/****

Chee Tji Hun

Question:
Consider a naive mdoel for a stock that has a support level of $20.
Suppose also that the stock price moves randomly with a downward bias when
the price is above $20 and randomly with and upward bias when the price is below
$20.
The probabilities for stock price movement is as follows:
Price(t+1) = price(t) + 1 with probability of 1/3 if price > 20, 9/10 if price =
20, 2/3 if price < 20
Price(t+1) = price(t) - 1 with probability of 2/3 if price > 20, 1/10 if price =
20, 1/3 if price < 20
Calculate the expected time for the stock price to fall from $25 through the sup
port level of $20 all the way down to $18
******/
#include <iostream>
#include <time.h>
#include <vector>
using namespace std;
int main(){
unsigned int iter = 1000000; //amount of times to run simulation
srand(unsigned int(time(NULL))); //seed the random generator
int sum = 0; //summed total number of days for (iter) num of simulations
.
int startPrice = 25;//start simulation at this price
int endPrice = 18; //stop simulation when price hits this
double oneTenth = 1.0/10.0;//probabilities
double twoThirds = 2.0/3.0;//probabilities
//run the simulation iter times
for (unsigned int i=0;i<iter;i++){
int price = startPrice;
int days=0; //days counter, counts the number of days to acheive
end price
while(price>endPrice){//when not end price keep going
double x = ((rand()%32767)/32766.0); //x is a random dou
ble from 0 to 1
//price action above 20
if(price>20){
if(x<twoThirds){
price--;
}else{
price++;
}
}else if(price==20){ //price action at 20
if(x<oneTenth){
price--;
}else{
price++;
}
}else if(price<20){//price action under 20
if(x<twoThirds){
 price++;
}else{
price--;
}
}
days++;
}//end while, end price reached
sum+=days;//add number of days to summed total
}//end for, completed all the simulations
cout<<double(sum)/double(iter);//avg number of days to achieve end price
}