// Security Price Sample Path

#include <stdio.h>

#include <math.h>

#include <conio.h>

#include <iomanip.h>

//***************************RANDOMIZER************************

#include <time.h>

#include <fstream.h>

unsigned long urand0 (void);

unsigned long urand (void);

void init_generator(unsigned seed);

static unsigned long rand_x[56], rand_y[256], rand_z;

static long rand_j, rand_k;

void init_generator(unsigned seed)

{

int i;

rand_x[1] = 1;

if(seed)

rand_x[2] = seed;

else

rand_x[2] = time (NULL);

for (i=3; i<56; ++i) rand_x[i] = rand_x[i-1] + rand_x[i-2];

rand_j = 24;

rand_k = 55;

for (i=255; i>=0; --i)

urand0 (); //run loop for a while

for (i=255; i>=0; --i)

rand_y[i] = urand0 ();

rand_z = urand0 ();

}

unsigned long urand0 (void)

{

if (--rand_j == 0) rand_j = 55;

if (--rand_k == 0) rand_k = 55;

return rand_x[rand_k] += rand_x[rand_j];

}

unsigned long urand (void)

{

int i;

i = rand_z % 256;

rand_z = rand_y[i];

if (--rand_j == 0) rand_j = 55;

if (--rand_k == 0) rand_k = 55;

rand_y[i] = rand_x[rand_k] += rand_x[rand_j];

return rand_z;

}

//*****************************END*****************************

double normal_rand (void);

//****************************NORMAL***************************

double normal_rand (void)

{

static int flag = 0;

static double z, a = 2147483648.0;

double v1, v2, s;

if (flag) {

flag = 0;

return z;

}

flag = 1;

do {

v1 = urand()/a - 1;

v2 = urand()/a - 1;

}

while ((s = v1*v1 + v2*v2) > 1.0);

s = sqrt (-2.0 * log(s) / s);

z = v1 * s;

return v2 * s;

}

//******************************END****************************

double dist[19] =

{

-1.645, -1.282, -1.037, -0.842, -0.674, -0.524, -0.385, -0.253, -0.126, 0.0,

0.126, 0.253, 0.385, 0.524, 0.674, 0.842, 1.037, 1.282, 1.645

};

int main()

{

const int N = 250;

const double sigma = 0.1,mu = 0.06;

double S = 1.0, dS, dX, dt = 1.0/N;

fstream output;

output.open("path.dat",ios::out);

if(!output)

{

cout<<"unable to open file"<<endl;

return 0;

}

clrscr();

int i;

init_generator(0);

output.setf(ios::showpoint);

output<<setprecision(6)<<S<<endl;

cout<<setprecision(6)<<S<<endl;

for (i=0; i<N; ++i) {

dX = normal_rand() * sqrt (dt);

dS = sigma*S*dX + mu*S*dt;

S += dS;

output<<S<<endl;

cout<<S<<endl;

}

output.close();

}