Merge pull request #31 from anthonymakarewicz/feature/solver_MC

Feature/solver mc

Author: anthonymakarewicz

.github/workflows/pr_ci.yml

@@ -32,7 +32,7 @@ jobs:
           cmake-version: '3.26.3'
 
       - name: Install dependencies
-        run: sudo apt-get install -y libgtest-dev libgmock-dev libboost-all-dev
+        run: sudo apt-get install -y libgtest-dev libgmock-dev libboost-all-dev libeigen3-dev
 
       - name: Configure CMake
         run: |

.github/workflows/push_ci.yml

@@ -20,7 +20,7 @@ jobs:
           cmake-version: '3.26.3'
 
       - name: Install dependencies
-        run: sudo apt-get install -y libgtest-dev libgmock-dev libboost-all-dev
+        run: sudo apt-get install -y libgtest-dev libgmock-dev libboost-all-dev libeigen3-dev
 
       - name: Configure CMake
         run: |

CMakeLists.txt

@@ -15,6 +15,7 @@ set(CMAKE_TOOLCHAIN_FILE "/Users/anthony/.vcpkg-clion/vcpkg/scripts/buildsystems
         CACHE STRING "Vcpkg toolchain file")
 
 find_package(Boost REQUIRED COMPONENTS random)
+find_package(Eigen3 REQUIRED)
 
 # Check if random has been found before compiling src
 if (Boost_FOUND)
@@ -39,24 +40,18 @@ add_library(marketdata SHARED
         src/market_data/market_data.cpp
         src/market_data/market_data_observer.cpp
         src/market_data/stock_data.cpp
+        include/solver/monte_carlo/builder/mc_builder_american.h
 )
 
 # Create dynamic library for payoff
 add_library(payoff SHARED
         src/payoff/base_payoff.cpp
+        src/payoff/payoff_floating_strike_lookback.cpp
         src/payoff/single_strike/base_payoff_single_strike.cpp
-        src/payoff/single_strike/base_payoff_vanilla.cpp
-        src/payoff/single_strike/payoff_vanilla_call.cpp
-        src/payoff/single_strike/payoff_vanilla_put.cpp
-        src/payoff/single_strike/base_payoff_digital.cpp
-        src/payoff/single_strike/payoff_digital_call.cpp
-        src/payoff/single_strike/payoff_digital_put.cpp
+        src/payoff/single_strike/payoff_vanilla.cpp
+        src/payoff/single_strike/payoff_digital.cpp
         src/payoff/double_strikes/base_payoff_double_strikes.cpp
         src/payoff/double_strikes/payoff_double_digital.cpp
-        # Factories
-        src/payoff/single_strike/factory_payoff_vanilla.cpp
-        src/payoff/single_strike/factory_payoff_digital.cpp
-        src/payoff/double_strikes/factory_payoff_double_digital.cpp
 )
 
 # Create dynamic library for option, linking against marketdata and payoff
@@ -72,42 +67,50 @@ add_library(option SHARED
         src/option/path_dependent/american_option.cpp
         src/option/path_dependent/asian_option.cpp
         src/option/path_dependent/barrier_option.cpp
+        src/option/path_dependent/lookback_option.cpp
         # Factories
-        src/option/factory_option.cpp
         src/option/single_path/factory_european_option.cpp
         src/option/single_path/factory_digital_option.cpp
         src/option/single_path/factory_double_digital_option.cpp
         src/option/path_dependent/factory_american_option.cpp
         src/option/path_dependent/factory_asian_option.cpp
         src/option/path_dependent/factory_barrier_option.cpp
+        src/option/path_dependent/factory_lookback_option.cpp
 )
 
