mc_barrier.cpp File Reference

#include "quant/mc_barrier.hpp"
#include "quant/black_scholes.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_barrier.cpp:

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

Functions
bool	quant::mc::control_variate_enabled (bool request, const BarrierSpec &spec)
McResult	quant::mc::price_barrier_option (const McParams &base, double strike, OptionType opt, const BarrierSpec &barrier)

Variable Documentation

barrier

BarrierSpec barrier

ctx

const BarrierMcContext& ctx

cv_expectation

double cv_expectation

discount

double discount

drift_dt

double drift_dt

drift_step

std::vector<double> drift_step

dt

double dt

increments

std::vector<double> increments

increments_antithetic

std::vector<double> increments_antithetic

knock_out

bool knock_out

normals

std::vector<double> normals

normals_antithetic

std::vector<double> normals_antithetic

opt

OptionType opt

params

const McParams& params

scrambled

bool scrambled

sigma_step

std::vector<double> sigma_step

sobol

const qmc::SobolSequence* sobol

sobol_dim

int sobol_dim

sobol_point

std::vector<double> sobol_point

sqrt_dt

double sqrt_dt

steps

int steps

strike

double strike

uniforms

std::vector<double> uniforms

uniforms_antithetic

std::vector<double> uniforms_antithetic

up_barrier

bool up_barrier

use_bridge

bool use_bridge

use_cv

bool use_cv

use_qmc

bool use_qmc

use_schedule

bool use_schedule