The project contains two parts. Each part should be compiled and executed separetely. The code reproduces results from the article: https://arxiv.org/abs/1211.5726
To compile: g++ -I. -o cap.out *.cpp
To launch: ./cap.out
Files:
main.cpp: main function for Barrier Cap
utils.cpp: contains all the necessary stuff and implementation of function
utils.h: header file
The code prints the results directly into console.
The complete time of execution may take upto 30 minutes. If one needs to reduce the execution time, please change values of the variables num_sim and N in main.cpp (e.g. num_sim = 10000, N = 100)
Don't need to do anything, just go into the directory of Swaption then type the compilation command Compilation command : g++ -I. -o swap.out *.cpp
You will find three files written by us:
swap_utils.h : header file
swap_utils.cpp : all functions need for the Barrier Swaption
test_swap.cpp : main function for the Barrier Swaption
All other files are form alglib, they are used for the optimization procedure in the algorithm.
The code prints out the prices and runing times for each discretization step at the terminal screen. As output, you are going the expect a file which stores the exit time and the result of each simulation per discretization step.