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Dev #35

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merged 5 commits into from
Aug 16, 2024
Merged

Dev #35

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afa746e
modified american LSMC so that it macthes exactly to the true theriti…
anthonymakarewicz Aug 15, 2024
e02dffc
added brownian bridge for pricing american options
anthonymakarewicz Aug 16, 2024
470f8b7
little refactoring for more approrpiate names
anthonymakarewicz Aug 16, 2024
cb6b93b
small refactoring
anthonymakarewicz Aug 16, 2024
2fc377a
Merge pull request #34 from anthonymakarewicz/feature/solver_MC
anthonymakarewicz Aug 16, 2024
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8 changes: 4 additions & 4 deletions include/random/number_generator/base_generator.h
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Expand Up @@ -5,12 +5,12 @@

namespace OptionPricer {

class NumberGenerarator {
class NumberGenerator {
public:
explicit NumberGenerarator(std::shared_ptr<Distribution> dist);
explicit NumberGenerarator(std::shared_ptr<Distribution> dist, const unsigned int& seed);
explicit NumberGenerator(std::shared_ptr<Distribution> dist);
explicit NumberGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed);

virtual ~NumberGenerarator();
virtual ~NumberGenerator();

virtual double generate(const int& step) = 0;

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8 changes: 4 additions & 4 deletions include/random/number_generator/base_quasi_random_generator.h
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Expand Up @@ -5,12 +5,12 @@

namespace OptionPricer {

class QRNGenerator : public NumberGenerarator {
class QuasiRandomNumberGenerator : public NumberGenerator {
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);
explicit QuasiRandomNumberGenerator(std::shared_ptr<Distribution> dist, const unsigned int& dim);
QuasiRandomNumberGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed, const unsigned int& dim);

~QRNGenerator() override;
~QuasiRandomNumberGenerator() override;

unsigned int getDim() const;

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2 changes: 1 addition & 1 deletion include/random/number_generator/faure_quasi_random_generator.h
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Expand Up @@ -6,7 +6,7 @@

namespace OptionPricer {

class FaureGenerator final: public QRNGenerator {
class FaureGenerator final: public QuasiRandomNumberGenerator {
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);
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6 changes: 3 additions & 3 deletions include/random/number_generator/random_generator.h
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Expand Up @@ -5,10 +5,10 @@

namespace OptionPricer {

class RNGenerator final: public NumberGenerarator {
class RandomNumberGenerator final: public NumberGenerator {
public:
explicit RNGenerator(std::shared_ptr<Distribution> dist);
RNGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed);
explicit RandomNumberGenerator(std::shared_ptr<Distribution> dist);
RandomNumberGenerator(std::shared_ptr<Distribution> dist, const unsigned int& seed);

[[nodiscard]] double generate(const int& step) override;

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2 changes: 1 addition & 1 deletion include/random/number_generator/sobol_quasi_random_generator.h
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Expand Up @@ -6,7 +6,7 @@

namespace OptionPricer {

class SobolGenerator final: public QRNGenerator {
class SobolGenerator final: public QuasiRandomNumberGenerator {
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);
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6 changes: 3 additions & 3 deletions include/solver/monte_carlo/base_mc.h
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Expand Up @@ -11,16 +11,16 @@ namespace OptionPricer {
public:
MCPricer(std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator);
std::shared_ptr<NumberGenerator> generator);

virtual ~MCPricer();

[[nodiscard]] virtual double calculate_price(const unsigned long& N) const = 0;
[[nodiscard]] virtual double calculatePrice(const unsigned long& N) const = 0;

protected:
std::shared_ptr<IMarketData> marketData_;
std::shared_ptr<StockModel> stockModel_;
std::shared_ptr<NumberGenerarator> generator_;
std::shared_ptr<NumberGenerator> generator_;
};

}
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2 changes: 1 addition & 1 deletion include/solver/monte_carlo/base_mc_path_dependent.h
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Expand Up @@ -9,7 +9,7 @@ namespace OptionPricer {
public:
PathDependentMCPricer(std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

protected:
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4 changes: 2 additions & 2 deletions include/solver/monte_carlo/builder/base_mc_builder.h
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Expand Up @@ -15,15 +15,15 @@ namespace OptionPricer {

MCBuilder& setMarketData(std::shared_ptr<IMarketData> marketData);
MCBuilder& setStockPriceModel(std::shared_ptr<StockModel> stockModel);
MCBuilder& setNumberGenerator(std::shared_ptr<NumberGenerarator> generator);
MCBuilder& setNumberGenerator(std::shared_ptr<NumberGenerator> generator);

virtual MCBuilder& setOption(std::shared_ptr<Option> option) = 0;
virtual std::unique_ptr<MCPricer> build() = 0;

protected:
std::shared_ptr<IMarketData> marketData_;
std::shared_ptr<StockModel> stockModel_; // Requires specific option to be provided default values
std::shared_ptr<NumberGenerarator> generator_;
std::shared_ptr<NumberGenerator> generator_;
};

