MCDigitalEngine< RNG, S > Class Template Reference

Pricing engine for digital options using Monte Carlo simulation. More...

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

Inheritance diagram for MCDigitalEngine< 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 Types inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef MonteCarloModel< SingleVariate, PseudoRandom, Statistics >::result_type	result_type

Public Member Functions
	MCDigitalEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
Public Member Functions inherited from MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >
void	calculate () const override
Public Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached
result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples
result_type	errorEstimate () const
	error estimated using the samples simulated so far
const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics
void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines

Protected Member Functions
ext::shared_ptr< path_pricer_type >	pathPricer () const override
Protected Member Functions inherited from MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >
	MCVanillaEngine (ext::shared_ptr< StochasticProcess >, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)
TimeGrid	timeGrid () const override
ext::shared_ptr< path_generator_type >	pathGenerator () const override
result_type	controlVariateValue () const override
Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
	McSimulation (bool antitheticVariate, bool controlVariate)
virtual ext::shared_ptr< path_pricer_type >	controlPathPricer () const
virtual ext::shared_ptr< path_generator_type >	controlPathGenerator () const
virtual ext::shared_ptr< PricingEngine >	controlPricingEngine () const

Additional Inherited Members
Protected Types inherited from MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_generator_type	path_generator_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::path_pricer_type	path_pricer_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::stats_type	stats_type
typedef McSimulation< SingleVariate, PseudoRandom, Statistics >::result_type	result_type
Static Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
static Real	maxError (const Sequence &sequence)
Protected Attributes inherited from MCVanillaEngine< SingleVariate, PseudoRandom, Statistics >
ext::shared_ptr< StochasticProcess >	process_
Size	timeSteps_
Size	timeStepsPerYear_
Size	requiredSamples_
Size	maxSamples_
Real	requiredTolerance_
bool	brownianBridge_
BigNatural	seed_
Protected Attributes inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > >	mcModel_
bool	antitheticVariate_
bool	controlVariate_

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.

Member Function Documentation

pathPricer()

template<class RNG, class S>

ext::shared_ptr< typename MCDigitalEngine< RNG, S >::path_pricer_type > pathPricer ( ) const

overrideprotectedvirtual

Implements McSimulation< SingleVariate, PseudoRandom, Statistics >.