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 |
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 |
Protected Member Functions inherited from MCVanillaEngine< SingleVariate, PseudoRandom, Statistics > | |
| MCVanillaEngine (const 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 |
| ext::shared_ptr< path_generator_type > | pathGenerator () const |
| result_type | controlVariateValue () const |
Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics > | |
| McSimulation (bool antitheticVariate, bool controlVariate) | |
| virtual ext::shared_ptr< path_pricer_type > | pathPricer () const=0 |
| 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) |
| static Real | maxError (Real error) |
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_ |
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