(* :Title: Monte Carlo *)

(* :Context: QuantLib`MonteCarlo` *)

(* :Author: Niels Elken Sønderby *)

(* :Mathematica Version: 4.0 *)

(* :Copyright: Copyright (C) 2003 Niels Elken Sønderby *)

(* :License:

   This file is part of QuantLib for Mathematica, a Mathematica extension for
   QuantLib, a free-software/open-source financial C++ library
   - http://www.nielses.dk/quantlib/mma/
   - http://quantlib.org/

   QuantLib for Mathematica is free software: you can redistribute it and/or 
   modify it under the terms of the QuantLib license.  You should have 
   received a copy of the license along with this program; if not, please 
   email ferdinando@ametrano.net The license is also available online at 
   http://quantlib.org/html/license.html

   This program is distributed in the hope that it will be useful, but 
   WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY 
   or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*)

BeginPackage["QuantLib`MonteCarlo`", 
"QuantLib`Options`" (* Needs models from `Options` *) 
]

(* Usage messages *)

MonteCarloPath::usage =
"MonteCarloPath[model, length, timesteps] gives a simulated path for the
given model under the risk neutral measure."

Begin["`Private`"]

(* Give access to QuantLib`Private` context as LinkPatterns for external 
   program are there. Does a more elegant solution exist? *)
AppendTo[$ContextPath, "QuantLib`Private`"] 

MonteCarloPath[model_] := MonteCarloPath[model, 1, 1000]

MonteCarloPath[BlackScholesModel[s0_, riskFreeRate_, dividendYield_, 
                                 volatility_], length_, timeSteps_,
	   opts___?OptionQ] ^:= 
	Module[{antithetic = AntitheticPaths /. {opts} /. Options[MonteCarloPath]},
               qlMonteCarloPathBlackScholes[s0, riskFreeRate, dividendYield,
                                            volatility, length, timeSteps,
                                            If[antithetic,1,0]]
		 ]

MonteCarloPath[SVJDModel[underlying_, riskFreeRate_, 
	                 dividendYield_, volatility_, 
	                 volatilityOfVolatility_, steadyStateVolatility_,
	                 meanReversionRate_, correlationUnderlyingVolatility_, 
	                 jumpIntensity_, jumpMean_, jumpStandardDeviation_],
	       length_, timeSteps_, opts___?OptionQ] ^:= 
	Module[{antithetic = AntitheticPaths /. {opts} /. Options[MonteCarloPath]},
	   nqMonteCarloPathSVJD[underlying, riskFreeRate, dividendYield,
				volatility, 
				volatilityOfVolatility, steadyStateVolatility,
				meanReversionRate, correlationUnderlyingVolatility, 
				jumpIntensity, jumpMean, jumpStandardDeviation,
				length, timeSteps, If[antithetic,1,0]]
	      ]

Options[MonteCarloPath] := { AntitheticPaths -> False }

End[]

EndPackage[]