Manto carlo: MCEuropeanEngine

[hrisquo]

Hi,

I am trying to understand the monte carlo in QuantLib. However, I am getting errors when i try to call the MCEuropeanEngine.

The error is as follows:

myMC.cpp: In function ‘int main()’:
myMC.cpp:55: error: expected type-specifier before ‘MCEuropeanEngine’
myMC.cpp:55: error: expected `)' before ‘MCEuropeanEngine’
/home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp: In constructor ‘boost::shared_ptr< <template-parameter-1-1> >::shared_ptr(Y*) [with Y = int, T = QuantLib::PathPricer<QuantLib::Path, double>]’:
myMC.cpp:57:   instantiated from here
/home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp:183: error: cannot convert ‘int*’ to ‘QuantLib::PathPricer<QuantLib::Path, double>*’ in initialization

The error is from this line of the code

boost::shared_ptr<PathPricer<Path> > myPathPricer(new MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
         brownianBridge, antitheticVariate, controlVariate,
         requiredSamples, requiredTolerance, maxSamples, seed));

I have also attached the full code below as its very short. I can not understand why it says it expected a type specifier before MCEuropeanEngine if its a class template within QuantLib:

#include <ql/quantlib.hpp>
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

int main()
{

    Calendar calendar = TARGET();
    Date today = Date::todaysDate();
    DayCounter dayCount = Actual365Fixed();
    Rate r_ = 0.05;
    Real s0_ = 0.10;
    Volatility sigma_ = 0.20;
    Size nTimeSteps = 1;
    Time maturity_ = 1.0/12.0;

    Size timeSteps = 1;
    Size timeStepsPerYear = 1000;
    bool antitheticVariate = false;
    bool controlVariate = false;
    Size requiredSamples = 1000;
    Real requiredTolerance = 0.001;
    Size maxSamples = 1000;
    BigNatural seed = 42;

// calculate Input parameters from the BlackScholesMertonProcess
    Handle<Quote> stateVariable(
                          boost::shared_ptr<Quote>(new SimpleQuote(s0_)));
    Handle<YieldTermStructure> riskFreeRate(
                          boost::shared_ptr<YieldTermStructure>(
                                      new FlatForward(today, r_, dayCount)));
    Handle<YieldTermStructure> dividendYield(
                          boost::shared_ptr<YieldTermStructure>(
                                      new FlatForward(today, 0.0, dayCount)));
    Handle<BlackVolTermStructure> volatility(
                          boost::shared_ptr<BlackVolTermStructure>(
                               new BlackConstantVol(today, calendar, sigma_, dayCount)));
boost::shared_ptr<StochasticProcess1D> diffusion(
                   new BlackScholesMertonProcess(stateVariable, dividendYield,
                                                 riskFreeRate, volatility));

    PseudoRandom::rsg_type rsg =
        PseudoRandom::make_sequence_generator(nTimeSteps, 0);

    bool brownianBridge = false;

    typedef SingleVariate<PseudoRandom>::path_generator_type generator_type;
    boost::shared_ptr<generator_type> myPathGenerator(new
        generator_type(diffusion, maturity_, nTimeSteps,
                       rsg, brownianBridge));

boost::shared_ptr<PathPricer<Path> > myPathPricer(new MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
         brownianBridge, antitheticVariate, controlVariate,
         requiredSamples, requiredTolerance, maxSamples, seed));

return 0;
}

Thanx in advance.

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[Kim Kuen Tang]

Hi Risco,

the two template parameters are for example
MCEuropeanEngine<PseudoRandom,Statistics>.

Best regards,
Kim

Risco Mutelo schrieb:

