25 lines
738 B
C++
25 lines
738 B
C++
|
//
|
||
|
|
// Created by David Doebel on 05.03.2026.
|
||
|
|
//
|
||
|
|
|
||
|
|
#include "MonteCarloEngine.hpp"
|
||
|
|
#include <iostream>
|
||
|
|
#include "Instrument.hpp"
|
||
|
|
#include "Statistics.hpp"
|
||
|
|
|
||
|
|
double MonteCarloEngine::calculate(const Instrument &instrument) const {
|
||
|
|
// parameters
|
||
|
|
double T = instrument.maturity();
|
||
|
|
double spot = process_->data().spot();
|
||
|
|
Statistics stats;
|
||
|
|
|
||
|
|
auto rNumbers = rng_->nextGaussianVector(numPaths_);
|
||
|
|
std::vector<double> payoffs(numPaths_);
|
||
|
|
for (std::size_t i = 0; i < numPaths_; ++i) {
|
||
|
|
double terminalPrice = process_->step(0.0,spot,T,rNumbers[i]);
|
||
|
|
double payoff = instrument.payoff()(terminalPrice);
|
||
|
|
stats.dump(payoff);
|
||
|
|
}
|
||
|
|
return stats.mean() * process_->data().yield_curve().discount(T);
|
||
|
|
}
|