static void Main(string[] args)
{
//parameters
double expiry = 1.0;
double strike = 50.0;
double spot = 49.0;
ParametersConstant vol = new ParametersConstant(0.2);
ParametersConstant r = new ParametersConstant(0.01);
//input number of montecarlo paths
ulong number_of_paths = 10000;
//create payoff & option object
PayOff payoff = new PayOffCall(strike);
//implicit convert
VanillaOption option1 = new VanillaOption(payoff, expiry);
//montecarlo simulation & output result
StatisticsMC gatherer = new StatisticsMean();
SimpleMC7.SimpleMonteCarlo4(option1, spot, vol, r, number_of_paths, gatherer);
double[,] result = gatherer.GetResultsSoFar();
Console.WriteLine("For the call price, the results are ");
for (int i = 0; i < result.GetLength(0); i++)
{
for (int j = 0; j < result.GetLength(1); j++)
{
Console.WriteLine(result[i, j]);
}
}
}
public static void SimpleMonteCarlo4(VanillaOption option,
double spot,
Parameters vol,
Parameters r,
ulong number_of_paths,
StatisticsMC gatherer)
{
double expiry = option.Expiry;
double variance = vol.IntegralSquare(0, expiry);
double root_variance = Math.Sqrt(variance);
double moved_spot = spot * Math.Exp(r.Integral(0, expiry) - 0.5 * variance);
double this_spot;
double discounting = Math.Exp(-r.Integral(0, expiry));
for (ulong i = 0; i < number_of_paths; i++)
{
double this_gaussian = MyRandom.GetOneGaussianByBoxMuller();
this_spot = moved_spot * Math.Exp(root_variance * this_gaussian);
gatherer.DumpOneResult(discounting * option.OptionPayOff(this_spot));
}
}
