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Contents

1

2

3

Class Index

1

1.1

1

Class List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

File Index

3

2.1

3

File List . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Class Documentation

5

3.1

PayOff Class Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

3.1.1

Detailed Description

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5

3.1.2

Member Enumeration Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

3.1.2.1

OptionType . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

Constructor & Destructor Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

3.1.3.1

5

3.1.3

3.1.4

Member Function Documentation 3.1.4.1

4

PayOff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

operator()

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6

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6

File Documentation

7

4.1

MinMax.h File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7

4.1.1

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7

4.1.1.1

max

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

7

4.1.1.2

min . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8

4.2

PayOff1.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8

4.3

PayOff1.h File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9

4.4

Random1.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

9

4.4.1

4.5

4.6

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

4.4.1.1

GetOneGaussianByBoxMuller . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

4.4.1.2

GetOneGaussianBySummation . . . . . . . . . . . . . . . . . . . . . . . . . .

10

Random1.h File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

4.5.1

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

4.5.1.1

GetOneGaussianByBoxMuller . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

4.5.1.2

GetOneGaussianBySummation . . . . . . . . . . . . . . . . . . . . . . . . . .

11

SimpleMC.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

iv

CONTENTS 4.6.1

4.7

4.8

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

4.6.1.1

SimpleMonteCarlo2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

SimpleMC.h File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

12

4.7.1

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13

4.7.1.1

SimpleMonteCarlo2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13

SimpleMCMain2.cpp File Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14

4.8.1

Function Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

14

4.8.1.1

14

main . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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Chapter 1

Class Index 1.1

Class List

Here are the classes, structs, unions and interfaces with brief descriptions: PayOff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5

2

Class Index

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Chapter 2

File Index 2.1

File List

Here is a list of all files with brief descriptions: MinMax.h . . . . . . PayOff1.cpp . . . . . PayOff1.h . . . . . . Random1.cpp . . . . Random1.h . . . . . SimpleMC.cpp . . . SimpleMC.h . . . . . SimpleMCMain2.cpp

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7 8 9 9 10 11 12 14

4

File Index

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Chapter 3

Class Documentation 3.1

PayOff Class Reference

#include

Public Types • enum OptionType { call, put }

Public Member Functions • PayOff (double Strike_, OptionType TheOptionsType_) • double operator() (double Spot) const

3.1.1

Detailed Description

Definition at line 14 of file PayOff1.h.

3.1.2

Member Enumeration Documentation

3.1.2.1

enum PayOff::OptionType

Enumerator call put Definition at line 19 of file PayOff1.h.

3.1.3

Constructor & Destructor Documentation

3.1.3.1

PayOff::PayOff ( double Strike_, OptionType TheOptionsType_ )

Definition at line 11 of file PayOff1.cpp.

6

Class Documentation

3.1.4

Member Function Documentation

3.1.4.1

double PayOff::operator() ( double Spot ) const

Definition at line 17 of file PayOff1.cpp. Here is the call graph for this function:

PayOff::operator()

max

The documentation for this class was generated from the following files: • PayOff1.h • PayOff1.cpp

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Chapter 4

File Documentation 4.1

MinMax.h File Reference

This graph shows which files directly or indirectly include this file:

MinMax.h

PayOff1.cpp

Functions

• template const T & max (const T &a, const T &b) • template const T & min (const T &a, const T &b)

4.1.1

Function Documentation

4.1.1.1

template const T& max ( const T & a, const T & b )

Definition at line 12 of file MinMax.h.

8

File Documentation

Here is the caller graph for this function:

max

4.1.1.2

PayOff::operator()

template const T& min ( const T & a, const T & b )

Definition at line 18 of file MinMax.h.

