QuantLib_MCDigitalEngine (3) - Linux Manuals

QuantLib_MCDigitalEngine: Pricing engine for digital options using Monte Carlo simulation.

Command to display QuantLib_MCDigitalEngine manual in Linux: $ man 3 QuantLib_MCDigitalEngine

NAME

QuantLib::MCDigitalEngine - 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, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

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

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