mainmontecarlo.cpp File Reference

#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>

Go to the source code of this file.

Functions
bool	mainmontecarlo (void)
	test the montecarlo option pricer functionality
Real	mainmc (Real Expiry, Real Strike, Real Spot, volsurface *pvolsurface, yieldCurve *pyieldCurve, LongNatural nPaths, LongNatural nDates, Integer PrdName)

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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().

bool mainmontecarlo (  void   )

test the montecarlo option pricer functionality Returns: true if pass, otherwise fail Definition at line 19 of file mainmontecarlo.cpp. References LongNatural, mainmc(), and Real. Referenced by maintests().

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