MCOV

Open Source Monte Carlo Option Valuer

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Strategies and Strategy Objects This is an excerpt from mcovaluer.h. // ------------------------------------------------------ // Strategies and Strategy Objects // // The MCOV software is controlled by strategy objects // that make various decisions or estimates: // - was the option sold in the latest day? // - price of underlying instrument when option sold // - bid for the option when it was sold // - day to use as a prototype to project the next day // - how to project the next day using a prototype day // // Strategies may be modified or replaced by subclassing // the default strategy classes (or the base classes). // Strategy classes depend upon the dayset (the history // and the projected days) being composed of the correct // type of day-object. A day-factory class may be // subclassed to construct the correct type of day. // // Only a very simple set of strategies are currently // included in the MCOV software, and they are used // by default: // - the option is sold just before it expires (if it is // in the money) // - the bid for the option is estimated be 99% of the // the intrinsic value // - prototype days are picked at random from the history // - day-objects store closing-price and change-ratio // ( close / previous-close ) // - the closing-price of a day being projected is the // previous close multiplied by the change-ratio // of the prototype day // // Much more sophisticated and subtle stategies can be // developed, particularly in relation to the process // of picking prototype days. // // // ------------------------------------------------------