This is a very basic Monte Carlo European Option Pricing Model, written in C# with a WinForms front end. The application is split into three parts:
- Simulator This is the model for the application proper, described in more detail below
- View This is the GUI for the application; a derived type of Form. Its code manages basic input validation and exposes the charts to the presenter
- Presenter The presenter acts as an interface between the Simulator and the View. It binds the events in the view to methods in the Simulator, and vice versa. When a simulation is complete it is responsible for generating the series for the two charts
The Simulator class exists in the MonteCarlo.Model namespace. All this class does is set up the required number of instances of the SimulatedPrice path and runs them in parallel to generate spot price curves. The SimulatedPrice class has a number of static variables that reflect the initial state of the model--the spot price and strike price, mu and sigma, and the type of discretization scheme that is to be used by the model. It creates a double array of the required size and uses the given discretization scheme to calculate subsequent values in the array.
Discretization schemes implement the IDiscretizationScheme interface, which defines one property (the name of the scheme) and one method, Increment, which takes and returns a double. There are two discretization schemes currently defined in the model, Euler and Milstein. Each uses the GaussianBoxMuller class to generate a normally-distributed random number. This in turn uses the RandomProvider class to generate a threadsafe random number.