MCDigitalEngine Class Template Reference

#include <ql/PricingEngines/Vanilla/mcdigitalengine.hpp>

Inheritance diagram for MCDigitalEngine:

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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


Public Types

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

Public Member Functions

 MCDigitalEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< int >(), double requiredTolerance=Null< double >(), Size maxSamples=Null< int >(), long seed=0)
void calculate () const

Protected Member Functions

TimeGrid timeGrid () const
Handle< path_pricer_type > pathPricer () const


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