c语言软件市场价,[转载]KMV模型中求解资产市场价值和资产价值波动性(C语言）...

include

"stdafx.h"

#include

#include

#include

#define M

0.00001

#define M1

0.000001

#define pi

3.1415926535898

using namespace

std;

double N(double

d) //正态分布函数求解

{ double

Nd;

double t;

double

a=0.33267,a1=0.4361836,a2=-0.1201617,a3=0.9372986;

if(d>0)

{ t=1/(1+a*d);

Nd=1-1/pow(2*pi,0.5)*exp(-d*d/2)*(a1*t+a2*t*t+a3*t*t*t);

}

else if(d<0)

{ t=1/(1-a*d);

Nd=1/pow(2*pi,0.5)*exp(-d*d/2)*(a1*t+a2*t*t+a3*t*t*t);

}

return Nd;

}

double NX(double

y) //正态分布函数求反求x

{ //假设x的值为非负

double

t;

double temp;

double

d,x=0;

double

a=0.33267;

double

a1=0.4361836,a2=-0.1201617,a3=0.9372986;

for(t=0;t<=1;t=0.00001+t)

{

d=(1/t-1)/a;

temp=1-1/pow(2*pi,0.5)*exp(-d*d/2)*(a1*t+a2*t*t+a3*t*t*t)-y;

if(temp

{ x=d;

break;

}

}

return x;

}

//求绝对值

long double abs1(long

double x)

{ long double x1=0;

if(x>0)

x1=x;

if(x<=0)

x1=-x;

return

x1;

}

long double KMV(long

double &zcbdx1,long double &A,long

double gqbdx,long double E, double t,long double r,long double

B)

///gqbdx代表股权波动性，E为股权市场价值，t代表间隔时间，r代表物风险利率，B代表违约点

{ double

Nd2=0,d2=0,d1=0,temp=0,zcbdx=0,A1=0;

//

for(zcbdx=0.0001;zcbdx<=1;zcbdx=zcbdx+0.0001)

{ //d1=d2+zcbdx*pow(t,0.5)=(log(gqbdx*E/zcbdx/N(d1)/B)+(r+0.5*zcbdx*zcbdx)*t)/(zcbdx*pow(t,o.5));

//A=gqbdx*E/N(d1)/zcbdx;

//思路：假设zcbdx已知，求出N(d2)

//

N(d2)=(-E+gqbdx*E/zcbdx)/(B*exp(-r*t));

//根据N(d2)求出d2;再求出d1

//d1=d2+zcbdx*pow(t,0.5);

//f(d1)=d1-(log(gqbdx*E/zcbdx/N(d1)/B)+(r+0.5*zcbdx*zcbdx)*t)/(zcbdx*pow(t,o.5));

//接近0时，即求出zcbdx；

Nd2=(-E+gqbdx*E/zcbdx)/(B*exp(-r*t));

d2=NX(Nd2);

d1=d2+zcbdx*pow(t,0.5);

temp=d1-(log( (gqbdx*E/zcbdx/N(d1))/B)+(r+0.5*zcbdx*zcbdx)*t

)/(zcbdx*pow(t,0.5));

A1=gqbdx*E/zcbdx/N(d1);

//printf("%f,%fn",zcbdx,A1);//输出值,查看具体实现的值

if(temp

{ zcbdx1=zcbdx;

A=gqbdx*E/zcbdx1/N(d1);

break;

}

}

return 0;

}

int _tmain(int argc,

_TCHAR* argv[])

{

//调用正态及正态反函数并验证结果

printf("%fn",N(1));

printf("%fn",NX(N(1)));

long double x,y,x1;

//调用KMV函数的方法

x1=KMV(x,y,0.540072,4062123101,0.74794,0.0277,1967828071);

//输出x，和y的值的方法

return

0;

}