QuantLib 0.3.7
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Reference manual
MCDigitalEngine Class Template Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/mcdigitalengine.hpp>
Inheritance diagram for MCDigitalEngine:
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 | |
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typedef MCVanillaEngine< RNG, S >::path_generator_type | path_generator_type |
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typedef MCVanillaEngine< RNG, S >::path_pricer_type | path_pricer_type |
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typedef MCVanillaEngine< RNG, S >::stats_type | stats_type |
Public Member Functions | |
| MCDigitalEngine (Size maxTimeStepsPerYear, bool antitheticVariate=false, bool controlVariate=false, Size requiredSamples=Null< Size >(), Real requiredTolerance=Null< Real >(), Size maxSamples=Null< Size >(), BigNatural seed=0) | |
| void | calculate () const |
Protected Member Functions | |
| TimeGrid | timeGrid () const |
| boost::shared_ptr< path_pricer_type > | pathPricer () const |
