SimpleMCMain3.cpp

/*
  requires:
  PayOff2.cpp
  Random1.cpp
  SimpleMC2.cpp
*/

#include "SimpleMC2.h"
#include <iostream>
using namespace std;

int main() {
  double Expiry;
  double Strike;
  double Spot;
  double Vol;
  double r;
  unsigned long NumberOfPaths;

  cout << "\nEnter expiry\n";
  cin >> Expiry;

  cout << "\nEnter strike\n";
  cin >> Strike;

  cout << "\nEnter spot\n";
  cin >> Spot;

  cout << "\nEnter vol\n";
  cin >> Vol;

  cout << "\nr\n";
  cin >> r;

  cout << "\nNumber of paths\n";
  cin >> NumberOfPaths;

  PayOffCall callPayOff(Strike);
  PayOffPut putPayOff(Strike);

  double resultCall = SimpleMonteCarlo2(callPayOff, Expiry, Spot, Vol, r, NumberOfPaths);
  double resultPut = SimpleMonteCarlo2(putPayOff, Expiry, Spot, Vol, r, NumberOfPaths);

  cout << "The prices are " << resultCall << " for the call and " << resultPut << "for the put" << endl;

  return 0;
}