lookback.hpp

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#pragma once
 
#include "quant/barrier.hpp"
#include <cstdint>
 
namespace quant::lookback {
 
enum class Type { FixedStrike, FloatingStrike };
 
struct McParams {
    double spot;
    double strike; // used for fixed-strike
    double rate;
    double dividend;
    double vol;
    double time;
    std::uint64_t num_paths;
    std::uint64_t seed;
    int num_steps; // discretization steps
    bool antithetic{true};
    bool use_bridge{true};
    ::quant::OptionType opt; // call/put
    Type type{Type::FixedStrike};
};
 
struct McStatistic {
    double value;
    double std_error;
    double ci_low;
    double ci_high;
};
 
McStatistic price_mc(const McParams& p);
 
} // namespace quant::lookback