The Architecture of Mtg
Mtg is an experimental software system for the algorithms of Chapters 7, 8 and 9. It consists of components written in C++ and Java.
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Mt g is an experimental software syste m for the algorit hms of Ch apters 7, 8 and 9. It consists of component s written in C++ and J ava. Figure 10.1 arranges the component s of Mt g in a top applicat ion layer , and a bottom support layer. Dash ed boxes denote third party software.
Client ..---t---.. Server
Mt gClt
Mt gSvr
Mt gMath
Web browser
Mt gLib
Mathematica
Fig. 10.1. Components MtgSvr and MtgLib are wri tten in C++ . Mtg Clt is written in J ava and runs in a Web-browser environment . Mt gMath is part C+ + , part Mathem atica script
The component s of Mt g are: Mt gLib The core C++ libr ar y. Mt gLib contains the majority of the code written for this book, about 81500 lines of code. Mt gLib is platformindependent. Mt gSvr A background server proc ess. MtgSvr receives and answers requ ests via TCP. The t ext protocol used by Mt gSvr serves mainly to transmit descriptions of obj ect instances of classes in MtgLib. MtgSvr is a tiny wrapper around MtgLib. Und er Unix , MtgSvr is a deamon; on Windows NT, MtgSvr is impl emented as a servi ce. R. Buff, Uncertain Volatility Models - Theory and Application © Springer-Verlag Berlin Heidelberg 2002
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10 The Architecture of Mtg
MtgClt A J ava front- end that knows how to communicate with Mt gSvr. MtgClt can act both as st and-alone applicat ion and as applet run by a Web browser. It is powerful enough to let the user solve pri cing problems with barrier and American options, und er worst- case and volatility shock scenarios. It is, however , restricted to the lattice approach for BlackScholes. Mt gClt consist s of approximate ly 11500 lines of J ava code (about half of which is genera l-purpose). Mt gMath A front- end that uses the symbolic and plotting capa bilit ies of the software syste m for t echnical computat ion, Mathematica. Mt gMath was mainly used to do the experiment s and pr epare the graphs in this book. Some informal rema rks on t erminology are in order , predominantly with resp ect to lattice-based evaluat ion. Rollback is the t erm used to describ e the outer loop that iterates over the time slices tN , t N -1 , .. . ,to in the finit e difference scheme. The inner loop pro cessing that occur s for each time slice, i.e. the propagation of the solution at time slice t i+l to the earlier time slice t i , is called rollb ack roun d . Instead oft ime slice we sometimes say hyperplane to emphas ize the data aspect . Und er a one-factor model, the hyp erpl ane is actua lly a two-dimensional plane with rows indexed SD, . . . , So , . .. , su (see Sect . 5.1), and columns for the total value and each gradient element . The number of columns used is called the width of the hyp erpl ane. The curre nt round, t ime slice, hyp erpl ane, or node refers to the cur rent iteration of the rollb ack loop (forgive the cyclic definition, it should be clear). We use the t erms Monte Carlo and simulation int erchan gingly, and somet imes to gether .
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