vanillamain1.cpp

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

//
//
//		VanillaMain1.cpp
//       
//
/* 
requires DoubleDigital.cpp 
         PayOff2.cpp 
         Random1.cpp 
         SimpleMC3.cpp       
         Vanilla1.cpp
*/

#include<SimpleMC3.h>
#include<DoubleDigital.h>
#include<iostream>
using namespace std;
#include<Vanilla1.h>

int main()
{
	double Expiry;
	double Low,Up; 
	double Spot; 
	double Vol; 
	double r; 
	unsigned long NumberOfPaths;

	cout << "\nEnter expiry\n";
	cin >> Expiry;

	cout << "\nEnter low barrier\n";
	cin >> Low;

	cout << "\nEnter up barrier\n";
	cin >> Up;

	cout << "\nEnter spot\n";
	cin >> Spot;

	cout << "\nEnter vol\n";
	cin >> Vol;

	cout << "\nr\n";
	cin >> r;

	cout << "\nNumber of paths\n";
	cin >> NumberOfPaths;

    PayOffDoubleDigital thePayOff(Low,Up);

    VanillaOption theOption(thePayOff, Expiry);

	double result = SimpleMonteCarlo3(theOption,
                                      Spot, 
                                      Vol,
                                      r,
                                      NumberOfPaths);
	
	cout <<"\nthe price is " << result << "\n";
    double tmp;
    cin >> tmp;

	return 0;

}
/*
 *
 * 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.
*/