <= M; i++)

{

double phi = ND(rng);

stockPath[i] = stockPath[i - 1] * exp((r - d - 0.5*sigma*sigma)*dt + phi * sigma*sqrt(dt));

}

// plot it

double X = 100;

double A = S0;

double ST = stockPath[M];

for (int i = 0; i <= M; i++)

{

A = min(stockPath[i], A);

}

if (A < B)

{

sum = sum + 0.;

}

else sum = sum + max(ST - X, 0.);

}

return sum / N * exp(-r * T);

}

int main()

{

for (int b = 85;b <= 99;b++)

{

double T = 0.2;

double sigma = 0.30;

double r = 0.10;

double d = 0.0;

double S0 = 100;

int M = 50;

int N = 100000;

double B = b;

cout << barrierCallPayoff(S0, T, sigma, r, d, M, N, B) << endl;

}

}