mc.cpp File Reference

#include "quant/mc.hpp"
#include "quant/math.hpp"
#include "quant/qmc/brownian_bridge.hpp"
#include "quant/qmc/sobol.hpp"
#include "quant/stats.hpp"
#include <algorithm>
#include <cmath>
#include <limits>
#include <memory>
#include <numbers>
#include <random>
#include <stdexcept>
#include <vector>
#include <pcg_random.hpp>

Include dependency graph for mc.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::mc
	Monte Carlo GBM pricer with antithetic variates and optional control variate.

Functions
GreeksResult	quant::mc::greeks_european_call (const McParams &p)
McResult	quant::mc::price_european_call (const McParams &p)

Variable Documentation

antithetic

bool antithetic

cv_expectation

double cv_expectation

delta

quant::stats::Welford delta

discount

double discount

dividend

double dividend

drift

double drift

drift_step

std::vector<double> drift_step

dt

std::vector<double> dt

gamma_lrm

quant::stats::Welford gamma_lrm

gamma_mixed

quant::stats::Welford gamma_mixed

increments

std::vector<double> increments

increments_antithetic

std::vector<double> increments_antithetic

inv_gamma_denom

double inv_gamma_denom

normals

std::vector<double> normals

normals_antithetic

std::vector<double> normals_antithetic

params

const McParams& params

rate

double rate

rng_mode

quant::rng::Mode rng_mode

score_coeff

double score_coeff

scrambled

bool scrambled

sigma

std::vector<double> sigma

sobol

const qmc::SobolSequence* sobol

spot

double spot

sqrt_dt

std::vector<double> sqrt_dt

sqrt_time

double sqrt_time

steps

int steps

strike

double strike

theta

quant::stats::Welford theta

time

double time

uniforms

std::vector<double> uniforms

use_bridge

bool use_bridge

use_qmc

bool use_qmc

use_schedule

bool use_schedule {false}

vega

quant::stats::Welford vega

vol

double vol

vol_sqrt_time

double vol_sqrt_time