[情報] 好人做到底...第三次金融計算作業Java程式碼

[hoek (漸漸淡了....)]

<%@ page import="java.util.*" contentType="text/html;charset=Big5" %>
<%!
double bubble(double[] D, int num)
{
 double t=0;
 for(int i=num-1;i>=0;i--)
 {
   for(int j=1;j<=i;j++)
   {
      if( D[j-1] > D[j] )
      {
        t = D[j-1];
        D[j-1] = D[j];
        D[j]=t;
      }
   }
 }
 return D[num-1];
}
%>
<%
int num= Integer.parseInt(request.getParameter("num").trim());
double strike= Double.parseDouble(request.getParameter("strike").trim());
double rate= Double.parseDouble(request.getParameter("rate").trim());
double period= Double.parseDouble(request.getParameter("period").trim());
double M[][]=new double[num][num];
double L[][]=new double[num][num];
double F[][]=new double[num][num];
double A[]=new double[num];
double C[]=new double[num];
double D[]=new double[num];
double E[]=new double[num];
double B[][] =new double[num][num];
double normal[] =new double[num];
String a="",b="",c="";
int i=0,j=0,k=0;
double m=0,n=0,future=0,estimate=0;
int repeat = 500000;
String rv="";

for(i=1;i<=num;i++)
{
  a= "a" + i;
  A[i-1] = Double.parseDouble(request.getParameter(a).trim());
  c= "c" + i;
  C[i-1] = Double.parseDouble(request.getParameter(c).trim());
}

for(i=1;i<=num;i++)
{
 for(j=i;j<=num;j++)
 {
   if (i!=j)
   {
     b = "b" + i + j;
     B[i-1][j-1] = Double.parseDouble(request.getParameter(b).trim());
   }
   else B[i-1][j-1]=1;
 }
 for(j=num;j>i;j--) if (i!=j) B[j-1][i-1] = B[i-1][j-1];
}

for(i=1;i<=num;i++)
{
  for(j=1;j<=num;j++)
  {
    M[i-1][j-1] = C[i-1]*C[j-1]*B[i-1][j-1];
    out.write("<br>M("+i+","+j+")="+M[i-1][j-1]);
  }
}

i=0;
while(i<num)
{
  m=M[i][i];
  n=0;
  out.write("<br>M1="+m);
  for(j=0;j<i;j++) n = n + Math.pow(L[i][j],2);
  out.write("<br>N1="+n);
  m = m - n;
  L[i][i] = Math.sqrt(m);

  for(j=0;j<num;j++)
  {
    m = 0;
    if (j != i)
    {
      for(k=0;k<i;k++) m = m + L[i][k] * L[j][k];
      L[j][i]= (M[j][i]-m)/L[i][i];
    }
  }
  ++i;
}
for(i=1;i<=num;i++) for(j=1;j<=num;j++) out.write("<br>L("+i+","+j+")="+L[i-1][j-1]);

for(i=0;i<num;i++)
{
 for(j=0;j<num;j++)
 {
  if (i != j)
    F[i][j]=L[j][i];
  else
    F[i][j]=L[i][j];
 }
}

for(k=0;k<repeat;k++)
{
  for(j=0;j<num;j++) normal[j] = Math.sqrt(-2*Math.log(Math.random()))*Math.cos(2*Math.PI*Math.random());
  for(j=0;j<num;j++)
  {
    m=0;
    for(i=0;i<num;i++) m = m + normal[i] * F[i][j];
    E[j]=m;
    D[j]= A[j] * Math.exp((rate-Math.pow(C[j],2)/2)*period+Math.sqrt(period)*E[j]);
  }
  future = bubble(D,num);
  estimate = estimate + Math.max(future-strike,0);
}

rv = "<br>Rainbow Call選擇權的價值為: " + (estimate/repeat*Math.exp(-1*rate*period));
%>

--

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