> Hi,
>
> I am trying to understand the monte carlo in QuantLib. However, I am
> getting errors when i try to call the MCEuropeanEngine.
>
> The error is as follows:
>
> myMC.cpp: In function ‘int main()’:
> myMC.cpp:55: error: expected type-specifier before ‘MCEuropeanEngine’
> myMC.cpp:55: error: expected `)' before ‘MCEuropeanEngine’
> /home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp:
> In constructor ‘boost::shared_ptr< <template-parameter-1-1>
> >::shared_ptr(Y*) [with Y = int, T =
> QuantLib::PathPricer<QuantLib::Path, double>]’:
> myMC.cpp:57:   instantiated from here
> /home/Risco/Cxx/Quant/BoostLib/include/boost-1_38/boost/shared_ptr.hpp:183:
> error: cannot convert ‘int*’ to ‘QuantLib::PathPricer<QuantLib::Path,
> double>*’ in initialization
>
> The error is from this line of the code
>
> boost::shared_ptr<PathPricer<Path> > myPathPricer(new
> MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
>          brownianBridge, antitheticVariate, controlVariate,
>          requiredSamples, requiredTolerance, maxSamples, seed));
>
> I have also attached the full code below as its very short. I can not
> understand why it says it expected a type specifier before
> MCEuropeanEngine if its a class template within QuantLib:
>
> #include <ql/quantlib.hpp>
> #include <boost/timer.hpp>
> #include <iostream>
> #include <iomanip>
>
> using namespace QuantLib;
>
> int main()
> {
>
>     Calendar calendar = TARGET();
>     Date today = Date::todaysDate();
>     DayCounter dayCount = Actual365Fixed();
>     Rate r_ = 0.05;
>     Real s0_ = 0.10;
>     Volatility sigma_ = 0.20;
>     Size nTimeSteps = 1;
>     Time maturity_ = 1.0/12.0;
>
>     Size timeSteps = 1;
>     Size timeStepsPerYear = 1000;
>     bool antitheticVariate = false;
>     bool controlVariate = false;
>     Size requiredSamples = 1000;
>     Real requiredTolerance = 0.001;
>     Size maxSamples = 1000;
>     BigNatural seed = 42;
>
> // calculate Input parameters from the BlackScholesMertonProcess
>     Handle<Quote> stateVariable(
>                           boost::shared_ptr<Quote>(new SimpleQuote(s0_)));
>     Handle<YieldTermStructure> riskFreeRate(
>                           boost::shared_ptr<YieldTermStructure>(
>                                       new FlatForward(today, r_,
> dayCount)));
>     Handle<YieldTermStructure> dividendYield(
>                           boost::shared_ptr<YieldTermStructure>(
>                                       new FlatForward(today, 0.0,
> dayCount)));
>     Handle<BlackVolTermStructure> volatility(
>                           boost::shared_ptr<BlackVolTermStructure>(
>                                new BlackConstantVol(today, calendar,
> sigma_, dayCount)));
> boost::shared_ptr<StochasticProcess1D> diffusion(
>                    new BlackScholesMertonProcess(stateVariable,
> dividendYield,
>                                                  riskFreeRate,
> volatility));
>
>     PseudoRandom::rsg_type rsg =
>         PseudoRandom::make_sequence_generator(nTimeSteps, 0);
>
>     bool brownianBridge = false;
>
>     typedef SingleVariate<PseudoRandom>::path_generator_type
> generator_type;
>     boost::shared_ptr<generator_type> myPathGenerator(new
>         generator_type(diffusion, maturity_, nTimeSteps,
>                        rsg, brownianBridge));
>
> boost::shared_ptr<PathPricer<Path> > myPathPricer(new
> MCEuropeanEngine(diffusion, timeSteps, timeStepsPerYear,
>          brownianBridge, antitheticVariate, controlVariate,
>          requiredSamples, requiredTolerance, maxSamples, seed));
>
> return 0;
> }
>
> Thanx in advance..
>
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[Kim Kuen Tang]

Hi Risco,

Risco Mutelo schrieb:

> hi Kim,
>
> I included the two template parameters as
> boost::shared_ptr<PathPricer<Path> > myPathPricer(
>                 new MCEuropeanEngine<PseudoRandom, Statistics>
> myMCEuropeanEngine(
>                 const diffusion, timeSteps, timeStepsPerYear,
> brownianBridge,
>                antitheticVariate, controlVariate, requiredSamples,
> requiredTolerance, maxSamples, seed));
>
> but now i get a different error:
> "
> myMC.cpp: In function ‘int main()’:
> myMC.cpp:70: error: no matching function for call to
> ‘QuantLib::MCEuropeanEngine<QuantLib::GenericPseudoRandom<QuantLib::MersenneTwisterUniformRng,
> QuantLib::InverseCumulativeNormal>,
> QuantLib::GenericRiskStatistics<QuantLib::GenericGaussianStatistics<QuantLib::GeneralStatistics>
> > >::MCEuropeanEngine()’
> /home/Risco/Cxx/Quant/QuantLib/include/ql/pricingengines/vanilla/mceuropeanengine.hpp:122:
> note: candidates are: QuantLib::MCEuropeanEngine<RNG,
> S>::MCEuropeanEngine(const
> boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>&,
> QuantLib::Size, QuantLib::Size, bool, bool, bool, QuantLib::Size,
> QuantLib::Real, QuantLib::Size, QuantLib::BigNatural) [with RNG =
> QuantLib::GenericPseudoRandom<QuantLib::MersenneTwisterUniformRng,
> QuantLib::InverseCumulativeNormal>, S =
> QuantLib::GenericRiskStatistics<QuantLib::GenericGaussianStatistics<QuantLib::GeneralStatistics>
> >]
> /home/Risco/Cxx/Quant/QuantLib/include/ql/pricingengines/vanilla/mceuropeanengine.hpp:43:
> note:                
> QuantLib::MCEuropeanEngine<QuantLib::GenericPseudoRandom<QuantLib::MersenneTwisterUniformRng,
> QuantLib::InverseCumulativeNormal>,
> QuantLib::GenericRiskStatistics<QuantLib::GenericGaussianStatistics<QuantLib::GeneralStatistics>
> > >::MCEuropeanEngine(const
> QuantLib::MCEuropeanEngine<QuantLib::GenericPseudoRandom<QuantLib::MersenneTwisterUniformRng,
> QuantLib::InverseCumulativeNormal>,
> QuantLib::GenericRiskStatistics<QuantLib::GenericGaussianStatistics<QuantLib::GeneralStatistics>
> > >&)
>
> "
> which does not make sense to me bcos it seems to suggest that am
> trying to instantiate MCEuropeanEngine() with a default constructor,
> which is not what I am doing.

