multi.hpp

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#pragma once
 
#include <cstdint>
#include <vector>
 
namespace quant::multi {
 
struct BasketMcParams {
    std::vector<double> spots;     // S0 per asset
    std::vector<double> vols;      // sigma per asset
    std::vector<double> dividends; // q per asset
    std::vector<double> weights;   // basket weights (sum to 1 typical)
    std::vector<double> corr;      // row-major NxN correlation matrix
    double rate;                   // risk-free rate
    double strike;                 // K
    double time;                   // T
    std::uint64_t num_paths;       // paths
    std::uint64_t seed;            // RNG seed
    bool antithetic{true};
};
 
struct McStat {
    double value;
    double std_error;
};
 
McStat basket_european_call_mc(const BasketMcParams& p);
 
struct MertonParams {
    double spot;
    double strike;
    double rate;
    double dividend;
    double vol;
    double time;
    double lambda; // jump intensity
    double muJ;    // mean of log jump size
    double sigmaJ; // std of log jump size
    std::uint64_t num_paths;
    std::uint64_t seed;
    bool antithetic{true};
};
 
McStat merton_call_mc(const MertonParams& p);
 
} // namespace quant::multi