}
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7 changes: 4 additions & 3 deletions include/solver/monte_carlo/mc_american.h
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Expand Up @@ -13,12 +13,14 @@ namespace OptionPricer {
AmericanMCPricer(std::shared_ptr<AmericanOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
std::shared_ptr<BasisFunctionStrategy> basisFunctionStrategy,
std::shared_ptr<RegressionStrategy> regressionStrategy,
const unsigned int& steps);

double calculate_price(const unsigned long& N) const override;
double calculatePrice(const unsigned long& N) const override;
double standardPrice(const unsigned long& N, const double &dt, const double &discountFactor) const ;
double brownianBridgePrice(const unsigned long& N, const double &dt, const double &discountFactor) const ;

private:
std::shared_ptr<BasisFunctionStrategy> basisFunctionStrategy_;
Expand All @@ -28,5 +30,4 @@ namespace OptionPricer {

}


#endif //MC_AMERICAN_H
8 changes: 4 additions & 4 deletions include/solver/monte_carlo/mc_asian.h
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Expand Up @@ -11,10 +11,10 @@ namespace OptionPricer {
AsianMCPricer(std::shared_ptr<AsianOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

[[nodiscard]] double calculate_price(const unsigned long& N) const override;
[[nodiscard]] double calculatePrice(const unsigned long& N) const override;

protected:
virtual double computeSumPrices(const double& S_t) const = 0;
Expand All @@ -29,7 +29,7 @@ namespace OptionPricer {
ArithmeticAsianMCPricer(std::shared_ptr<ArithmeticAsianOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

private:
Expand All @@ -44,7 +44,7 @@ namespace OptionPricer {
GeometricAsianMCPricer(std::shared_ptr<GeometricAsianOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

private:
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8 changes: 4 additions & 4 deletions include/solver/monte_carlo/mc_barrier.h
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Expand Up @@ -11,10 +11,10 @@ namespace OptionPricer {
BarrierMCPricer(std::shared_ptr<BarrierOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

[[nodiscard]] double calculate_price(const unsigned long& N) const override;
[[nodiscard]] double calculatePrice(const unsigned long& N) const override;

protected:
virtual bool checkHasCrossed(const double& S_t, bool& hasCrossed) const = 0;
Expand All @@ -28,7 +28,7 @@ namespace OptionPricer {
KnockInBarrierMCPricer(std::shared_ptr<KnockInBarrierOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

protected:
Expand All @@ -41,7 +41,7 @@ namespace OptionPricer {
KnockOutBarrierMCPricer(std::shared_ptr<KnockOutBarrierOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

protected:
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8 changes: 4 additions & 4 deletions include/solver/monte_carlo/mc_lookback.h
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Expand Up @@ -11,10 +11,10 @@ namespace OptionPricer {
LookbackMCPricer(std::shared_ptr<LookbackOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

[[nodiscard]] double calculate_price(const unsigned long& N) const override;
[[nodiscard]] double calculatePrice(const unsigned long& N) const override;

protected:
virtual double computePayoff(const double& S_t, const double& S_min, const double& S_max) const = 0;
Expand All @@ -26,7 +26,7 @@ namespace OptionPricer {
FloatingStrikeLookbackMCPricer(std::shared_ptr<FloatingStrikeLookbackOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

private:
Expand All @@ -38,7 +38,7 @@ namespace OptionPricer {
FixedStrikeLookbackMCPricer(std::shared_ptr<FixedStrikeLookbackOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator,
std::shared_ptr<NumberGenerator> generator,
const unsigned int& steps);

private:
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4 changes: 2 additions & 2 deletions include/solver/monte_carlo/mc_single_path.h
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Expand Up @@ -11,11 +11,11 @@ namespace OptionPricer {
SinglePathMCPricer(std::shared_ptr<SinglePathOption> option,
std::shared_ptr<IMarketData> marketData,
std::shared_ptr<StockModel> stockModel,
std::shared_ptr<NumberGenerarator> generator);
std::shared_ptr<NumberGenerator> generator);

~SinglePathMCPricer() override = default;

[[nodiscard]] double calculate_price(const unsigned long& N) const override;
[[nodiscard]] double calculatePrice(const unsigned long& N) const override;

private:
std::shared_ptr<SinglePathOption> option_;
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70 changes: 53 additions & 17 deletions main.cpp
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Expand Up @@ -20,6 +20,11 @@
#include "random/distribution/standard_normal_distribution.h"
#include "random/number_generator/sobol_quasi_random_generator.h"
#include <Eigen/Dense>
#include <gtest/internal/gtest-param-util.h>
#include <random/number_generator/random_generator.h>
#include <solver/monte_carlo/basis_function/chebyshev.h>
#include <solver/monte_carlo/basis_function/laguerre.h>
#include <solver/monte_carlo/regression/lasso.h>
#include <solver/monte_carlo/regression/ridge.h>
#include "solver/monte_carlo/basis_function/legendre.h"

