用python进行模拟

#随机抽样（重复/不重复）
import numpy as np
def boots_f(data,n_obs,replacement=None):
	n=len(data)
	if (n<n_obs):
		print "n is less than n_obs"
	else:
		if replacement==None:
			y=np.random.permutation(data)
			return y[0:n_obs]
		else:
			y=[]
		for i in range(n_obs):
			k=np.random.permutation(data)
			y.append(k[0])
return y

#模拟股票价格走势
import scipy as sp
import matplotlib.pyplot as plt
stock_price_today = 9.15 # stock price at time zero
T =1. # maturity date (in years)
n_steps=100. # number of steps
mu =0.15 # expected annual return
sigma = 0.2 # volatility (annualized)
sp.random.seed(12345) # seed()
n_simulation = 5 # number of simulations
dt =T/n_steps
S = sp.zeros(100, dtype=float)
x = range(0, int(n_steps), 1)
for j in range(0, n_simulation):
    S[0]= stock_price_today
    for i in x[:-1]:
        e=sp.random.normal()
        S[i+1]=S[i]+S[i]*(mu-0.5*pow(sigma,2))*dt+sigma*S[i]*sp.sqrt(dt)*e #价格决定公式
    plt.plot(x, S)
plt.figtext(0.2,0.8,'S0='+str(S[0])+',mu='+str(mu)+',sigma='+str(sigma))
plt.figtext(0.2,0.76