SimpleMC6.cpp

#include "SimpleMC6.h"
#include "Random1.h"
#include <cmath>

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

double SimpleMonteCarlo4(const VanillaOption& TheOption,
							double Spot,
							const Parameters& Vol,
							const Parameters& r,
							unsigned long NumberOfPaths)
{
	double Expiry = TheOption.GetExpiry();
	double variance = Vol.IntegralSquare(0, Expiry);
	double rootVariance = sqrt(variance);
	double itoCorrection = -0.5*variance;
	double movedSpot = Spot*exp(r.Integral(0, Expiry) + itoCorrection);
	double thisSpot;
	double runningSum = 0;

	for(unsigned long i=0; i < NumberOfPaths; i++)
	{
		double thisGaussian = GetOneGaussianByBoxMuller();
		thisSpot = movedSpot * exp(rootVariance*thisGaussian);
		double thisPayOff = TheOption.OptionPayOff(thisSpot);
		runningSum += thisPayOff;
	}

	double mean = runningSum / NumberOfPaths;
	mean *= exp(-r.Integral(0, Expiry));

	return mean;
}