finished developing regression strategies, basis functions, and makin…

…g it work with american monte carlo pricer

CMakeLists.txt

@@ -40,7 +40,6 @@ 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
@@ -78,12 +77,27 @@ add_library(option SHARED
         src/option/path_dependent/factory_lookback_option.cpp
 )
 
-# Create dynamic library for marketdata
+# Create dynamic library for model
+add_library(model SHARED
+        src/model/gbm_model.cpp
+        src/model/base_model.cpp
+)
+
+# Create dynamic library for random
+add_library(random SHARED
+        src/random/distribution/base_distribution.cpp
+        src/random/distribution/standard_normal_distribution.cpp
+        src/random/number_generator/base_generator.cpp
+        src/random/number_generator/random_generator.cpp
+        src/random/number_generator/base_quasi_random_generator.cpp
+        src/random/number_generator/faure_quasi_random_generator.cpp
+        src/random/number_generator/sobol_quasi_random_generator.cpp
+)
+
+# Create dynamic library for solver
 add_library(solver SHARED
         src/solver/base_solver.cpp
         src/solver/monte_carlo/mc_solver.cpp
-        src/solver/monte_carlo/stock_price_model.cpp
-        src/solver/monte_carlo/gbm_stock_price_model.cpp
         src/solver/monte_carlo/base_mc.cpp
         src/solver/monte_carlo/mc_single_path.cpp
         src/solver/monte_carlo/base_mc_path_dependent.cpp
@@ -96,25 +110,38 @@ add_library(solver SHARED
         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
+        src/solver/monte_carlo/builder/mc_lookback_builder.cpp
+        src/solver/monte_carlo/regression/base_regression_strategy.cpp
+        src/solver/monte_carlo/regression/least_squares.cpp
+        src/solver/monte_carlo/regression/ridge.cpp
+        src/solver/monte_carlo/regression/lasso.cpp
+        src/solver/monte_carlo/basis_function/base_basis_function_strategy.cpp
+        src/solver/monte_carlo/basis_function/monomial.cpp
+        src/solver/monte_carlo/basis_function/legendre.cpp
+        src/solver/monte_carlo/basis_function/legendre.cpp
+        src/solver/monte_carlo/basis_function/chebyshev.cpp
+        src/solver/monte_carlo/basis_function/laguerre.cpp
 )
 
 # 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)
+target_link_libraries(solver PUBLIC option random model Boost::random Eigen3::Eigen)
+
+target_link_libraries(model PUBLIC option)
+
 
 # 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 PUBLIC marketdata payoff option solver random model)
 
 # Enable testing and add the tests directory
 enable_testing()
 add_subdirectory(tests)
 
 # Add the examples subdirectory
-add_subdirectory(examples)
+add_subdirectory(examples)

include/solver/monte_carlo/stock_price_model.h → include/model/base_model.h

@@ -6,10 +6,10 @@
 
 namespace OptionPricer {
 
-    class StockPriceModel {
+    class StockModel {
     public:
-        StockPriceModel(const std::string& ticker, std::shared_ptr<IMarketData> marketData);
-        virtual ~StockPriceModel();
+        StockModel(const std::string& ticker, std::shared_ptr<IMarketData> marketData);
+        virtual ~StockModel();
 
         [[nodiscard]] virtual double simulatePriceAtMaturity(const double& T, const double& z) const = 0;
         [[nodiscard]] virtual double simulateStepPrice(const double& dt, const double& z) const = 0;

include/model/gbm_model.h

@@ -0,0 +1,21 @@
+#ifndef GBM_STOCK_PRICE_MODEL_H
+#define GBM_STOCK_PRICE_MODEL_H
+
+#include <cmath>
+#include <random>
+#include <model/base_model.h>
+#include <market_data/interface_market_data.h>
+
+namespace OptionPricer {
+
+    class GeometricBrownianMotionModel : public StockModel {
+    public:
+        GeometricBrownianMotionModel(const std::string& ticker, std::shared_ptr<IMarketData> marketData);
+
+        [[nodiscard]] double simulatePriceAtMaturity(const double& T, const double& z) const override;
+        [[nodiscard]] double simulateStepPrice(const double& dt, const double& z) const override;
+    };
+
+}
+
+#endif //GBM_STOCK_PRICE_MODEL_H

