vanillamain4.cpp

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

//
//
//	             	VanillaMain4.cpp
//
// 
/*
    requires 
             Parameters.cpp,
             PayOff3.cpp, 
             PayOffBridge.cpp,            
             Random1.cpp, 
             SimpleMC6.cpp 
             Vanilla3.cpp 
  */
#include<SimpleMC6.h>
#include<iostream>
using namespace std;
#include<Vanilla3.h>

int main()
{

	double Expiry;
	double Strike; 
	double Spot; 
	double Vol; 
	double r; 
	unsigned long NumberOfPaths;

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

	cout << "\nStrike\n";
	cin >> Strike;

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

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

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

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

    PayOffCall thePayOff(Strike);
    VanillaOption theOption(thePayOff, Expiry);

    ParametersConstant VolParam(Vol);
    ParametersConstant rParam(r);

	double result = SimpleMonteCarlo4(theOption,
                                      Spot, 
                                      VolParam,
                                      rParam,
                                      NumberOfPaths);

	cout <<"\nthe call price is " << result << "\n";
    
    VanillaOption secondOption(theOption);

    result = SimpleMonteCarlo4(secondOption,
                               Spot, 
                               VolParam,
                               rParam,
                               NumberOfPaths);

	cout <<"\nthe call price is " << result << "\n";


    PayOffPut otherPayOff(Strike);
    VanillaOption thirdOption(otherPayOff, Expiry);
    theOption = thirdOption;

    result = SimpleMonteCarlo4(theOption,
                               Spot, 
                               VolParam,
                               rParam,
                               NumberOfPaths);


    cout <<"\nthe put 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.
*/