Equities Market Simulation Listing (C++)
/***************************************************************************
* Copyright (C) 2008 by Paul Lutus *
* lutusp@arachnoid.com *
* *
* This program is free software; you can redistribute it and/or modify *
* it under the terms of the GNU General Public License as published by *
* the Free Software Foundation; either version 2 of the License, or *
* (at your option) any later version. *
* *
* This program is distributed in the hope that it will be useful, *
* but WITHOUT ANY WARRANTY; without even the implied warranty of *
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the *
* GNU General Public License for more details. *
* *
* You should have received a copy of the GNU General Public License *
* along with this program; if not, write to the *
* Free Software Foundation, Inc., *
* 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. *
***************************************************************************/
#include <iostream>
#include <algorithm>
#include <vector>
// produce random double 0 <= n < 1.0
double gen_random() {
return ((double)rand() / RAND_MAX);
}
int main()
{
// user settings
int investor_count = 100000;
double initial_balance = 10000.0;
double delta = 0.05; // maximum price change per period
double years = 20;
double year_periods = 52; // weeks
// historical equities performance
// = 12% per annum excluding the Depression
double growth_factor = 1.0 + (0.12 / year_periods);
// initialize the random generator
srand(12345);
// create the investor collection
std::vector<double> investors(investor_count,initial_balance);
std::vector<double>::iterator investor;
// set up buy & hold balance
double bh_balance = initial_balance;
// perform market simulation
for(int y = 0;y < years;y++) {
for (int w = 0;w < year_periods;w++) {
// adjust buy & hold value
bh_balance *= growth_factor;
for(investor = investors.begin();investor != investors.end();investor++) {
// generate a random price fluctuation
double adjust = 1.0 + delta * ((gen_random() * 2.0) - 1.0);
// update this investor's portfolio
*investor *= adjust * growth_factor;
}
}
}
// analyze results
int losers = 0;
int winners = 0;
int millionaires = 0;
for(investor = investors.begin();investor != investors.end();investor++) {
if (*investor >= 1e6) millionaires++;
(*investor > bh_balance)?winners++:losers++;
}
// sort the investor array from
// worst to best performance
std::sort(investors.begin(),investors.end());
double worst = investors.front();
double best = investors.back();
// display results
printf("Investors %d, initial balance $%.02f\n",investor_count,initial_balance);
printf("Buy & hold $%.02f, worst $%.02f, best $%.02f\n",bh_balance,worst,best);
printf("Millionaires %d, winners %d, losers %d\n",millionaires,winners,losers);
return 0;
}
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