cppfin/SimpleMCMain2.cpp at master · LI7CH3135/cppfin · GitHub

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/* requires
PayOff1.cpp Random1.cpp, SimpleMC.cpp,
*/
#include"SimpleMC.h"
#include<iostream>
using namespace std;

int main()
{
	double Expiry;
	double Strike;
	double Spot; double Vol;
	double r;
	unsigned long NumberOfPaths;

	cout << "\nEnter expiry\n";
	cin >> Expiry;

	cout << "\nEnter strike\n";
	cin >> Strike;

	cout << "\nEnter spot\n";
	cin >> Spot;

	cout << "\nEnter vol\n";
	cin >> Vol;

	cout << "\nr\n";
	cin >> r;

	cout << "\nNumber of paths\n";
	cin >> NumberOfPaths;

	PayOff callPayOff(Strike, PayOff::call);
	PayOff putPayOff(Strike, PayOff::put);

	double resultCall = SimpleMonteCarlo2(callPayOff,
		Expiry,
		Spot,
		Vol,
		r,
		NumberOfPaths);

	double resultPut = SimpleMonteCarlo2(putPayOff,
		Expiry,
		Spot,
		Vol,
		r,
		NumberOfPaths);

	cout << "the prices are " << resultCall
		<< " for the call and "
		<< resultPut
		<< " for the put\n";

	double tmp;
	cin >> tmp;

	return 0;
}