mc-pricer
c++
Monte Carlo engine for path-dependent payoffs, with antithetic variates and a Brownian bridge for barrier monitoring.
A small pricing engine written to understand where the variance actually goes. Antithetic variates and control variates are cheap; the Brownian bridge correction for discretely monitored barriers is what changes the answer.
Templated on the payoff so a new instrument is a struct, not a subclass hierarchy.