Implementation of the MCEngine for the Standard Spread Option where the underlying are following a GBM. The functionality has been implemented under the MCEngine class and can price both a GBMSpreadOption and a Margrabe option.
The implementation of the engine has been kept simple, this can be seen as a starting point for the MC engine.
Things to improve in the future:
allow parallelism
allowing to pass the seed to the engine every time it has to run the simulation
change the random number generator (Don't know if it's really needed)
Implementation of the MCEngine for the Standard Spread Option where the underlying are following a GBM. The functionality has been implemented under the
MCEngineclass and can price both a GBMSpreadOption and a Margrabe option.The implementation of the engine has been kept simple, this can be seen as a starting point for the MC engine. Things to improve in the future: