Changeset 195

Timestamp:

05/27/08 20:40:06 (6 months ago)

Author:

snovik

Message:

New: MC, first successful compilation

Files:

• trunk/QLNet/Examples/EquityOption/EquityOption.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Math/statistics/riskstatistics.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Pricingengines/vanilla/mceuropeanengine.cs (modified) (1 diff)

trunk/QLNet/Examples/EquityOption/EquityOption.cs

@@ -218 +218 @@
-            Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
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-            //// Monte Carlo Method: QMC (Sobol)

trunk/QLNet/QLNet/Math/statistics/riskstatistics.cs

@@ -201 +201 @@
-        }
-    }
+
+    //! default statistics tool
+    /*! \test the correctness of the returned values is tested by checking them against numerical calculations. */
+    public class Statistics : RiskStatistics { }
-}

trunk/QLNet/QLNet/Pricingengines/vanilla/mceuropeanengine.cs

@@ -53 +53 @@
-    }
-
+
+    //! Monte Carlo European engine factory
+    // template <class RNG = PseudoRandom, class S = Statistics>
+    public class MakeMCEuropeanEngine<RNG> : MakeMCEuropeanEngine<RNG, Statistics> {
+        public MakeMCEuropeanEngine(GeneralizedBlackScholesProcess process) : base(process) { }
+    }
+
+    public class MakeMCEuropeanEngine<RNG, S> where S : IGeneralStatistics, new() {
+        private GeneralizedBlackScholesProcess process_;
+        private bool antithetic_, controlVariate_;
+        private int steps_, stepsPerYear_, samples_, maxSamples_;
+        private double tolerance_;
+        private bool brownianBridge_;
+        private ulong seed_;
+
+        public MakeMCEuropeanEngine(GeneralizedBlackScholesProcess process) {
+            process_ = process;
+        }
+
+        // named parameters
+        public MakeMCEuropeanEngine<RNG, S> withSteps(int steps) {
+            steps_ = steps;
+            return this;
+        }
+        public MakeMCEuropeanEngine<RNG, S> withStepsPerYear(int steps) {
+            stepsPerYear_ = steps;
+            return this;
+        }
+        //public MakeMCEuropeanEngine withBrownianBridge(bool b = true);
+        public MakeMCEuropeanEngine<RNG, S> withBrownianBridge(bool brownianBridge) {
+            brownianBridge_ = brownianBridge;
+            return this;
+        }
+        public MakeMCEuropeanEngine<RNG, S> withSamples(int samples) {
+            if(tolerance_ != 0)
+                throw new ApplicationException("tolerance already set");
+            samples_ = samples;
+            return this;
+        }
+        public MakeMCEuropeanEngine<RNG, S> withTolerance(double tolerance) {
+            if(samples_ != 0)
+                throw new ApplicationException("number of samples already set");
+            if (PseudoRandom.allowsErrorEstimate != 0)
+                throw new ApplicationException("chosen random generator policy does not allow an error estimate");
+            tolerance_ = tolerance;
+            return this;
+        }
+        public MakeMCEuropeanEngine<RNG, S> withMaxSamples(int samples) {
+            maxSamples_ = samples;
+            return this;
+        }
+        public MakeMCEuropeanEngine<RNG, S> withSeed(ulong seed) {
+            seed_ = seed;
+            return this;
+        }
+        //public MakeMCEuropeanEngine withAntitheticVariate(bool b = true)
+        public MakeMCEuropeanEngine<RNG, S> withAntitheticVariate(bool b) {
+            antithetic_ = b;
+            return this;
+        }
+        //public MakeMCEuropeanEngine withControlVariate(bool b = true)
+        public MakeMCEuropeanEngine<RNG, S> withControlVariate(bool b) {
+            controlVariate_ = b;
+            return this;
+        }
+
+        // conversion to pricing engine
+        public IPricingEngine value() {
+            if (steps_ == 0 && stepsPerYear_ == 0)
+                throw new ApplicationException("number of steps not given");
+            if (!(steps_ == 0 || stepsPerYear_ == 0))
+                throw new ApplicationException("number of steps overspecified");
+            return new MCEuropeanEngine<RNG,S>(process_, steps_, stepsPerYear_, brownianBridge_, antithetic_,
+                                               controlVariate_, samples_, tolerance_, maxSamples_, seed_);
+        }
+    }
+
+
-    public class EuropeanPathPricer : PathPricer<Path> {
-        private PlainVanillaPayoff payoff_;