int main()
{
double Strike;
std::string name;
cout << "Enter strike\n";
cin >> Strike;
cout << "\npay-off name\n";
cin >> name;
PayOff* PayOffPtr = PayOffFactory::Instance().CreatePayOff(name,Strike);
if (PayOffPtr != NULL)
{
double Spot;
cout << "\nspot\n";
cin >> Spot;
cout << "\n" << PayOffPtr->operator ()(Spot) << "\n";
delete PayOffPtr;
}
PayOffBridge::PayOffBridge(const PayOff& innerPayOff)
{
ThePayOffPtr = innerPayOff.clone();
}
VanillaOption::VanillaOption(const PayOff& ThePayOff_, double Expiry_) : Expiry(Expiry_)
{
// Call the virtual constructor so as to really creat another object. So the PayOff object in this
// VanillaOption object will not depend on the object outside.
ThePayOffPtr = ThePayOff_.clone();
}
VanillaOption::VanillaOption(const PayOff& ThePayOff_, double Expiry_)
: Expiry(Expiry_)
{
ThePayOffPtr = ThePayOff_.clone();
}
int main()
{
double Expiry=1;
//double Low,Up;
double Spot=100;
double Vol=0.15;
double r=0.05;
unsigned long NumberOfPaths=100000;
double Strike[1];
Strike[0]=50;
Strike[1]=200;
std::string name;
cout << "\npay-off name\n";
cin >> name;
// cout << "Enter strike 1\n";
// cin >> Strike[0];
//
//cout << "Enter strike 2 (for double barrier for example)\n";
//cin >> Strike[1];
// create an option of type name with give strike(s) from the factory
PayOff* PayOffPtr = PayOffFactory::Instance().CreatePayOff(name,Strike);
//now convert this payoffptr to a VanillaOption to plug in to SimpleMonteCarlo6
VanillaOption theOption(*PayOffPtr, Expiry);
if (PayOffPtr != NULL)
{
// double Spot=100;
//cout << "\nspot\n";
// cin >> Spot;
cout << "\n PayOff with Spot " << Spot << " is "<< PayOffPtr->operator ()(Spot) << "\n";
cout << "\n PayOff with Spot " << Spot << " is "<< (*PayOffPtr)(Spot) << "\n"; // these two are the same.
ParametersConstant VolParam(Vol);
ParametersConstant rParam(r);
StatisticsMean gatherer;
ConvergenceTable gathererTwo(gatherer);
RandomParkMiller generator(1);
//RandomMersTwister generator(1);
AntiThetic GenTwo(generator);
//using the MC routine in SimpleMC8 - the first argument is of type VanillaOption so we have
// converted PayOffPtr genearated by the factory to theOption - which is of type VanillaOption
// (VanillaOption contains the expirty time as extra information)
SimpleMonteCarlo6(theOption,
Spot,
VolParam,
rParam,
NumberOfPaths,
gathererTwo,
generator); // no Antithetic
//GenTwo); // Antithetic
vector<vector<double> > results =gathererTwo.GetResultsSoFar();
cout <<"\nFor the " << name << " price the results are \n";
for (unsigned long i=0; i < results.size(); i++)
{
for (unsigned long j=0; j < results[i].size(); j++)
cout << results[i][j] << " ";
cout << "\n";
}
delete PayOffPtr;
}
double tmp;
cin >> tmp;
return 0;
}