Files

BlackScholesModel.h

#pragma once

#include "stdafx.h"
#include "Matrix.h"

class BlackScholesModel {
public:
	BlackScholesModel();
	double drift;
	double stockPrice;
	double volatility;
	double riskFreeRate;
	double date;

	Matrix generatePricePaths(
		std::mt19937& rng,
		double toDate,
		int nPaths,
		int nSteps) const;

	Matrix generateRiskNeutralPricePaths(
		std::mt19937& rng,
		double toDate,
		int nPaths,
		int nSteps) const;

};

//
//   Tests
//

void testBlackScholesModel();