 # Create dynamic library for marketdata
 add_library(solver SHARED
         src/solver/base_solver.cpp
         src/solver/monte_carlo/mc_solver.cpp
-        include/solver/monte_carlo/mc_base_strategy.h
-        src/solver/monte_carlo/mc_base_strategy.cpp
-        include/solver/monte_carlo/stock_price_model.h
         src/solver/monte_carlo/stock_price_model.cpp
         src/solver/monte_carlo/gbm_stock_price_model.cpp
-        include/solver/monte_carlo/gbm_stock_price_model.h
-        include/solver/monte_carlo/generator.h
-
+        src/solver/monte_carlo/base_mc.cpp
+        src/solver/monte_carlo/mc_single_path.cpp
+        src/solver/monte_carlo/base_mc_path_dependent.cpp
+        src/solver/monte_carlo/mc_asian.cpp
+        src/solver/monte_carlo/mc_barrier.cpp
+        src/solver/monte_carlo/mc_lookback.cpp
+        src/solver/monte_carlo/mc_american.cpp
+        src/solver/monte_carlo/builder/base_mc_builder.cpp
+        src/solver/monte_carlo/builder/mc_builder_single_path.cpp
+        src/solver/monte_carlo/builder/base_mc_builder_path_dependent.cpp
+        src/solver/monte_carlo/builder/mc_builder_asian.cpp
+        src/solver/monte_carlo/builder/mc_builder_barrier.cpp
+        src/solver/monte_carlo/builder/mc_builder_lookback.cpp
+        src/solver/monte_carlo/builder/mc_builder_american.cpp
 )
 
-# Link random library to the solver ONLY
-target_link_libraries(solver PUBLIC Boost::random)
-
 # Link the option library against marketdata and payoff
 target_link_libraries(option PUBLIC marketdata payoff)
 
+# Link random library to the solver ONLY
+target_link_libraries(solver PUBLIC option Boost::random Eigen3::Eigen)
+
 # Create main executable
 add_executable(Option_pricer main.cpp)
 
 # Link the main executable to our dynamic libraries
 target_link_libraries(Option_pricer PUBLIC  marketdata payoff option solver)
-#target_link_libraries(Option_pricer marketdata payoff option solver)
 
 # Enable testing and add the tests directory
 enable_testing()

examples/notebooks/.ipynb_checkpoints/sobol-checkpoint.ipynb

@@ -21,7 +21,8 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "output_dir = Path(\"/Users/anthony/CLionProjects/Option_pricer/examples/output\")\n",
+    "output_path = \"/Users/anthony/CLionProjects/Option_pricer/examples/output\"\n",
+    "output_dir = Path(output_path)\n",
     "sequences_2_file = output_dir / \"sequences_2.csv\"\n",
     "sequences_50_file = output_dir / \"sequences_50.csv\""
    ]
@@ -33,8 +34,9 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "sequences_2 = pd.read_csv(sequences_2_file, index_col=[\"Sample\", \"Dimension\"])\n",
-    "sequences_50 = pd.read_csv(sequences_50_file, index_col=[\"Sample\", \"Dimension\"])"
+    "cols = [\"Sample\", \"Dimension\"]\n",
+    "sequences_2 = pd.read_csv(sequences_2_file, index_col=cols)\n",
+    "sequences_50 = pd.read_csv(sequences_50_file, index_col=cols)"
    ]
   },
   {
@@ -344,7 +346,7 @@
     "    # Plot configuration\n",
     "    num_rows = len(sample_sizes)\n",
     "    num_cols = 3\n",
-    "    sequence_cols = ['Sobol', 'Faure', 'Uniform']\n",
+    "    sequence_cols = [\"Sobol\", \"Faure\", \"Uniform\"]\n",
     "    \n",
     "    # Create a plot grid based on the number of sample sizes and sequence types\n",
     "    num_rows = len(sample_sizes)\n",

