cppfin/SimpleMCMain5.cpp at master · LI7CH3135/cppfin · GitHub

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//
//
//		SimpleMCMain5.cpp
//
//
/*
requires DoubleDigital.cpp
         PayOff2.cpp
         Random1.cpp
         SimpleMC2.cpp
*/
#include"SimpleMC2.h"
#include"DoubleDigital.h"
#include<iostream>
using namespace std;

int main()
{

	double Expiry;
	double Low,Up;
	double Spot;
	double Vol;
	double r;
	unsigned long NumberOfPaths;

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

	cout << "\nEnter low barrier\n";
	cin >> Low;

	cout << "\nEnter up barrier\n";
	cin >> Up;

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

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

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

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

    PayOffDoubleDigital thePayOff(Low,Up);

	double result = SimpleMonteCarlo2(thePayOff,
                                      Expiry,
                                      Spot,
                                      Vol,
                                      r,
                                      NumberOfPaths);

	cout <<"\nthe price is " << result << "\n";
    double tmp;
    cin >> tmp;

	return 0;

}

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/