00001 #pragma once
00002
00003 #ifndef MCENGINE_H
00004 #define MCENGINE_H
00005
00006 #include "Random.h"
00007 #include "GaussianProcess.h"
00008 #include "PayOff.h"
00009 #include "../../common/Normals.h"
00010 #include "../../common/matrix.h"
00011
00012
00013 class MCEngine
00014 {
00015 public:
00024 MCEngine(LongNatural nPaths,LongNatural nDates,valarray<Real> DiscFactors);
00025 ~MCEngine();
00026
00029 MCEngine(void);
00035 MCEngine(LongNatural nPaths,Real DFToMaturity);
00036
00039 void RunEngineRainbow2SpreadOptionMax(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00040
00042 void RunEngineRainbow2AssetsBasketMax(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00043
00045 void RunEngineRainbowBestOf2AssetsCash(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation);
00046
00048 void RunEngineRainbowWorstOf2AssetsCash(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation);
00049
00051 void RunEngineRainbowMax2AssetsCall(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00052
00054 void RunEngineRainbowMin2AssetsCall(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00055
00057 void RunEngineRainbowMax2AssetsPut(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00058
00060 void RunEngineRainbowMin2AssetsPut(Random* pRandom,valarray<GaussianProcess> pHazardRateProcesses,PayOff thePayOff,Real gaussianSample,valarray<Real> TerminalPoints,valarray<Real> weights,Matrix Correlation,Real Mult);
00061
00063 void RunEngineAsianCall(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00064
00066 void RunEngineAsianPut(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00067
00069 void RunEngineCall(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray<Real> gaussianSample,valarray<Real> vHazardRatePath);
00070
00072 void RunEnginePut(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00073
00075 void RunEngineRevLookbackCall(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00076
00078 void RunEngineRevLookbackPut(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00079
00081 void RunEngineBarrierCall(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00082
00084 void RunEngineBarrierPut(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00085
00087 void RunEngineFlooredCliquet(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00088
00090 void RunEngineCappedCliquet(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray <Real> gaussianSample,valarray<Real> vHazardRatePath);
00091
00093 void RunEngineGeneral(Random* pRandom,GaussianProcess* pHazardRateProcess,PayOff thePayOff,valarray<Real> gaussianSample,valarray<Real> vHazardRatePath,Natural Product);
00094
00096 Real MCResult();
00097
00098 private:
00099 Real m_price,m_DiscFactor;
00100 LongNatural m_nPaths;
00101 LongNatural m_nDates;
00102 };
00103
00104 #endif
