SimpleMCMain1.cpp

#include "Random1.h"
#include <iostream>
#include <cmath>
using namespace std;

double SimpleMonteCarlo1(double Expiry, double Strike, double Spot, double Vol, double r, unsigned long NumberOfPaths) {
    double variance = Vol * Vol * Expiry;
    double rootVariance = sqrt(variance);
    double itoCorrection = -0.5 * variance;

    double movedSpot = Spot * exp(r * Expiry + itoCorrection);
    double thisSpot;
    double runningSum = 0;

    for (unsigned long i = 0; i < NumberOfPaths; i++) {
        double thisGaussian = GetOneGaussianByBoxMuller();
        thisSpot = movedSpot * exp(rootVariance * thisGaussian);
        double thisPayoff = thisSpot - Strike;
        thisPayoff = thisPayoff >0 ? thisPayoff : 0;
        runningSum += thisPayoff;
    }

    double mean = runningSum / NumberOfPaths;
    mean *= exp(-r * Expiry);
    return mean;
}

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

    cout << endl << "Enter expiry" << endl;
    cin >> Expiry;

    cout << endl << "Enter strike" << endl;
    cin >> Strike;

    cout << endl << "Enter spot" << endl;
    cin >> Spot;

    cout << endl << "Enter vol" << endl;
    cin >> Vol;

    cout << endl << "Enter r" << endl;
    cin >> r;
    
    cout << endl << "Enter # of paths" << endl;
    cin >> NumberOfPaths;

    double result = SimpleMonteCarlo1(Expiry, Strike, Spot, Vol, r, NumberOfPaths);
    cout << "The price is " << result << endl;

    return 0;
}