include/stochastic_process.h

Go to the documentation of this file.

#if !defined (STOCHASTIC_PROCESS_H)
#define STOCHASTIC_PROCESS_H
/****************************************************************************/
#include "distributed_data.h"
#include "random_number.h"
/****************************************************************************/
class GBM{
 private:
  const int num_samples;
  const int dim;
  const double*  Xo;
  const double*  mu;
  const double*  sigma;
  RandomNumber** Z;
  double** Zptr;
  double* sig_squared;
  
 public:
  GBM(int num_samples, int dim,  double* Xo, double* mu, double* cov);
  ~GBM();
  double outcome(int sample_indx, int dim_indx, double Time) const;
};
/****************************************************************************/
class Option{
 protected:
  const double strike;
  const double time;
  const double r;
  const int dim;
  const double* So;
  const double* sigma;  
  RandomNumber* mc_outcomes;

 public:
  Option(double strike, double time, double r, 
         int dim, double* So, double* sigma);
  virtual double call() {return 0;}
};
/****************************************************************************/
class VanillaOption:public Option{
 public:
  VanillaOption(double strike, double time, double r, double* So, double* sigma);
  double call_MC(int num_samples);
  double call_BS();
  double call(){return VanillaOption::call_BS();}
};
/****************************************************************************/
class BasketOption:public Option{
 public:
  double call(int num_samples);
};
/****************************************************************************/
/* class StochasticProcess{ */
/*  private: */
/*   const Mat& sigma; */
/*   const Vec& mu; */

/*  public: */
/*   void expectation(int n, Vec & E_x, bool store_paths); */
/*   void covariance(int n, Mat & Cov_x, bool store paths); */
/* } */


/* class Option{ */
/*  protected: */
/*   double rn_price; */

/*  public: */
/* } */



#endif

---