part 2

Implement the function from the Problem #1 in the Excel using the xlw wrapper. Show on the appropriate

plot how price of the straddle portfolio depends on time to maturity and the barrier.

Write a short report on it.

RULES

1. Each project is to be prepared individually. This means you that you are not allowed to collaborate

with your classmates while working on your solution.

2. Use comments in your code as much as possible.

3. Solution of the Problem #1 should consist of one zip file which includes:

(a) the c++ solution (see below),

(b) a pdf file with a short report (see below).

4. Solution of the Problem #2 should consist of one zip file which includes:

(a) the solution for xlw wrapper without nDebug and nobj subdirectories and without the *.sdf file,

(b) the resulting xll file,

(c) a pdf file with a short report (see below).

5. Rules to prepare your MS Visual Studio solution:

(a) Double-check if your code compiles without errors.

(b) Delete all ndebug directories and nDebug subdirectories. This is imporant, as these directories

may contain exe files, which will be problematic while antivirus scanning.

(c) Delete any *.suo and *.sdf files.

6. Your reports (pdf files) should include short information:

(a) objective of the project,

(b) assumptions (for example: dynamics of the prices of underyling, number of iterations in Monte

Carlo, etc.),

(c) destription of the option to be priced and its characteristics,

(d) description and explanation of code elements,

(e) information about the results of simulation, ie. approximation of the theoretical price of your

option.

7. Your files should have following names: XXXXX-problem1.zip and XXXXX-problem2.zip, where XXXXX

is your surname. Examples: sakowski-problem1.zip, sakowski-problem2.zip.

8. Send your solution (two zip files) by replying to the email with this attachment. You should get a

confirmation of this.