SimpleMC.cpp

#include "StdAfx.h"
#include "SimpleMC.h"
#include "Random1.h"
#include <cmath>

#if !defined(_MSC_VER)
using namespace std;
#endif

double SimpleMonteCarlo2(const PayOff& thePayOff,
						double Expiry,
						double Spot,
						double Vol,
						double r,
						unsigned long NumberOfPaths)
{
	double variance = Vol*Vol*Expiry;
	double rootVariance = sqrt(variance);
	double itoCorrection = -0.5*variance;

	double movedSpot = Spot*exp(r*Expiry + itoCorrection);
	double thisSpot;
	double runningSum=0;

	for (unsigned long i=0; i < NumberOfPaths; ++i)
	{
		double thisGuassian = GetOneGaussianByBoxMuller();
		thisSpot = movedSpot*exp( rootVariance*thisGuassian );
		double thisPayoff = thePayOff(thisSpot);
		runningSum += thisPayoff;
	}

	double mean = runningSum / NumberOfPaths;
	mean *= exp(-r*Expiry);
	return mean;
}