simplemc8.cpp

C++ design pattern in finance. Must know for QF engineers

//
//
//                      SimpleMC8.cpp
//                         
//
#include<SimpleMC8.h>
#include <cmath>
#include <Arrays.h>

// the basic math functions should be in namespace std but aren't in VCPP6
#if !defined(_MSC_VER)
using namespace std;
#endif

void SimpleMonteCarlo6(const VanillaOption& TheOption, 
						 double Spot, 
						 const Parameters& Vol, 
						 const Parameters& r, 
                         unsigned long NumberOfPaths,
						 StatisticsMC& gatherer,
                         RandomBase& generator)
{
    generator.ResetDimensionality(1);

    double Expiry = TheOption.GetExpiry();
	double variance = Vol.IntegralSquare(0,Expiry);
	double rootVariance = sqrt(variance);
	double itoCorrection = -0.5*variance;
	double movedSpot = Spot*exp(r.Integral(0,Expiry) +itoCorrection);

	double thisSpot;
    double discounting = exp(-r.Integral(0,Expiry));

    MJArray VariateArray(1);

	for (unsigned long i=0; i < NumberOfPaths; i++)
	{
        generator.GetGaussians(VariateArray);
		thisSpot = movedSpot*exp( rootVariance*VariateArray[0]);
		double thisPayOff = TheOption.OptionPayOff(thisSpot);
        gatherer.DumpOneResult(thisPayOff*discounting);
	}

    return;
}

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/