Vanilla Option Pricing via C++

来源：互联网发布：淘宝网美肤宝眼霜编辑：程序博客网时间：2024/06/07 07:15

Box-Muller Algorithm, generate Gaussian random numbers

#ifndef BM_GAUSSIAN_HPP_INCLUDED#define BM_GAUSSIAN_HPP_INCLUDED#include <cstdlib>#include <cmath>#include <vector>double uniformRandom(){  return (double)(rand()+1.0)/(double)(RAND_MAX+1.0);}void normalRandom(std::vector<double>& v){  double u1=uniformRandom();  double u2=uniformRandom();  v[0] = cos(8.0*atan(1.0)*u2)*sqrt(-2.0*log(u1));  v[1] = sin(8.0*atan(1.0)*u1)*sqrt(-2.0*log(u2));}#endif // BM_GAUSSIAN_HPP_INCLUDED

main function

#include <iostream>#include <cstdlib>#include <cmath>#include <vector>#include <./BM_Gaussian.hpp>using namespace std;int main(){    // set option contract parameters;    double T = 1.0;    double K = 100;    double S0 = 100;    double sigma  = 0.1;    double r = 0.01;    int npaths = 100000;    int nsteps = 100/2;    double S;    vector<double> rnorm(2);    double sumpayoff = 0.0;    double dt = double(T)/double(nsteps);    for (int i=0; i<npaths; i++){        S = S0;        for (int j=0; j<nsteps; j++){            normalRandom(rnorm);            S *= exp((r-0.5*sigma*sigma)*dt + sigma*sqrt(dt)*rnorm[0]);            S *= exp((r-0.5*sigma*sigma)*dt + sigma*sqrt(dt)*rnorm[1]);        }        sumpayoff += max(S-K, 0.0);    }    double callprice = double(sumpayoff)/double(npaths);    cout << "Call Price: " << callprice << endl;    return 0;}

0 0