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
- 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 |