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; Console.Write("Enter number of montecarlo paths : "); number_of_paths = ulong.Parse(Console.ReadLine()); //create payoff & option object PayOff payoff = new PayOffCall(strike); //implicit convert VanillaOption option1 = new VanillaOption(payoff, expiry); //montecarlo simulation & output result double result = SimpleMC6.SimpleMonteCarlo4(option1, spot, vol, r, number_of_paths); Console.WriteLine("the call price is " + result.ToString()); }
public PayOffCall(PayOffCall payoff) : this(payoff.strike_) { }