C++ Monte Carlo Simulations for Options

Develop a pricing engine for pricing European options using Monte Carlo simulation in C++ **(must be compatible with Visual C++ Express Edition)**. --**Random variate generator (object)**: This object generates the standard normals needed in advancing the stock price, but it should also support other variates (such as the uniform) --**Option** (object): This object contains the payoff function, maturity, strike, etc. --**Underlying processes**: This object contains information needed to define the stock(s) evolution process(es). Should be a log-normal model, but you should have the capability of changing the model to something else. **--Market object**: Specifies the interest rate curve and the current value of the stock/s, their dividend yields, etc. In the case of a stock option, you would extract the discounting rate, r, from this object. For the sake of this project, this object may just have a rate r and current stock prices, and functions to extract them. --**Simulation parameters**: This object specifies the accuracy that you expect from the computation -- **Pricing parameters (object)**: Specifies what you want the engine to do besides computing the price (such as hedge ratios, etc.) Assume you just want the price. -------> **--Pricing engine:** This is the object in charge of computing the price of the option. This object places the results into an output object --------> -- **Output object:** In your project, this object contains the value of the option and summarizes other input information that you may need to create an readable report (maturity, strike, etc.) ---------> -- **Interrogation object:** This object allows you to extract specific information you need from the output object. **--Output specs object**: This is an input to the interrogation object and specifies where you want to output the results. I can explain the math / finance knowledge involved and the basic idea / architecture of the project! I hope this can help you in posting your bids! Thanks! ## Deliverables The above is the proposed architecture for the project!