include/random/distribution/base_distribution.h

@@ -0,0 +1,17 @@
+#ifndef BASE_DISTRIBUTION_H
+#define BASE_DISTRIBUTION_H
+
+#include <random>
+
+namespace OptionPricer {
+
+    class Distribution {
+    public:
+        virtual ~Distribution();
+        [[nodiscard]] virtual double inv_cdf(const double& quantile) const = 0;
+        virtual double operator()(std::mt19937& gen) = 0;
+    };
+
+}
+
+#endif //BASE_DISTRIBUTION_H

include/random/distribution/standard_normal_distribution.h

@@ -0,0 +1,23 @@
+#ifndef STANDARD_NORMAL_DISTRIBUTION_H
+#define STANDARD_NORMAL_DISTRIBUTION_H
+
+#include <cmath>
+#include "random/distribution/base_distribution.h"
+
+namespace OptionPricer {
+
+    class StandardNormalDistribution final: public Distribution {
+    public:
+        explicit StandardNormalDistribution();
+        ~StandardNormalDistribution() override;
+
+        [[nodiscard]] double inv_cdf(const double& quantile) const override;
+        double operator()(std::mt19937& gen) override;
+
+    private:
+        std::normal_distribution<> normal_dist_;
+    };
+
+}
+
+#endif //STANDARD_NORMAL_DISTRIBUTION_H

include/random/number_generator/base_generator.h

@@ -0,0 +1,24 @@
+#ifndef BASE_NUMBER_GENERATOR_H
+#define BASE_NUMBER_GENERATOR_H
+
+#include "random/distribution/base_distribution.h"
+
+namespace OptionPricer {
+
+    class NumberGenerarator {
+    public:
+        explicit NumberGenerarator(std::shared_ptr<Distribution> dist);
+        explicit NumberGenerarator(std::shared_ptr<Distribution> dist, const unsigned int& seed);
+
+        virtual ~NumberGenerarator();
+
+        virtual double generate(const int& step) = 0;
+
+    protected:
+        std::shared_ptr<Distribution> dist_;
+        unsigned int seed_;
+    };
+
+}
+
+#endif //BASE_NUMBER_GENERATOR_H

include/random/number_generator/base_quasi_random_generator.h

@@ -0,0 +1,26 @@
+#ifndef BASE_QUASI_RANDOM_GENERATOR_H
+#define BASE_QUASI_RANDOM_GENERATOR_H
+
+#include "random/number_generator/base_generator.h"
+
+namespace OptionPricer {
+
+    class QRNGenerator : public NumberGenerarator {
+    public:
+        explicit QRNGenerator(std::shared_ptr<Distribution> dist, const unsigned int& dim);
+        QRNGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed, const unsigned int& dim);
+
+        ~QRNGenerator() override;
+
+        unsigned int getDim() const;
+
+    protected:
+        void validateDim() const;
+
+        unsigned int dim_;
+        std::vector<double> point_; // Maybe use array
+    };
+
+}
+
+#endif //BASE_QUASI_RANDOM_GENERATOR_H

include/random/number_generator/faure_quasi_random_generator.h

@@ -0,0 +1,24 @@
+#ifndef FAURE_QUASI_RANDOM_GENERATOR_H
+#define FAURE_QUASI_RANDOM_GENERATOR_H
+
+#include <boost/random/faure.hpp>
+#include "random/number_generator/base_quasi_random_generator.h"
+
+namespace OptionPricer {
+
+    class FaureGenerator final: public QRNGenerator {
+    public:
+        explicit FaureGenerator(std::shared_ptr<Distribution> dist, const unsigned int& dim);
+        FaureGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed, const unsigned int& dim);
+
+        ~FaureGenerator() override;
+
+        [[nodiscard]] double generate(const int& step) override;
+
+    private:
+        boost::random::faure faureQrng_;
+    };
+
+}
+
+#endif //FAURE_QUASI_RANDOM_GENERATOR_H

include/random/number_generator/random_generator.h

@@ -0,0 +1,21 @@
+#ifndef RANDOM_NUMBER_GENERATOR_H
+#define RANDOM_NUMBER_GENERATOR_H
+
+#include "random/number_generator/base_generator.h"
+
+namespace OptionPricer {
+
+    class RNGenerator final: public NumberGenerarator {
+    public:
+        explicit RNGenerator(std::shared_ptr<Distribution> dist);
+        RNGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed);
+
+        [[nodiscard]] double generate(const int& step) override;
+
+    private:
+        std::mt19937 generator_; // Mersenne Twister PRNG
+    };
+
+}
+
+#endif //RANDOM_NUMBER_GENERATOR_H