4.2

PayOff1.cpp File Reference

#include "PayOff1.h" #include "MinMax.h" Include dependency graph for PayOff1.cpp:

PayOff1.cpp

PayOff1.h

MinMax.h

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4.3 PayOff1.h File Reference

4.3

9

PayOff1.h File Reference

This graph shows which files directly or indirectly include this file:

PayOff1.h

PayOff1.cpp

SimpleMC.h

SimpleMC.cpp

SimpleMCMain2.cpp

Classes • class PayOff

4.4

Random1.cpp File Reference

#include "Random1.h" #include #include Include dependency graph for Random1.cpp:

Random1.cpp

Random1.h

Functions • double GetOneGaussianBySummation () • double GetOneGaussianByBoxMuller () Generated on Fri Feb 27 2015 10:01:04 for My Project by Doxygen

cstdlib

cmath

10

File Documentation

4.4.1

Function Documentation

4.4.1.1

double GetOneGaussianByBoxMuller ( )

Definition at line 31 of file Random1.cpp. Here is the caller graph for this function:

GetOneGaussianByBoxMuller

4.4.1.2

SimpleMonteCarlo2

main

double GetOneGaussianBySummation ( )

Definition at line 17 of file Random1.cpp.

4.5

Random1.h File Reference

This graph shows which files directly or indirectly include this file:

Random1.h

Random1.cpp

SimpleMC.cpp

Functions • double GetOneGaussianBySummation () • double GetOneGaussianByBoxMuller ()

4.5.1

Function Documentation

4.5.1.1

double GetOneGaussianByBoxMuller ( )

Definition at line 31 of file Random1.cpp. Generated on Fri Feb 27 2015 10:01:04 for My Project by Doxygen

4.6 SimpleMC.cpp File Reference

11

Here is the caller graph for this function:

GetOneGaussianByBoxMuller

4.5.1.2

SimpleMonteCarlo2

main

double GetOneGaussianBySummation ( )

Definition at line 17 of file Random1.cpp.

4.6

SimpleMC.cpp File Reference

#include "SimpleMC.h" #include "Random1.h" #include Include dependency graph for SimpleMC.cpp:

SimpleMC.cpp

SimpleMC.h

Random1.h

cmath

PayOff1.h

Functions • double SimpleMonteCarlo2 (const PayOff &thePayOff, double Expiry, double Spot, double Vol, double r, unsigned long NumberOfPaths)

4.6.1

Function Documentation

4.6.1.1

double SimpleMonteCarlo2 ( const PayOff & thePayOff, double Expiry, double Spot, double Vol, double r, unsigned long NumberOfPaths )

Definition at line 16 of file SimpleMC.cpp. Generated on Fri Feb 27 2015 10:01:04 for My Project by Doxygen

12

File Documentation

Here is the call graph for this function:

SimpleMonteCarlo2

GetOneGaussianByBoxMuller

Here is the caller graph for this function:

SimpleMonteCarlo2

4.7

main

SimpleMC.h File Reference

#include "PayOff1.h" Include dependency graph for SimpleMC.h:

SimpleMC.h

PayOff1.h

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4.7 SimpleMC.h File Reference

13

This graph shows which files directly or indirectly include this file:

SimpleMC.h

SimpleMC.cpp

SimpleMCMain2.cpp

Functions • double SimpleMonteCarlo2 (const PayOff &thePayOff, double Expiry, double Spot, double Vol, double r, unsigned long NumberOfPaths)

4.7.1

Function Documentation

4.7.1.1

double SimpleMonteCarlo2 ( const PayOff & thePayOff, double Expiry, double Spot, double Vol, double r, unsigned long NumberOfPaths )

Definition at line 16 of file SimpleMC.cpp. Here is the call graph for this function:

SimpleMonteCarlo2

GetOneGaussianByBoxMuller

Here is the caller graph for this function:

SimpleMonteCarlo2

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main

14

File Documentation

4.8

SimpleMCMain2.cpp File Reference

#include "SimpleMC.h" #include "PayOff1.h" #include Include dependency graph for SimpleMCMain2.cpp:

SimpleMCMain2.cpp

SimpleMC.h

iostream

PayOff1.h

Functions • int main ()

4.8.1

Function Documentation

4.8.1.1

int main ( )

Definition at line 20 of file SimpleMCMain2.cpp. Here is the call graph for this function:

main

SimpleMonteCarlo2

GetOneGaussianByBoxMuller

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