90 lines
2.8 KiB
Java
90 lines
2.8 KiB
Java
|
|
|
|
import edu.princeton.cs.introcs.StdIn;
|
|
import edu.princeton.cs.introcs.StdOut;
|
|
|
|
/*************************************************************************
|
|
* Compilation: javac Arbitrage.java
|
|
* Execution: java Arbitrage < input.txt
|
|
* Dependencies: EdgeWeightedDigraph.java DirectedEdge.java
|
|
* BellmanFordSP.java
|
|
* Data file: http://algs4.cs.princeton.edu/44sp/rates.txt
|
|
*
|
|
* Arbitrage detection.
|
|
*
|
|
* % more rates.txt
|
|
* 5
|
|
* USD 1 0.741 0.657 1.061 1.005
|
|
* EUR 1.349 1 0.888 1.433 1.366
|
|
* GBP 1.521 1.126 1 1.614 1.538
|
|
* CHF 0.942 0.698 0.619 1 0.953
|
|
* CAD 0.995 0.732 0.650 1.049 1
|
|
*
|
|
* % java Arbitrage < rates.txt
|
|
* 1000.00000 USD = 741.00000 EUR
|
|
* 741.00000 EUR = 1012.20600 CAD
|
|
* 1012.20600 CAD = 1007.14497 USD
|
|
*
|
|
*************************************************************************/
|
|
|
|
/**
|
|
* The Arbitrage class provides a client that finds an arbitrage
|
|
* opportunity in a currency exchange table by constructing a
|
|
* complete-digraph representation of the exchange table and then finding
|
|
* a negative cycle in the digraph.
|
|
*
|
|
* This implementation uses the Bellman-Ford algorithm to find a
|
|
* negative cycle in the complete digraph.
|
|
* The running time is proportional to V <sup>3</sup> in the
|
|
* worst case, where V is the number of currencies.
|
|
*
|
|
* For additional documentation,
|
|
* see <a href="http://algs4.cs.princeton.edu/44sp">Section 4.4</a> of
|
|
* Algorithms, 4th Edition by Robert Sedgewick and Kevin Wayne.
|
|
*
|
|
* @author Robert Sedgewick
|
|
* @author Kevin Wayne
|
|
*/
|
|
public class Arbitrage {
|
|
|
|
// this class cannot be instantiated
|
|
private Arbitrage() { }
|
|
|
|
/**
|
|
* Reads the currency exchange table from standard input and
|
|
* prints an arbitrage opportunity to standard output (if one exists).
|
|
*/
|
|
public static void main(String[] args) {
|
|
|
|
// V currencies
|
|
int V = StdIn.readInt();
|
|
String[] name = new String[V];
|
|
|
|
// create complete network
|
|
EdgeWeightedDigraph G = new EdgeWeightedDigraph(V);
|
|
for (int v = 0; v < V; v++) {
|
|
name[v] = StdIn.readString();
|
|
for (int w = 0; w < V; w++) {
|
|
double rate = StdIn.readDouble();
|
|
DirectedEdge e = new DirectedEdge(v, w, -Math.log(rate));
|
|
G.addEdge(e);
|
|
}
|
|
}
|
|
|
|
// find negative cycle
|
|
BellmanFordSP spt = new BellmanFordSP(G, 0);
|
|
if (spt.hasNegativeCycle()) {
|
|
double stake = 1000.0;
|
|
for (DirectedEdge e : spt.negativeCycle()) {
|
|
StdOut.printf("%10.5f %s ", stake, name[e.from()]);
|
|
stake *= Math.exp(-e.weight());
|
|
StdOut.printf("= %10.5f %s\n", stake, name[e.to()]);
|
|
}
|
|
}
|
|
else {
|
|
StdOut.println("No arbitrage opportunity");
|
|
}
|
|
}
|
|
|
|
}
|