Merge pull request #34 from anthonymakarewicz/feature/solver_MC

Feature/solver mc
anthonymakarewicz · Aug 16, 2024 · 2fc377a · 2fc377a
2 parents db5f0f0 + cb6b93b
commit 2fc377a
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Showing 30 changed files with 291 additions and 148 deletions.
diff --git a/include/random/number_generator/base_generator.h b/include/random/number_generator/base_generator.h
@@ -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;
 

diff --git a/include/random/number_generator/base_quasi_random_generator.h b/include/random/number_generator/base_quasi_random_generator.h
@@ -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;
 

diff --git a/include/random/number_generator/faure_quasi_random_generator.h b/include/random/number_generator/faure_quasi_random_generator.h
@@ -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);

diff --git a/include/random/number_generator/random_generator.h b/include/random/number_generator/random_generator.h
@@ -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;
 

diff --git a/include/random/number_generator/sobol_quasi_random_generator.h b/include/random/number_generator/sobol_quasi_random_generator.h
@@ -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);

diff --git a/include/solver/monte_carlo/base_mc.h b/include/solver/monte_carlo/base_mc.h
@@ -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_;
     };
 
 }

diff --git a/include/solver/monte_carlo/base_mc_path_dependent.h b/include/solver/monte_carlo/base_mc_path_dependent.h
@@ -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:

diff --git a/include/solver/monte_carlo/builder/base_mc_builder.h b/include/solver/monte_carlo/builder/base_mc_builder.h
@@ -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_;
     };
 
 }

diff --git a/include/solver/monte_carlo/mc_american.h b/include/solver/monte_carlo/mc_american.h
@@ -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_;
@@ -28,5 +30,4 @@ namespace OptionPricer {
 
 }
 
-
 #endif //MC_AMERICAN_H
diff --git a/include/solver/monte_carlo/mc_asian.h b/include/solver/monte_carlo/mc_asian.h
@@ -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;
@@ -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:
@@ -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:

diff --git a/include/solver/monte_carlo/mc_barrier.h b/include/solver/monte_carlo/mc_barrier.h
@@ -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;
@@ -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:
@@ -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:

diff --git a/include/solver/monte_carlo/mc_lookback.h b/include/solver/monte_carlo/mc_lookback.h
@@ -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;
@@ -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:
@@ -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:

diff --git a/include/solver/monte_carlo/mc_single_path.h b/include/solver/monte_carlo/mc_single_path.h
@@ -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_;

diff --git a/main.cpp b/main.cpp
@@ -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"
 
@@ -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;
 
     /*

diff --git a/src/random/number_generator/base_generator.cpp b/src/random/number_generator/base_generator.cpp
@@ -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;
 
 }