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 & option object
PayOff payoff1 = new PayOffCall(strike);
VanillaOption option1 = new VanillaOption(payoff1, expiry);
VanillaOption option2 = new VanillaOption(payoff1, expiry);
//montecarlo simulation & output result
double result = SimpleMC4.SimpleMonteCarlo3(option1, spot, vol, r, number_of_paths);
Console.WriteLine("the call price is " + result.ToString());
result = SimpleMC4.SimpleMonteCarlo3(option2, spot, vol, r, number_of_paths);
Console.WriteLine("the call price is " + result.ToString());
//other payoff
PayOff payoff2 = new PayOffPut(strike);
VanillaOption option3 = new VanillaOption(payoff2, expiry);
option1 = option3.DeepCopy();
result = SimpleMC4.SimpleMonteCarlo3(option1, spot, vol, r, number_of_paths);
Console.WriteLine("the put price is " + result.ToString());
}
public static double SimpleMonteCarlo3(VanillaOption option,
double spot,
double vol,
double r,
ulong number_of_paths)
{
double expiry = option.Expiry;
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 += option.PayOff(this_spot);
}
return Math.Exp(-r * expiry) * (running_sum / number_of_paths);
}
public VanillaOption(VanillaOption original)
{
this.payoff = original.payoff.Clone();
this.Expiry = original.Expiry;
}