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我有一个生成价格格子的函数和一个使用该格子为相关选项定价的函数。该generate_lattice函数为数组动态分配空间，并返回指向该数组的指针。这个指针就是传递给price_from_tree. 这是代码：

#include <iostream>
#include <math.h>

using std::cout;
using std::endl;
using std::max;
using std::nothrow;

double* generate_lattice(double asset_price, double u, double d, int periods)
{
    int nodes = (periods * (periods + 1)) / 2; //Number of nodes = sum(1, # of periods)
    double * lattice; 

    lattice = new (nothrow) double[nodes]; 
    double up, down;
    int price_index = 0;
    for (int period = 0; period < periods + 1; period++) {
        for (int exp = 0; exp < period + 1; exp++) {
            up = pow(1 + u, exp);
            down = pow(1 - d, period - exp);
            lattice[price_index] = asset_price * up * down;
            price_index++;
        }
    }
    return lattice;
}

double price_from_tree(double* lattice, int periods, double strike, double risk_free, double period_len_years, bool euro = true, bool call = true)
{
    int num_prices = ((periods + 1) * (periods + 2)) / 2;
    double asset_max = lattice[num_prices - 1];
    double asset_min = lattice[num_prices - (periods + 1)];
    double asset_t0 = lattice[0];
    double u = pow(asset_max / asset_t0, pow(periods, -1));
    double d = pow(asset_min / asset_t0, pow(periods, -1));
    double p = (exp(risk_free * period_len_years) - d) / (u - d);
    double p_minus1 = 1 - p;
    int start_node;
    if (euro == true) { start_node = num_prices - periods - 1; }
    else { start_node = 0; }
    int sign;
    if (call == true) { sign = 1; }
    else { sign = -1; }
    for (int node = start_node; node < num_prices; node++) {
        lattice[node] = max(sign * (lattice[node] - strike), 0.0);
    }
    int price_index = num_prices - 1;
    double pv_mult = exp(-risk_free * period_len_years);
    double down_payoff, up_payoff, prev_payoff;
    for (int period = periods + 1; period > 0; period--) {
        for (int node = 0; node < period - 1; node++) {
            down_payoff = lattice[price_index - (node + 1)];
            up_payoff = lattice[price_index - node];
            prev_payoff = pv_mult * (p * up_payoff + p_minus1 * down_payoff);
            if (euro == false) {
                prev_payoff = max(lattice[price_index - (node + 1) - (period - 1)], prev_payoff);
            }
            lattice[price_index - (node + 1) - (period - 1)] = prev_payoff;
        }
        price_index -= period;
    }
    return lattice[0];
}

int main(int argc, char** argv)
{
    double* lattice = generate_lattice(100, 0.10, 0.10, 2);
    double option1 = price_from_tree(lattice, 2, 105, 0.05, 1, true, true);
    cout<<"option 1: "<<option1<<endl;
    double* lattice2 = generate_lattice(100, 0.10, 0.10, 2);
    return 0;
}

当我运行代码时，我得到这个输出：

选项 1: 8.28214 测试: malloc.c:3096: sYSMALLOc: Assertion `(old_top == (((mbinptr) (((char *) &((av)->bins[((1) - 1) * 2]) )) - __builtin_offsetof (struct malloc_chunk, fd)))) && old_size == 0) || ((unsigned long) (old_size)

= (unsigned long)((((__builtin_offsetof (struct malloc_chunk, fd_nextsize))+((2 * (sizeof(size_t))) - 1)) & ~((2 * (sizeof(size_t))) - 1)) ) && ((old_top)->size & 0x1) && ((unsigned long)old_end & pagemask) == 0)' 失败。中止

------------------
(program exited with code: 134)

我可以在错误 134 上找到的所有描述都是The job is killed with an abort signal.按照代码返回正确的值price_from_tree在我尝试过的每种情况下，但是如果我包含对它的多次调用，generate_lattice则会失败并显示所述错误。我的price_from_tree函数是否存在导致内存混乱的问题？在这种情况下我最好使用向量吗？

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5 回答 5

3

你正在严重破坏你的堆。如果您使用 valgrind（假设您在 Linux 机器上）运行，则会出现大量错误。

==23357== Invalid write of size 8
==23357==    at 0x400B9E: generate_lattice(double, double, double, int) (so.cpp:21)
==23357==    by 0x400FC4: main (so.cpp:68)
==23357==  Address 0x595b058 is 0 bytes after a block of size 24 alloc'd
==23357==    at 0x4C27FFB: operator new[](unsigned long, std::nothrow_t const&) (vg_replace_malloc.c:325)
==23357==    by 0x400B1A: generate_lattice(double, double, double, int) (so.cpp:14)
==23357==    by 0x400FC4: main (so.cpp:68)
于 2012-05-08T18:48:39.827 回答
1

generate_lattice创建一个大小为 n*(n+1)/2 的数组，然后初始化该数组的 (n+1)*(n+1) 个元素，对吧？这可能会破坏堆或类似的奇怪东西。

我没有看，price_from_tree但是如果您只是将lattice其用作数组，我怀疑它会导致问题（除非您走到最后）。

于 2012-05-08T18:48:31.437 回答
1

你的数学是关闭的。在generate_lattice，price_index超越(periods * (periods + 1)) / 2。尝试：

int nodes = ((periods+1) * (periods + 2)) / 2; //Number of nodes = sum(1, # of periods + 1)
于 2012-05-08T18:46:46.500 回答
1

共享一维数组的索引计算lattice在两个函数之间是不一致的：

(periods * (periods + 1)) / 2;       // generate_lattice
((periods + 1) * (periods + 2)) / 2; // price_from_tree

这可能是相关 malloc 错误的来源。

于 2012-05-08T18:47:50.873 回答
0

您计算的节点数不正确，因此您正在运行数组的末尾。尝试使用句点 = 2。因为你正在做 < 句点+1，所以你必须将节点计算为 (句点+1)*(句点+2)/2

于 2012-05-08T18:50:27.990 回答