コード例 #1
0
        static void Main(string[] args)
        {
            //parameters
            double expiry = 1.0;
            double strike = 50.0;
            double spot = 49.0;
            double vol = 0.2;
            double r = 0.01;

            //input number of montecarlo paths
            ulong number_of_paths = 10000;
            Console.Write("Enter number of montecarlo paths : ");
            number_of_paths = ulong.Parse(Console.ReadLine());

            //create payoff object
            PayOff call_payoff = new PayOff(strike, PayOff.OptionType.call);
            PayOff put_payoff  = new PayOff(strike, PayOff.OptionType.put);

            //montecarlo simulation & output result
            double result = SimpleMC.SimpleMonteCarlo2(call_payoff, expiry, spot, vol, r, number_of_paths);
            Console.WriteLine("the call price is " + result.ToString());

            result = SimpleMC.SimpleMonteCarlo2(put_payoff, expiry, spot, vol, r, number_of_paths);
            Console.WriteLine("the put price is " + result.ToString());
        }
コード例 #2
0
        public static double SimpleMonteCarlo2(PayOff payoff,
                                double expiry,
                                double spot,
                                double vol,
                                double r,
                                ulong number_of_paths)
        {
            double variance = vol * vol * expiry;
            double root_variance = Math.Sqrt(variance);
            double moved_spot = spot * Math.Exp(r * expiry - 0.5 * variance);

            double this_spot;
            double running_sum = 0;
            for (ulong i = 0; i < number_of_paths; i++)
            {
                double this_gaussian = MyRandom.GetOneGaussianByBoxMuller();
                this_spot = moved_spot * Math.Exp(root_variance * this_gaussian);
                running_sum += payoff.Do(this_spot);
            }
            return Math.Exp(-r * expiry) * (running_sum / number_of_paths);
        }