mainmontecarlo.cpp

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#include "../Interface/main.h"
#include"../PartA/MonteCarlo1/ParkMiller.h"
#include"../PartA/MonteCarlo1/MersenneTwister.h"
#include"../PartA/MonteCarlo1/RandC.h"
#include"../PartA/MonteCarlo1/Sobol.h"
#include"../PartA/MonteCarlo1/GaussianProcess.h"
#include"../common/Normals.h"
#include"../PartA/MonteCarlo1/PayOff.h"
#include"../PartA/MonteCarlo1/Random.h"
#include"../PartB/YieldCurve.h"
#include"../PartA/MonteCarlo1/Drift.h"
#include"../PartA/MonteCarlo1/MCEngine.h"
#include "time.h"

#include<iostream>
#include<valarray>
using namespace std;

bool mainmontecarlo(void) {
    Real spot=100, strike=110, vol=0.2, mat=1.,rate=0.02;
        LongNatural nPaths=100000,nDates=1;
        volsurface* myvol=new volsurface(vol);
        yieldCurve* mycurve=new yieldCurve(rate);
        //Set time
        Real tme;
        tme=clock();
        Real mcPrice=mainmc(mat,strike,spot,myvol,mycurve,nPaths,nDates,1);
        tme=clock()-tme;
        cout<<"MC price"<<endl;
        cout<<mcPrice<<endl;
        cout<<"MC time"<<endl;
        cout<<tme/1000.<<endl;
        if (mcPrice>4.96 || mcPrice<4.92) {
                cout <<"did not get expected result for MC pricer - Part A"<<endl;
                return false;
        } else return true;
}

Real 
mainmc(Real Expiry, Real Strike, Real Spot, volsurface* pvolsurface, yieldCurve* pyieldCurve,
           LongNatural nPaths, LongNatural nDates, Integer PrdName)
{
        Real initialHazardRate,meanReversionSpeed,price=0;
        valarray <Real> vStepIncrements,vDrift;
        valarray <Real> vPath;
        valarray <Real> vDiscFactors;
        valarray<Real> uniformSample;
        valarray <Real> gaussianSample;
        valarray<LongInteger> vDates;
        LongNatural i,seed;
        
        //seed  
        seed = 100000000;

        //initialisation of arrays
        vPath.resize(nDates);
        vStepIncrements.resize(nDates);
        vDiscFactors.resize(nDates);
        vDrift.resize(nDates);
        vDates.resize(nDates+1);
        uniformSample.resize(nDates);
        gaussianSample.resize(nDates);

        const Real constRate=r;
        initialHazardRate=Spot;
        meanReversionSpeed=0.;

        Date Today=Date();
        Today.setDateToToday();

        //initialisation of drift
        Drift* pDrift = new Drift(Today, Expiry,nDates,pyieldCurve,pvolsurface,Strike);
        vDrift=pDrift->GetvDrift();
        vDates=pDrift->GetvDates();

        //initialisation of uniform number generator
        MersenneTwister* pRandGen = new MersenneTwister(seed);

        //initialisation of random generator
        Random* pRandom = new Random(nDates,pRandGen);
        
        //initialisation of gaussian process
        GaussianProcess* pGaussianProcess = new GaussianProcess(vDates,nDates,initialHazardRate,vDrift,meanReversionSpeed,pvolsurface,Strike);
        
        //initialisation of default jump process 
        pGaussianProcess->GetStepIncrements(vStepIncrements);
        
        //initialisation of payoff function
        PayOff thePayOff(Strike);

        //initialisation of yield curve
        for (i=0;i<nDates;++i)
                vDiscFactors[i] = pyieldCurve->discountFactor((i+1)*Expiry/nDates);

        MCEngine* pMCEngine = new MCEngine(nPaths,nDates,vDiscFactors);
        pMCEngine->RunEngineGeneral(pRandom,pGaussianProcess,thePayOff,gaussianSample,vPath,PrdName);
        price=pMCEngine->MCResult();
        pRandom->SetSeed(seed);

        delete pyieldCurve;
        delete pvolsurface;
        delete pDrift;
        delete pRandom;
        delete pGaussianProcess;

        return price;

}

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