MCOV

 Open Source Monte Carlo Option Valuer
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MCOV README

This is the README.txt file that comes with the distribution (without the license section)... 


=================================================================
 README.txt   -   Using MCOV Monte Carlo Option Valuer Software

 Contents:
    Compiling MCOV Software
    Default Strategies
    Running the mcov Program
    History Data from Yahoo (Unix)


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    Compiling MCOV Software

The mcov program is compiled with a command (like):

gcc -o mcov mcovaluer.cxx mcov.cxx

You may need to change  gcc  to g++ or whatever your
compiler is called.  See the file INSTALL.txt for more
information.


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    Strategies - Default and Custom

The MCOV software currently include default strategies in
which an option is sold just before expiry.

A C++ programmer can define new strategies.  See the C++
header file for more information.


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    Running the mcov Program

Given a file of price-history data, the mcov program will
print out the value of an option...

Usage:

  mcov  hist  put-call  strike  days_to_expiry  [tries]

Examples:

  mcov mydata1.opd  C  47.50  11
  mcov xiu2003.opd  P  45.00  19  1000

The price-history file (for the default strategies):
  - one line per trading day
  - earliest first; may contain gaps
  - lines look like:  daynum  closing-price  [anything]
  - lines beginning with # are ignored

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    History Data from Yahoo (Unix)

For the default strategies, you need a price-history file
that contains records of day-number and closing-price
(separated by white-space).  The records may contain 
anything after the closing price.

On a Unix/Linux system, this file may be created from data
from Yahoo Finance...

 - go to the website:  http://finance.yahoo.com
 - enter a stock symbol in the box and click  [GO]
 - click on  Historical Prices  at the left
 - set the date-range and click  [Get Prices] (if required)
 - cut and paste the data into a text editor
 - save this raw data

Pick a day-number for the earliest day of data.  In the
output history-file, all other trading days will have a 
day-number that goes up from this initial number.  It makes 
no difference to the software what the number is.

Pick a name for the output file.

Run this Unix shell script:

Usage:    conv_yahoo.sh  infil  outfil  first-day-num'
Example:  conv_yahoo.sh raw_april.txt april.mcod  1000


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