examples/notebooks/sobol.ipynb

@@ -21,7 +21,8 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "output_dir = Path(\"/Users/anthony/CLionProjects/Option_pricer/examples/output\")\n",
+    "output_path = \"/Users/anthony/CLionProjects/Option_pricer/examples/output\"\n",
+    "output_dir = Path(output_path)\n",
     "sequences_2_file = output_dir / \"sequences_2.csv\"\n",
     "sequences_50_file = output_dir / \"sequences_50.csv\""
    ]
@@ -33,8 +34,9 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "sequences_2 = pd.read_csv(sequences_2_file, index_col=[\"Sample\", \"Dimension\"])\n",
-    "sequences_50 = pd.read_csv(sequences_50_file, index_col=[\"Sample\", \"Dimension\"])"
+    "cols = [\"Sample\", \"Dimension\"]\n",
+    "sequences_2 = pd.read_csv(sequences_2_file, index_col=cols)\n",
+    "sequences_50 = pd.read_csv(sequences_50_file, index_col=cols)"
    ]
   },
   {
@@ -344,7 +346,7 @@
     "    # Plot configuration\n",
     "    num_rows = len(sample_sizes)\n",
     "    num_cols = 3\n",
-    "    sequence_cols = ['Sobol', 'Faure', 'Uniform']\n",
+    "    sequence_cols = [\"Sobol\", \"Faure\", \"Uniform\"]\n",
     "    \n",
     "    # Create a plot grid based on the number of sample sizes and sequence types\n",
     "    num_rows = len(sample_sizes)\n",

include/market_data/interface_market_data.h

@@ -7,6 +7,7 @@
 #include "market_data_observer.h"
 
 namespace OptionPricer {
+
     // Interface injection for production and mock object for unit test
     class IMarketData {
     public:
@@ -19,6 +20,7 @@ namespace OptionPricer {
         [[nodiscard]] virtual double getR() const = 0;
         virtual void setR(const double& r) = 0;
     };
+
 }
 
 #endif //INTERFACE_MARKET_DATA_H

include/market_data/market_data.h

@@ -14,20 +14,10 @@
 #include "interface_market_data.h"
 
 namespace OptionPricer {
+
     // Declare MarketData as Singleton
     class MarketData final: public IMarketData {
     public:
-        /** @brief MarketData Singleton class
-         *
-         * This class serves as a centralized location where all MarketData object will be stored
-         * and updated and acces by all MarketDataObserver subclasses instances.
-         * Specifically, only 1 instance of the MarketData object will be created when our program
-         * will execute be stored as a shared_ptr that all our Options will own the adress of it.
-         *
-         * This MarketData data will notify all the Option when StockData used for those Options
-         * will change.
-         *
-         */
         static std::shared_ptr<MarketData> getInstance();
         ~MarketData() override;
 
@@ -67,6 +57,7 @@ namespace OptionPricer {
         std::unordered_map<std::string, std::shared_ptr<StockData>> stockDataMap_; // Map ticker symbol to StockData
         std::vector<std::weak_ptr<MarketDataObserver>> observers_; // Use weak_ptr to avoid circular references
     };
+
 }
 
 #endif //MARKET_DATA_H

include/market_data/market_data_observer.h

@@ -4,7 +4,7 @@
 #include <string>
 
 namespace OptionPricer {
-    // Observer of MarketData
+
     class MarketDataObserver {
     public:
         explicit MarketDataObserver(const std::string& id);
@@ -16,6 +16,7 @@ namespace OptionPricer {
     protected:
         std::string id_;
     };
+
 }
 
 #endif //MARKET_DATA_OBSERVER_H

include/market_data/stock_data.h

@@ -11,10 +11,10 @@ namespace OptionPricer {
                   const double& sigma,
                   const std::optional<double>& c = std::nullopt);
 
-        // Prefix guetters with nodiscard C++17
         [[nodiscard]] double getPrice() const;
         [[nodiscard]] double getSigma() const;
         [[nodiscard]] std::optional<double> getCoupon() const;
+
         friend std::ostream& operator<<(std::ostream& os, const StockData& stockData);
         bool operator==(const StockData& other) const;
         bool operator!=(const StockData& other) const;

