asian.hpp

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#pragma once
 
#include <cstdint>
 
namespace quant::asian {
 
enum class Payoff { FixedStrike, FloatingStrike };
enum class Average { Arithmetic, Geometric };
enum class Qmc { None, Sobol, SobolScrambled };
 
struct McParams {
    double spot;
    double strike;
    double rate;
    double dividend;
    double vol;
    double time;
    std::uint64_t num_paths;
    std::uint64_t seed;
    int num_steps; // averaging steps
    bool antithetic{true};
    bool use_geometric_cv{true};
    Payoff payoff{Payoff::FixedStrike};
    Average avg{Average::Arithmetic};
    Qmc qmc{Qmc::None};
};
 
struct McStatistic {
    double value;
    double std_error;
    double ci_low;
    double ci_high;
};
 
McStatistic price_mc(const McParams& p);
 
} // namespace quant::asian