Need Help to price option using PDE

[Julianlapoutre]

Hi,
i'm a beginner in programming and it's my first project in c++ and i don't really understand POO.
I would like to implement the finite difference methods to price option (School projet and i think that i have chosen a difficult topic for a first projet).

Edited

 

[Daniel Duffy]

School project and i think that i have chosen a difficult topic for a first project).

I am sure you have.

This will not end well.


edit: forgot to ask: do you know PDE/FDM?

 

[Polter]

Is it possible to write something more simple ?

Yes, definitely.

Because even if i understand i couldn't write it by myself, it's a really hard topic for a first project.
Is it possible to write something more simple ?

Don't worry. This only seems hard since it's horribly badly written, it's almost like someone was trying to write an entry for an obfuscated code contest. In other words, there's no inherent complexity here, it's all accidental & removable.

Try following the rule of zero instead of this mess: http://isocpp.org/blog/2012/11/rule-of-zero
If you rewrite it accordingly, it should all become very clear and simple (and strictly better)
If anything seems unclear, start with the books recommended here: http://isocpp.org/get-started

 

[Daniel Duffy]

What is the objective?
1) learn C++
2) learn PDE
3) show results?

 

[Daniel Duffy]

For me, it's

1. Define fin/math model (PDE)
2. Do the algo (FDM)
3. Code the algo.

You will never learn C++ in 2 months and I suspect deliver an MFE thesis by May.

 

[Julianlapoutre]

I'm so glad to see your answer.
It's an introduction to c++ course, i had to choose a Tetris or a game or other topics, but PDE pricing sound to be interesting but very hard to understand.

I know Euleur Explicite method, my teacher tell me that it's not that hard to implement. And that i only have to implement a PDE class without any condition (something like binomial).

In fact it's not even a Thesis it's a simple project ... :/

So the conclusion is that it will be hard :/

 

[cmrm]

I'm so glad to see your answer.
It's an introduction to c++ course, i had to choose a Tetris or a game or other topics, but PDE pricing sound to be interesting but very hard to understand.

I know Euleur Explicite method, my teacher tell me that it's not that hard to implement. And that i only have to implement a PDE class without any condition (something like binomial).

In fact it's not even a Thesis it's a simple project ... :/

So the conclusion is that it will be hard :/

 

[cmrm]

There is a paper showing you how to use PDE to price a derivative
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2400101