Monte-Carlo American¶
class xf::fintech::MCAmerican¶
#include "xf_fintech_mc_american.hpp"
Overview¶
This class implements the Monte-Carlo American model.
class MCAmerican: public xf::fintech::OCLController
Inherited Members¶
Methods¶
run¶
run overload (1)¶
int run ( OptionType optionType, double stockPrice, double strikePrice, double riskFreeRate, double dividendYield, double volatility, double timeToMaturity, double requiredTolerance, double* pOptionPrice )
Run a single asset until the REQUIRED TOLERANCE is met…
Parameters:
| optionType | either American/European Call or Put |
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRate | the risk free interest rate |
| dividendYield | the dividend yield |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| requiredTolerance | the tolerance |
| pOptionPrice | the returned option price |
run overload (2)¶
int run ( OptionType optionType, double stockPrice, double strikePrice, double riskFreeRate, double dividendYield, double volatility, double timeToMaturity, unsigned int requiredSamples, double* pOptionPrice )
Run a single asset for the REQUIRED NUMBER OF SAMPLES…
Parameters:
| optionType | either American/European Call or Put |
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRate | the risk free interest rate |
| dividendYield | the dividend yield |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| requiredSamples | the number of samples |
| pOptionPrice | the returned option price |