include/option/base_factory_option.h

@@ -0,0 +1,81 @@
+#ifndef FACTORY_OPTION_H
+#define FACTORY_OPTION_H
+
+#include <string>
+#include <concepts>
+#include "payoff/base_payoff.h"
+#include "option/base_option.h"
+#include "option/parameter_object.h"
+#include "market_data/market_data.h"
+
+namespace OptionPricer {
+
+    // Define a concept for an Option type
+    template <typename T>
+    concept OptionTypeConcept = std::is_base_of_v<Option, T>;
+
+    template<OptionTypeConcept OptionType> class OptionFactory {
+    public:
+        virtual ~OptionFactory() = default;
+
+        // Non-static create methods as we use virtual methods
+        [[nodiscard]] std::shared_ptr<OptionType> createCallOption(const ParameterObject& params);
+        [[nodiscard]] std::shared_ptr<OptionType> createPutOption(const ParameterObject& params);
+
+    protected:
+        // Template method pattern
+        std::shared_ptr<OptionType> createOption(const ParameterObject& params, const PayoffType& type);
+
+        // Can be overiden to add extra parameters
+        virtual std::string invalidParams(const std::string& option_type) const;
+
+        // To be overidden in concrete factories
+        virtual std::unique_ptr<Payoff> createSpecificPayoff(const ParameterObject& params,
+                                                             const PayoffType& type) = 0;
+        virtual std::shared_ptr<OptionType> createSpecificOption(const ParameterObject& params,
+                                                             std::unique_ptr<Payoff> payoff,
+                                                             const std::shared_ptr<IMarketData>& marketData) = 0;
+        virtual std::string getType(const PayoffType& type) const = 0;
+    };
+
+
+    template <OptionTypeConcept OptionType>
+    std::shared_ptr<OptionType> OptionFactory<OptionType>::createCallOption(const ParameterObject &params) {
+        return createOption(params, PayoffType::Call);
+    }
+
+    template <OptionTypeConcept OptionType>
+    std::shared_ptr<OptionType> OptionFactory<OptionType>::createPutOption(const ParameterObject &params) {
+        return createOption(params, PayoffType::Put);
+    }
+
+    template <OptionTypeConcept OptionType>
+    std::shared_ptr<OptionType> OptionFactory<OptionType>::createOption(const ParameterObject &params,
+                                                                        const PayoffType& type) {
+        auto marketData = MarketData::getInstance();
+        std::shared_ptr<OptionType> option = nullptr;
+
+        try {
+            auto payoff = createSpecificPayoff(params, type);
+            option = createSpecificOption(params, std::move(payoff), marketData);
+        } catch (const std::invalid_argument& e) {
+            const std::string err = std::string(e.what()) + "\n" + invalidParams(getType(type));
+            throw std::invalid_argument(err);
+        }
+
+        option->initialize();
+        return option;
+    }
+
+    template <OptionTypeConcept OptionType>
+    std::string OptionFactory<OptionType>::invalidParams(const std::string &option_type) const {
+        return "Invalid parameters for " + option_type + "\n"
+               "Expected parameters:\n"
+               "  - ticker (string) for ticker symbol\n"
+               "  - T (double) for maturity\n"
+               "  - K (double) for strike\n";
+    }
+
+}
+
+#endif //FACTORY_OPTION_H

include/option/base_option.h

@@ -6,6 +6,7 @@
 #include "market_data/interface_market_data.h"
 
 namespace OptionPricer {
+
     // Option asbtract base class where *this must be managed by a shared_ptr
     class Option : public MarketDataObserver, public std::enable_shared_from_this<Option> {
     public:
@@ -45,11 +46,12 @@ namespace OptionPricer {
         virtual double calc_price() const = 0; // Force all subclasses to deifne this method
 
         void initialize();
-        [[nodiscard]] std::string getType() const;
-        [[nodiscard]] double getT() const;
+        std::string getType() const;
+        [[nodiscard]] const Payoff& getPayoff() const;
+        double getT() const;
 
-        double payoff() const;
         double payoff(const double& S) const;
+        double payoff(const double& S, const double& extremeS) const;
 
     protected:
         Option(const std::string& ticker, std::unique_ptr<Payoff> payoff, const double& T,
@@ -59,6 +61,7 @@ namespace OptionPricer {
         std::unique_ptr<Payoff> payoff_; // Unique ptr to Payoff functor
         std::shared_ptr<IMarketData> marketData_; // Shared ptr to IMarketData interface
     };
+
 };
 
 #endif //BASE_OPTION_H