Monte-Carlo European¶
class xf::fintech::MCEuropean¶
#include "xf_fintech_mc_european.hpp"
Overview¶
This class implements the Monte-Carlo European model.
class MCEuropean: public xf::fintech::OCLController // fields static const int NUM_KERNELS
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 )
Runs a single asset until the specified 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 )
Runs 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 |
run overload (3)¶
int run ( OptionType* optionType, double* stockPrice, double* strikePrice, double* riskFreeRate, double* dividendYield, double* volatility, double* timeToMaturity, double* requiredTolerance, double* outputOptionPrice, unsigned int numAssets )
Process arrays of asset data until 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 required tolerance |
| outputOptionPrice | the option price |
| numAssets | the number of assets |
run overload (4)¶
int run ( OptionType* optionType, double* stockPrice, double* strikePrice, double* riskFreeRate, double* dividendYield, double* volatility, double* timeToMaturity, unsigned int* requiredSamples, double* outputOptionPrice, unsigned int numAssets )
Process arrays of asset data 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 |
| outputOptionPrice | the option price |
| numAssets | the number of assets |