MCDigitalEngine Class Template Reference
[Vanilla option engines]

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

Inheritance diagram for MCDigitalEngine:

Inheritance graph
[legend]
List of all 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.


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 (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