include/random/number_generator/sobol_quasi_random_generator.h

@@ -0,0 +1,24 @@
+#ifndef SOBOL_QUASI_RANDOM_GENERATOR_H
+#define SOBOL_QUASI_RANDOM_GENERATOR_H
+
+#include <boost/random/sobol.hpp>
+#include "random/number_generator/base_quasi_random_generator.h"
+
+namespace OptionPricer {
+
+    class SobolGenerator final: public QRNGenerator {
+    public:
+        explicit SobolGenerator(std::shared_ptr<Distribution> dist, const unsigned int& dim);
+        SobolGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed, const unsigned int& dim);
+
+        ~SobolGenerator() override;
+
+        [[nodiscard]] double generate(const int& step) override;
+
+    private:
+        boost::random::sobol sobolQrng_;
+    };
+
+}
+
+#endif //SOBOL_QUASI_RANDOM_GENERATOR_H

include/solver/monte_carlo/base_mc.h

@@ -1,15 +1,16 @@
 #ifndef BASE_MC_H
 #define BASE_MC_H
 
-#include "solver/monte_carlo/stock_price_model.h"
-#include "solver/monte_carlo/generator.h"
+#include <iostream>
+#include "model/base_model.h"
+#include "random/number_generator/base_generator.h"
 
 namespace OptionPricer {
 
     class MCPricer {
     public:
         MCPricer(std::shared_ptr<IMarketData> marketData,
-                 std::shared_ptr<StockPriceModel> stockModel,
+                 std::shared_ptr<StockModel> stockModel,
                  std::shared_ptr<NumberGenerarator> generator);
 
         virtual ~MCPricer();
@@ -18,7 +19,7 @@ namespace OptionPricer {
 
     protected:
         std::shared_ptr<IMarketData> marketData_;
-        std::shared_ptr<StockPriceModel> stockModel_;
+        std::shared_ptr<StockModel> stockModel_;
         std::shared_ptr<NumberGenerarator> generator_;
     };
 

include/solver/monte_carlo/base_mc_path_dependent.h

@@ -8,7 +8,7 @@ namespace OptionPricer {
     class PathDependentMCPricer : public MCPricer {
     public:
         PathDependentMCPricer(std::shared_ptr<IMarketData> marketData,
-                              std::shared_ptr<StockPriceModel> stockModel,
+                              std::shared_ptr<StockModel> stockModel,
                               std::shared_ptr<NumberGenerarator> generator,
                               const unsigned int& steps);
 

include/solver/monte_carlo/basis_function/base_basis_function_strategy.h

@@ -0,0 +1,21 @@
+#ifndef BASE_BASIS_FUNCTION_H
+#define BASE_BASIS_FUNCTION_H
+
+#include <Eigen/Dense>
+
+namespace OptionPricer {
+
+    class BasisFunctionStrategy {
+    public:
+        explicit BasisFunctionStrategy(const unsigned int& numberBasis);
+        virtual ~BasisFunctionStrategy();
+
+        [[nodiscard]] virtual Eigen::MatrixXd generate(const Eigen::VectorXd& x) const = 0;
+
+    protected:
+        unsigned int numberBasis_; // Number of basis functions to generate
+    };
+
+}
+
+#endif //BASE_BASIS_FUNCTION_H

include/solver/monte_carlo/basis_function/chebyshev.h

@@ -0,0 +1,18 @@
+#ifndef CHEBYSHEV_H
+#define CHEBYSHEV_H
+
+#include "solver/monte_carlo/basis_function/base_basis_function_strategy.h"
+
+namespace OptionPricer {
+
+    class ChebyshevBasisFunction : public BasisFunctionStrategy {
+    public:
+        using BasisFunctionStrategy::BasisFunctionStrategy;
+        ~ChebyshevBasisFunction() override;
+
+        [[nodiscard]] Eigen::MatrixXd generate(const Eigen::VectorXd& x) const override;
+    };
+
+}
+
+#endif //CHEBYSHEV_H

include/solver/monte_carlo/basis_function/laguerre.h

@@ -0,0 +1,18 @@
+#ifndef LAGUERRE_H
+#define LAGUERRE_H
+
+#include "solver/monte_carlo/basis_function/base_basis_function_strategy.h"
+
+namespace OptionPricer {
+
+    class LaguerreBasisFunction final : public BasisFunctionStrategy {
+    public:
+        using BasisFunctionStrategy::BasisFunctionStrategy;
+        ~LaguerreBasisFunction() override;
+
+        [[nodiscard]] Eigen::MatrixXd generate(const Eigen::VectorXd& x) const override;
+    };
+
+}
+
+#endif //LAGUERRE_H