mcbystratify.h

蒙特卡罗期权定价 布朗桥方法 分层样本方法

#define MCbyStratify_H

class MCbyStratify
{

public:
		
	MCbyStratify(double Expiry,double Strike,double Spot,double Vol,double rate,double d, double PathNumber)
	{
		 T=Expiry;   // time to maturity 
		 K=Strike;   // strike price
		 S=Spot;   // spot price
		 vol=Vol; // volatility
		 r=rate;   // interest rate
		 div=d; // dividend
		 NumberOfPaths=PathNumber;
	} 

	void StratifyPricing(
		double NumStra,
		double NumDates,
		double& VanillaCallPrice,
		double& GeometricAsianCallPrice,
		double& ArithmeticAsianCallPrice
		) 
	{	

		
	
		double callsum =0;
		double GeometricCallSum=0;
		double ArithmeticCallSum=0;
		double stockK;  // The simulated stock price at maturity
		double rootT = sqrt(T);
		// Calculate the fixed part of the price.
		double base = S*exp(r-div - vol*vol/2)* T; 
		BrownianBridgePath Path1(NumStra,NumDates,NumberOfPaths);
		Path1.GetVanillaPath();
		//ofstream outfile("ddd.txt");
		//for(int i=1;i<=NumberOfPaths;i++)
		//	outfile<<Path1.getW(i,1)<<endl;

		BrownianBridgePath Path2(NumStra,NumDates,NumberOfPaths);
		Path2.GetAsianPath();
		//ofstream outfile1("ddd1.txt");
		//for(int i=1;i<=NumberOfPaths;i++)
		//outfile1<<Path2.getW(i,1)<<'\t'<<Path2.getW(i,2)<<'\t'<<Path2.getW(i,3)<<'\t'<<Path2.getW(i,4)<<'\t'<<Path2.getW(i,5)<<'\t'<<Path2.getW(i,6)<<endl;

		for (unsigned long i=1; i <= NumberOfPaths; i++)
		{
			double tGaussian = Path1.getW(i,1);
			
			stockK =S* exp((r-div-vol*vol/2.0)*T+ vol*tGaussian);

			double Gaussian[7];
			for(int j=1;j<=6;j++)
				Gaussian[j] = Path2.getW(i,j);
			double s[7];s[0]=100;
			double TT;
			double SumGeometric=1;
			double SumArithmetic=0;

			//ofstream outfile3("aaa.txt",ios::app);
			//outfile3<<stockK<<endl;

			for(int k=1;k<=6;k++)
			{
				TT=T*k/6.0;
				rootT = sqrt(TT);
				s[k] = s[0]* exp((r-div-vol*vol/2.0)*TT+ vol*Gaussian[k]);
				SumGeometric*=s[k];
				SumArithmetic+=s[k];
				
			}

			double GeometricMean=pow(SumGeometric,1.0/6);
			double ArithmeticMean=SumArithmetic/6.0;

			double tPayoff = stockK - K;
			double GeometricAsianPayoff=GeometricMean-K;
			double ArithmeticAsianPayoff=ArithmeticMean-K;

			if (tPayoff > 0){
				// We will exercise the call option
				callsum += tPayoff;
			} 
			if (GeometricAsianPayoff> 0){
				// We will exercise the call option
				GeometricCallSum += GeometricAsianPayoff;
			} 
			if (ArithmeticAsianPayoff > 0){
				// We will exercise the call option
				ArithmeticCallSum += ArithmeticAsianPayoff;
			} 
		}

		VanillaCallPrice = callsum / NumberOfPaths * exp(-r*T)	;
		GeometricAsianCallPrice=GeometricCallSum/NumberOfPaths * exp(-r*T)	;
		ArithmeticAsianCallPrice=ArithmeticCallSum/NumberOfPaths * exp(-r*T)	;
	}

private:
		double T;   // time to maturity 
		double K;   // strike price
		double S;   // spot price
		double vol; // volatility
		double r;   // interest rate
		double div; // dividend
		unsigned long NumberOfPaths; 

};