Sync with library changes in r15771

dlogin · Feb 24, 2009 · ac9aa81 · ac9aa81
1 parent bde5f21
commit ac9aa81
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Showing 5 changed files with 13 additions and 14 deletions.
diff --git a/CSharp/examples/EquityOption.cs b/CSharp/examples/EquityOption.cs
@@ -330,7 +330,6 @@ static void Main(string[] args)
                 int timeStepsPerYear = int.MaxValue;
                 bool brownianBridge = false;
                 bool antitheticVariate = false;
-                bool controlVariate = false;
                 int requiredSamples = int.MaxValue;
                 double requiredTolerance = 0.02;
                 int maxSamples = int.MaxValue;
@@ -341,7 +340,6 @@ static void Main(string[] args)
                                          timeStepsPerYear,
                                          brownianBridge,
                                          antitheticVariate,
-                                         controlVariate,
                                          requiredSamples,
                                          requiredTolerance,
                                          maxSamples, seed));
@@ -358,7 +356,6 @@ static void Main(string[] args)
                 int timeStepsPerYear = int.MaxValue;
                 bool brownianBridge = false;
                 bool antitheticVariate = false;
-                bool controlVariate = false;
                 int requiredSamples = 32768;  // 2^15
                 double requiredTolerance = double.MaxValue;
                 int maxSamples = int.MaxValue;
@@ -369,7 +366,6 @@ static void Main(string[] args)
                                          timeStepsPerYear,
                                          brownianBridge,
                                          antitheticVariate,
-                                         controlVariate,
                                          requiredSamples,
                                          requiredTolerance, maxSamples, seed));
                 ReportResults("MC (Sobol)", europeanOption.NPV(), null, null);

diff --git a/Guile/examples/european-option.scm b/Guile/examples/european-option.scm
@@ -121,11 +121,11 @@
 ; method: Monte Carlo
 (with-pricing-engine (option (new-MCEuropeanEngine process
                                                    "pseudorandom" 1 #f #f
-                                                   #f #f #f 0.02 #f 42))
+                                                   #f #f 0.02 #f 42))
   (report "MC (crude)"
           (Instrument-NPV option) (Instrument-error-estimate option)))
 
 (with-pricing-engine (option (new-MCEuropeanEngine process
-                                                   "lowdiscrepancy" 1 #f #f
+                                                   "lowdiscrepancy" 1 #f
                                                    #f #f 32768))
   (report "MC (Sobol)" (Instrument-NPV option) "n/a"))
diff --git a/Java/examples/EquityOptions.java b/Java/examples/EquityOptions.java
@@ -19,6 +19,7 @@
 
 package examples;
 
+import org.quantlib.QuantLib;
 import org.quantlib.Actual365Fixed;
 import org.quantlib.AmericanExercise;
 import org.quantlib.AnalyticEuropeanEngine;
@@ -314,8 +315,9 @@ public static void main(String[] args) throws Exception {
         method = "MC (crude)";
         europeanOption.setPricingEngine(
                     new MCEuropeanEngine(stochasticProcess,
-                                         "PseudoRandom", timeSteps, 252,
-                                         false, false, false,
+                                         "PseudoRandom", timeSteps,
+                                         QuantLib.nullInt(),
+                                         false, false,
                                          nSamples, 0.02, maxSamples, mcSeed));
         System.out.printf(fmt, new Object[] { method,
                                               europeanOption.NPV(),
@@ -325,8 +327,9 @@ public static void main(String[] args) throws Exception {
         method = "MC (Sobol)";
         europeanOption.setPricingEngine(
                     new MCEuropeanEngine(stochasticProcess,
-                                         "LowDiscrepancy", timeSteps, 252,
-                                         false, false, false,
+                                         "LowDiscrepancy", timeSteps,
+                                         QuantLib.nullInt(),
+                                         false, false,
                                          nSamples, 0.02, maxSamples, mcSeed));
         System.out.printf(fmt, new Object[] { method,
                                               europeanOption.NPV(),

diff --git a/MzScheme/examples/european-option.scm b/MzScheme/examples/european-option.scm
@@ -120,11 +120,11 @@
 ; method: Monte Carlo
 (with-pricing-engine (option (new-MCEuropeanEngine process
                                                    "pseudorandom" 1 #f #f
-                                                   #f #f #f 0.02 #f 42))
+                                                   #f #f 0.02 #f 42))
   (report "MC (crude)"
           (Instrument-NPV option) (Instrument-error-estimate option)))
 
 (with-pricing-engine (option (new-MCEuropeanEngine process
-                                                   "lowdiscrepancy" 1 #f #f
+                                                   "lowdiscrepancy" 1 #f
                                                    #f #f 32768))
   (report "MC (Sobol)" (Instrument-NPV option) "n/a"))
diff --git a/Ruby/examples/european-option.rb b/Ruby/examples/european-option.rb
@@ -107,10 +107,10 @@ def report(method, x, dx = nil)
 # method: Monte Carlo
 option.pricingEngine = MCEuropeanEngine.new(process,'pseudorandom',
                                             1, nil, false,
-                                            false, false, nil, 0.02, nil, 42)
+                                            false, nil, 0.02, nil, 42)
 report('MC (crude)', option.NPV, option.errorEstimate)
 
 option.pricingEngine = MCEuropeanEngine.new(process,'lowdiscrepancy', 
-                                            1, nil, false, false, false, 32768)
+                                            1, nil, false, false, 32768)
 report('MC (Sobol)', option.NPV)