New Section: Monte Carlo in C++

Good news, this blog has a new section – Monte Carlo pricers! I’m going to experiment to find the most convenient way of making it available for download, and would like it to be available both as a compiled .exe and also as uncompiled source code to allow readers to examine and alter it.

The first iteration can be found online now in the MONTE CARLO section. It is code for a straight-forward Monte Carlo pricer that will price calls and puts, with uniform random variates selected by park-miller and converted into gaussian variates using one of the box-muller processes (for more information on these, refer to the post on Random Numbers).

I’ve used a factory pattern so in principle it should be very straight forward to add new options and also RNG processes to the code, although there are a few more improvements that I will be making in the near future, which will extend the code to basic path-dependent options and allow easier data input by the user. I’ll be going over various aspects of the code in detail in future posts, and also putting together some instructions on how to compile the code yourself using Dev C++ (a free, open-source compiler) and how to add options and processes via the factory.

As always, if you have any problems getting the code to work, please tell me!