QuantLib_MCBarrierEngine man page

MCBarrierEngine< RNG, S > — Pricing engine for barrier options using Monte Carlo simulation.

Synopsis

#include <ql/pricingengines/barrier/mcbarrierengine.hpp>

Inherits BarrierOption::engine, and McSimulation< SingleVariate, RNG, S >.

Public Types

typedef McSimulation< SingleVariate, RNG, S >::path_generator_type path_generator_type

typedef McSimulation< SingleVariate, RNG, S >::path_pricer_type path_pricer_type

typedef McSimulation< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

MCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed)

void calculate () const

Protected Member Functions

TimeGrid timeGrid () const

boost::shared_ptr< path_generator_type > pathGenerator () const

boost::shared_ptr< path_pricer_type > pathPricer () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

Size timeSteps_

Size timeStepsPerYear_

Size requiredSamples_

Size maxSamples_

Real requiredTolerance_

bool isBiased_

bool brownianBridge_

BigNatural seed_

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>

class QuantLib::MCBarrierEngine< RNG, S >" Pricing engine for barrier options using Monte Carlo simulation.

Uses the Brownian-bridge correction for the barrier found in Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation - D.R. Beaglehole, P.H. Dybvig and G. Zhou Financial Analysts Journal; Jan/Feb 1997; 53, 1. pg. 62-68 and Simulating path-dependent options: A new approach - M. El Babsiri and G. Noel Journal of Derivatives; Winter 1998; 6, 2; pg. 65-83

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

brownianBridge_(3), isBiased_(3), maxSamples_(3), MCBarrierEngine(3), pathGenerator(3), path_generator_type(3), pathPricer(3), path_pricer_type(3), requiredSamples_(3), requiredTolerance_(3), seed_(3), stats_type(3) and timeStepsPerYear_(3) are aliases of QuantLib_MCBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib