Re: Manto carlo: MCEuropeanEngine

Hi Risco,

Risco Mutelo schrieb: the correct call of the constructor is the following:

boost::shared_ptr<MCEuropeanEngine<PseudoRandom,Statistics> >
myPathPricer(new MCEuropeanEngine<PseudoRandom, Statistics>(diffusion,
timeSteps, timeStepsPerYear,
             brownianBridge, antitheticVariate, controlVariate,
             requiredSamples, requiredTolerance, maxSamples, seed));

But this wont compile too, since diffusion do not have the correct type.
Change the type from diffusion into  
boost::shared_ptr<GeneralizedBlackScholesProcess>, then the code will
compile.

Best regards,
Kim
> I will be grateful for any feedback.
>
> Cheers
>
>
#include <ql/quantlib.hpp>
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

int main()
{

    try{
        Calendar calendar = TARGET();
        Date today = Date::todaysDate();
        DayCounter dayCount = Actual365Fixed();
        Rate r_ = 0.05;
        Real s0_ = 0.10;
        Volatility sigma_ = 0.20;
        Size nTimeSteps = 1;
        Time maturity_ = 1.0/12.0;

        Size timeSteps = 1;
        Size timeStepsPerYear = 1000;
        bool antitheticVariate = false;
        bool controlVariate = false;
        Size requiredSamples = 1000;
        Real requiredTolerance = 0.001;
        Size maxSamples = 1000;
        BigNatural seed = 42;

    // calculate Input parameters from the BlackScholesMertonProcess
        Handle<Quote> stateVariable(
                              boost::shared_ptr<Quote>(new
SimpleQuote(s0_)));
        Handle<YieldTermStructure> riskFreeRate(
                              boost::shared_ptr<YieldTermStructure>(
                                          new FlatForward(today, r_,
dayCount)));
        Handle<YieldTermStructure> dividendYield(
                              boost::shared_ptr<YieldTermStructure>(
                                          new FlatForward(today, 0.0,
dayCount)));
        Handle<BlackVolTermStructure> volatility(
                              boost::shared_ptr<BlackVolTermStructure>(
                                   new BlackConstantVol(today, calendar,
sigma_, dayCount)));
    boost::shared_ptr<GeneralizedBlackScholesProcess> diffusion(
                       new BlackScholesMertonProcess(stateVariable,
dividendYield,
                                                     riskFreeRate,
volatility));

        PseudoRandom::rsg_type rsg =
            PseudoRandom::make_sequence_generator(nTimeSteps, 0);

        bool brownianBridge = false;

        typedef SingleVariate<PseudoRandom>::path_generator_type
generator_type;
        boost::shared_ptr<generator_type> myPathGenerator(new
            generator_type(diffusion, maturity_, nTimeSteps,
                           rsg, brownianBridge));

    boost::shared_ptr<MCEuropeanEngine<PseudoRandom,Statistics> >
myPathPricer(new MCEuropeanEngine<PseudoRandom,        
Statistics>(diffusion, timeSteps, timeStepsPerYear,
             brownianBridge, antitheticVariate, controlVariate,
             requiredSamples, requiredTolerance, maxSamples, seed));
    return EXIT_SUCCESS;
    }
    catch(std::exception& e)
    {
        std::cout<<e.what()<<"\n";
        return EXIT_FAILURE;
    }
    catch(...)
    {
        std::cout<<"unknown error \n";
        return EXIT_FAILURE;
    }

return 0;
}

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