C++ Examples - Data Types

Number Precision

C++ Coding - Time to first exit

Question Calculate the expected time to first exit from the interval [0,1] for a Brownian motion X with the following SDE

where dW is a standard Wiener process and X(t=0)=0.56.

C++ Coding - Using NAG for normal

Question Generate pseudo random numbers from the normal distribution with NAG libraries

C++ Coding - Random Numbers and Monte Carlo

Question Generate pseudo random numbers from the normal distribution.

C++ Coding - Euler's Method

Question

Consider an initial value ODE of the following form

write a function to return the value of y at x=b given

C++ - Coding - Deterministic Coupon Bond Pricer

Question You must price a coupon bond with a principle of $100 maturing in 2 years time. Two coupons of $5 are paid at the end of year one and year two, and the continuous compound interest rate is a constant 10%. Extend your code to price a coupon bond with any specification.

C++ - Coding Black Scholes Formula

Question: Write a C++ code to calculate the option values for a call C(t = 0,S), and a put P(t = 0,S) using the Black-Scholes formula:

(2)

(3)