the correct call of the constructor is the following:

boost::shared_ptr<MCEuropeanEngine<PseudoRandom,Statistics> >
myPathPricer(new MCEuropeanEngine<PseudoRandom, Statistics>(diffusion,
timeSteps, timeStepsPerYear,
             brownianBridge, antitheticVariate, controlVariate,
             requiredSamples, requiredTolerance, maxSamples, seed));

But this wont compile too, since diffusion do not have the correct type.
Change the type from diffusion into  
boost::shared_ptr<GeneralizedBlackScholesProcess>, then the code will
compile.

Best regards,
Kim
> I will be grateful for any feedback.
>
> Cheers
>
>
#include <ql/quantlib.hpp>
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

int main()
{

    try{
        Calendar calendar = TARGET();
        Date today = Date::todaysDate();
        DayCounter dayCount = Actual365Fixed();
        Rate r_ = 0.05;
        Real s0_ = 0.10;
        Volatility sigma_ = 0.20;
        Size nTimeSteps = 1;
        Time maturity_ = 1.0/12.0;

        Size timeSteps = 1;
        Size timeStepsPerYear = 1000;
        bool antitheticVariate = false;
        bool controlVariate = false;
        Size requiredSamples = 1000;
        Real requiredTolerance = 0.001;
        Size maxSamples = 1000;
        BigNatural seed = 42;

    // calculate Input parameters from the BlackScholesMertonProcess
        Handle<Quote> stateVariable(
                              boost::shared_ptr<Quote>(new
SimpleQuote(s0_)));
        Handle<YieldTermStructure> riskFreeRate(
                              boost::shared_ptr<YieldTermStructure>(
                                          new FlatForward(today, r_,
dayCount)));
        Handle<YieldTermStructure> dividendYield(
                              boost::shared_ptr<YieldTermStructure>(
                                          new FlatForward(today, 0.0,
dayCount)));
        Handle<BlackVolTermStructure> volatility(
                              boost::shared_ptr<BlackVolTermStructure>(
                                   new BlackConstantVol(today, calendar,
sigma_, dayCount)));
    boost::shared_ptr<GeneralizedBlackScholesProcess> diffusion(
                       new BlackScholesMertonProcess(stateVariable,
dividendYield,
                                                     riskFreeRate,
volatility));

        PseudoRandom::rsg_type rsg =
            PseudoRandom::make_sequence_generator(nTimeSteps, 0);

        bool brownianBridge = false;

        typedef SingleVariate<PseudoRandom>::path_generator_type
generator_type;
        boost::shared_ptr<generator_type> myPathGenerator(new
            generator_type(diffusion, maturity_, nTimeSteps,
                           rsg, brownianBridge));

    boost::shared_ptr<MCEuropeanEngine<PseudoRandom,Statistics> >
myPathPricer(new MCEuropeanEngine<PseudoRandom,        
Statistics>(diffusion, timeSteps, timeStepsPerYear,
             brownianBridge, antitheticVariate, controlVariate,
             requiredSamples, requiredTolerance, maxSamples, seed));
    return EXIT_SUCCESS;
    }
    catch(std::exception& e)
    {
        std::cout<<e.what()<<"\n";
        return EXIT_FAILURE;
    }
    catch(...)
    {
        std::cout<<"unknown error \n";
        return EXIT_FAILURE;
    }

return 0;
}

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