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

getLastRunTime

long long int getLastRunTime (void)

This method returns the time the execution of the last call to run() took

Returns:

Execution time in microseconds