zhangtao 发表于 2011-3-15 19:20
附件中的联立方程如何用gauss编程,求助,在附件中,非常感谢!
xuehe似乎不在,如下这样可以么?
new;
proc (1)=fun(par);
local VA,sigmaA,d1,d2,f;
local X,VE,r,sigmaE,T;
X=10;VE=3;r=0.05;T=1;sigmaE=0.4;
VA=par[1];sigmaA=par[2];
d1=(ln(VA/X)+(r+sigmaA^2/2)*T)/(sigmaA*sqrt(T));
d2=d1-sigmaA*sqrt(T);
f=zeros(2,1);
f[1]=VA*pdfn(d1)+exp(-r*T)*X*pdfn(d2)-VE;
f[2]=VA/VE*pdfn(d1)*sigmaA-sigmaE;
retp(f);
endp;
par0={38 ,0.6};
eqsolve(&fun,par0);
||F(X)|| at final solution: 19.484819
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Termination Code = 1:
Norm of the scaled function value is less than __Tol;
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VARIABLE START ROOTS F(ROOTS)
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X1 38.00000
38.961426 1.463655e-006
X2 0.60000
0.80000001 1.9773507e-007
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38.961426
0.80000001
1.0000000