Expand All @@ -30,49 +35,80 @@ int main() {
double T = 1.0;
double K = 100.0;
double S = 100.0;
double sigma = 0.2;
double r = 0.05;
double B = 120;
double dim = 52;
double sigma = 0.15;
double r = 0.03;
int dim = 150;

auto marketData = MarketData::getInstance();
marketData->addStock(ticker, S, sigma);
marketData->setR(r);

ParameterObject params;
params.setParameter("ticker", "AAPL");
params.setParameter("ticker", ticker);
params.setParameter("T", T);
params.setParameter("K", K);
params.setParameter("B", B);
params.setParameter("direction", BarrierDirection::Up);

auto normal = std::make_shared<StandardNormalDistribution>();
auto generator = std::make_shared<SobolGenerator>(normal, dim);
auto generator = std::make_shared<RandomNumberGenerator>(normal);
auto brownianMotion = std::make_shared<GeometricBrownianMotionModel>(ticker, marketData);
auto laguerre = std::make_shared<LaguerreBasisFunction>(4);
auto regression = std::make_shared<LeastSquaresRegression>();

AmericanOptionFactory factory;
auto call = factory.createCallOption(params);
auto put = factory.createPutOption(params);

auto pricer = std::make_unique<AmericanMCPricer>(put, marketData, brownianMotion, generator, laguerre, regression, dim);
AmericanMCBuilder builder;
auto americanPricer = builder.setOption(call).setSteps(25).build();
auto americanPricer = builder.setOption(put)
.setSteps(dim)
.setNumberGenerator(generator).build();

MCSolver mcSolver;
mcSolver.setN(100000);
mcSolver.setPricer(std::move(americanPricer));
mcSolver.setN(200000);
mcSolver.setPricer(std::move(pricer));

std::cout << "S = 100, dim = 50, P = ";
std::cout << mcSolver.solve() << "\n";

auto ridgeStrat = std::make_shared<RidgeRegression>(0);
auto americanPricer2 = builder.setRegressionStrategy(ridgeStrat).build();

marketData->updateStockPrice(ticker, 90);
auto americanPricer2 = builder.build();
mcSolver.setPricer(std::move(americanPricer2));

std::cout << "S = 90, dim = 50, P = ";
std::cout << mcSolver.solve() << "\n";

auto legendreStrat = std::make_shared<LegendreBasisFunction>(5);
auto americanPricer3 = builder.setBasisFunctionStrategy(legendreStrat).build();
marketData->updateStockPrice(ticker, 110);
auto americanPricer3 = builder.build();

mcSolver.setPricer(std::move(americanPricer3));
std::cout << "S = 110, dim = 50, P = ";
std::cout << mcSolver.solve() << "\n";

/*
dim = 100;
marketData->updateStockPrice("AAPL", 100);
auto generator2 = std::make_shared<SobolGenerator>(normal, dim);
auto americanPricer4 = builder.setSteps(dim).setNumberGenerator(generator2).build();

std::cout << "S = 100, dim = 100, P = ";
mcSolver.setPricer(std::move(americanPricer4));
std::cout << mcSolver.solve() << "\n";

marketData->updateStockPrice("AAPL", 90);
auto americanPricer5 = builder.build();

mcSolver.setPricer(std::move(americanPricer5));
std::cout << "S = 90, dim = 100, P = ";
std::cout << mcSolver.solve() << "\n";

marketData->updateStockPrice("AAPL", 110);
auto americanPricer6 = builder.build();

mcSolver.setPricer(std::move(americanPricer6));
std::cout << "S = 110, dim = 100, P = ";
std::cout << mcSolver.solve() << "\n";
*/

return 0;

/*
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6 changes: 3 additions & 3 deletions src/random/number_generator/base_generator.cpp
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Expand Up @@ -2,19 +2,19 @@

namespace OptionPricer {

NumberGenerarator::NumberGenerarator(std::shared_ptr<Distribution> dist)
NumberGenerator::NumberGenerator(std::shared_ptr<Distribution> dist)
: dist_(std::move(dist)) {
std::random_device rd;
seed_ = rd();
}

NumberGenerarator::NumberGenerarator(std::shared_ptr<Distribution> dist, const unsigned int &seed)
NumberGenerator::NumberGenerator(std::shared_ptr<Distribution> dist, const unsigned int &seed)
: dist_(std::move(dist)), seed_(seed) {
if (seed_ < 0) {
throw std::invalid_argument("seed parameetr must be a positve integer");
}
}

NumberGenerarator::~NumberGenerarator() = default;
NumberGenerator::~NumberGenerator() = default;

}
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