|Open Source Monte Carlo Option Valuer|
MCOV Project Home Page
What MCOV is...MCOV is Open Source software used to estimate the value of financial options using a Monte Carlo method.
The MCOV software is composed of:
Purpose of the MCOV SoftwareThe MCOV software is not a trading system. It might, however, be a useful tool for the option-trader that is, or has the help of, a C++ programmer.
The mcov program (compiled from mcov.cxx) can be used in a variety of ways...
How the MCOV software is used...The mcovaluer.h and mcovaluer.cxx files can be used to create an mcoValuer object in a C++ program. This object uses a file of history data to estimate the value of an American-Style option (one that can be exercised at any time) to a person with a particular strategy for deciding when to sell the option.
The mcov.cxx is a simple program that uses an mcoValuer object and a history-file to estimate and print the value of an option.
The MCOV software currently uses a strategy of selling the option just before expiry. It assumes (simplistically) that when the option is sold, the price of the underlying instrument (the stock or future) will be the closing price for the day. This strategy uses the mcoDay class that stores only a day-number and the closing price for the day.
Strategies, Days and Day-FactoriesThe MCOV software uses strategy objects to:
For more information, see the header file.
About the mcov ProgramFor information about how the software works, including a brief desctiption of the Monte Carlo method, see the mcovaluer.h header file.
For information about using the mcov program, see the README.txt file.
Open SourceMCOV is OSI Certified Open Source Software as a result of the way it is licensed. Contributers copyright their contributions and license them with the MIT License.
This means that you can do pretty much whatever you want with the MCOV software... use it, distribute it, build it into your commercial application, whatever.
Contributions are welcome, particularly new strategies (and associated days and day-factories).
See www.opensource.org for information on the Open Source Initiative.
This project was started by Brian Marshall in Calgary in February 2004.