public BrownianBridgePricer(Payoff payoff, Func <double> discounter, GBM stochasticDE, double step) : base(payoff, discounter)
{
price = sum = sum2 = 0.0; NSim = 0;
rand = new Random();
dt = step;
sde = stochasticDE;
}
public static void Main()
{
// Choose which builder to use
int choice = 1;
Builder <ISde <double>, FdmBase <double>, IRng <double> > factory = ChooseBuilder(choice);
// Create the parts of the object network
Tuple <ISde <double>, FdmBase <double>, IRng <double> > parts2 = factory();
int NSim = 1000000;
Console.Write("How many NSim? ");
NSim = Convert.ToInt32(Console.ReadLine());
MCMediator <double> mcp = new MCMediator <double>(parts2, NSim);
/* double v = 0.2;
* double r = 0.05;
* double div = 0.0;
* double IC = 100.0;
* double T = 1.0;
* double K = 100.0;
* double beta = 1.0;// 2.0 / 3.0;*/
double r = 0.08;
double v = 0.3;
double div = 0.0;
double IC = 60.0;
double T = 0.25;
double K = 65.0;
double beta = 1.0;
/* double r = 0.08;
* double v = 0.3;
* double div = 0.0;
* double IC = 60.0;
* double T = 0.25;
* double K = 65.0;
* double beta = 1.0;*/
// Events
Payoff <double> payoff = x => Math.Max(0.0, K - x);
// Payoff<double> payoff = x => Math.Max(0.0, x - K);
// Console.WriteLine(payoff(75.0));
Func <double> discounter = () => Math.Exp(-r * T);
IPricer <double> op = new EuropeanPricer <double>(payoff, discounter);
IPricer <double> op2 = new BarrierPricer <double>(payoff, discounter);
GBM <double> sde = new GBM <double>(r, v, div, IC, T);
int NT = 400;
IPricer <double> op3 = new BrownianBridgePricer <double>(payoff, discounter, sde, NT);
IPricer <double> op4 = new AsianPricer <double>(payoff, discounter);
// Define slots for path information
mcp.path += op.ProcessPath;
// mcp.path += op2.ProcessPath;
// mcp.path += op3.ProcessPath;
// mcp.path += op4.ProcessPath;
// Signal end of simulation
mcp.finish += op.PostProcess;
// mcp.finish += op2.PostProcess;
// mcp.finish += op3.PostProcess;
// mcp.finish += op4.PostProcess;
mcp.start();
}
