simplemcmain4.cpp

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

//
//
//		SimpleMCMain4.cpp
//
//     
/*
requires 
        PayOff2.cpp 
        Random1.cpp 
        SimpleMC2.cpp
*/
#include<SimpleMC2.h>
#include<iostream>
using namespace std;

int main()
{

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

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

	cout << "\nEnter strike\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;


    unsigned long optionType;

    cout << "\nenter 0 for call, otherwise put ";
    cin >> optionType;


    PayOff* thePayOffPtr; 

    if (optionType== 0)
        thePayOffPtr = new PayOffCall(Strike);
    else
        thePayOffPtr = new PayOffPut(Strike);

	double result = SimpleMonteCarlo2(*thePayOffPtr,
                                      Expiry,
                                      Spot, 
                                      Vol,
                                      r,
                                      NumberOfPaths);
	
	cout <<"\nthe price is " << result << "\n";
    double tmp;
    cin >> tmp;

    delete thePayOffPtr;

	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.
*/