QuantLib_MCDigitalEngine man page

MCDigitalEngine< RNG, S > — Pricing engine for digital options using Monte Carlo simulation.  

Synopsis

#include <ql/pricingengines/vanilla/mcdigitalengine.hpp>

Inherits MCVanillaEngine< SingleVariate, RNG, S >.

Public Types

typedef MCVanillaEngine< SingleVariate, RNG, S >::path_generator_type path_generator_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
typedef MCVanillaEngine< SingleVariate, RNG, S >::stats_type stats_type

Public Member Functions

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

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

Additional Inherited Members

Detailed Description

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

class QuantLib::MCDigitalEngine< RNG, S >" Pricing engine for digital 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 in case of cash-or-nothing at-hit digital payoff is tested by reproducing known good results.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MCDigitalEngine(3) is an alias of QuantLib_MCDigitalEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib