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