MCBarrierEngine Class Template Reference
[Barrier option engines]

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

#include <ql/pricingengines/barrier/mcbarrierengine.hpp>

Inheritance diagram for MCBarrierEngine:

List of all members.

Public Types

typedef McSimulation
< SingleVariate, RNG, S >
::path_generator_type 
path_generator_type
typedef McSimulation
< SingleVariate, RNG, S >
::path_pricer_type 
path_pricer_type
typedef McSimulation
< SingleVariate, RNG, S >
::stats_type 
stats_type

Public Member Functions

 MCBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed)
void calculate () const

Protected Member Functions

TimeGrid timeGrid () const
boost::shared_ptr
< path_generator_type
pathGenerator () const
boost::shared_ptr
< path_pricer_type
pathPricer () const

Protected Attributes

boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
Size maxTimeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool isBiased_
bool brownianBridge_
BigNatural seed_


Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCBarrierEngine< RNG, S >

Pricing engine for barrier 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 is tested by reproducing results available in literature.