Exotics.h File Reference

#include "./../PartB/yieldCurve.h"
#include "./../PartE/volsurface.h"
#include <valarray>

Go to the source code of this file.

Classes
class	Exotics
Enumerations
enum	exoticsType {   AsianCall, AsianPut, RevLookbackCall, RevLookbackPut,   FlooredCliquet, CappedCliquet, CollaredCliquet, BarrierCall,   BarrierPut }
Functions
Real	mainmc (Real Expiry, Real Strike, Real Spot, volsurface *pvolsurface, yieldCurve *pyieldCurve, LongNatural nPaths, LongNatural nDates, Integer PrdName)
Variables
const Real	defaultShiftVolSurface = 0.01
const Real	defaultAdvDays = 1.

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Enumeration Type Documentation

enum exoticsType

Enumeration values: AsianCall  AsianPut  RevLookbackCall  RevLookbackPut  FlooredCliquet  CappedCliquet  CollaredCliquet  BarrierCall  BarrierPut  Definition at line 22 of file Exotics.h. Referenced by choiceToType(), and inputExoticOptionOnSingleAsset().

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Function Documentation

Real mainmc (  Real  Expiry, Real  Strike, Real  Spot, volsurface *  pvolsurface, yieldCurve *  pyieldCurve, LongNatural  nPaths, LongNatural  nDates, Integer  PrdName )

Definition at line 40 of file mainmontecarlo.cpp. References yieldCurve::discountFactor(), GaussianProcess::GetStepIncrements(), Drift::GetvDates(), Drift::GetvDrift(), Integer, LongNatural, MCEngine::MCResult(), r, Real, MCEngine::RunEngineGeneral(), Date::setDateToToday(), and Random::SetSeed(). Referenced by Exotics::getPrice(), mainbinomialtree(), and mainmontecarlo().

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Variable Documentation

const Real defaultAdvDays = 1. [static]

Definition at line 17 of file Exotics.h.

const Real defaultShiftVolSurface = 0.01 [static]

Author: Simon Definition at line 16 of file Exotics.h.

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