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

#include <mcdigitalengine.hpp>

Inheritance diagram for MCDigitalEngine< RNG, S >:

Collaboration 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< MC, RNG, S >
typedef MonteCarloModel< MC, RNG, S >::path_generator_type	path_generator_type

typedef MonteCarloModel< MC, RNG, S >::path_pricer_type	path_pricer_type

typedef MonteCarloModel< MC, RNG, S >::stats_type	stats_type

typedef MonteCarloModel< MC, RNG, S >::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< MC, RNG, S, Inst >
void	calculate () const override

Public Member Functions inherited from McSimulation< MC, RNG, S >
virtual	~McSimulation ()=default

result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached More...

result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples More...

result_type	errorEstimate () const
	error estimated using the samples simulated so far More...

const stats_type &	sampleAccumulator () const
	access to the sample accumulator for richer statistics More...

void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines More...

Protected Member Functions
ext::shared_ptr< path_pricer_type >	pathPricer () const override

Protected Member Functions inherited from MCVanillaEngine< MC, RNG, S, Inst >
	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< MC, RNG, S >
	McSimulation (bool antitheticVariate, bool controlVariate)

virtual ext::shared_ptr< path_pricer_type >	pathPricer () const =0

virtual ext::shared_ptr< path_generator_type >	pathGenerator () const =0

virtual TimeGrid	timeGrid () 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

virtual result_type	controlVariateValue () const

Additional Inherited Members
Protected Types inherited from MCVanillaEngine< MC, RNG, S, Inst >
typedef McSimulation< MC, RNG, S >::path_generator_type	path_generator_type

typedef McSimulation< MC, RNG, S >::path_pricer_type	path_pricer_type

typedef McSimulation< MC, RNG, S >::stats_type	stats_type

typedef McSimulation< MC, RNG, S >::result_type	result_type

Static Protected Member Functions inherited from McSimulation< MC, RNG, S >
template<class Sequence >
static Real	maxError (const Sequence &sequence)

static Real	maxError (Real error)

Protected Attributes inherited from MCVanillaEngine< MC, RNG, S, Inst >
ext::shared_ptr< StochasticProcess >	process_

Size	timeSteps_

Size	timeStepsPerYear_

Size	requiredSamples_

Size	maxSamples_

Real	requiredTolerance_

bool	brownianBridge_

BigNatural	seed_

Protected Attributes inherited from McSimulation< MC, RNG, S >
ext::shared_ptr< MonteCarloModel< MC, RNG, S > >	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.

Definition at line 61 of file mcdigitalengine.hpp.

Member Typedef Documentation

◆ path_generator_type

typedef MCVanillaEngine<SingleVariate,RNG,S>::path_generator_type path_generator_type

Definition at line 65 of file mcdigitalengine.hpp.

◆ path_pricer_type

typedef MCVanillaEngine<SingleVariate,RNG,S>::path_pricer_type path_pricer_type

Definition at line 68 of file mcdigitalengine.hpp.

◆ stats_type

typedef MCVanillaEngine<SingleVariate,RNG,S>::stats_type stats_type

Definition at line 70 of file mcdigitalengine.hpp.

Constructor & Destructor Documentation

◆ MCDigitalEngine()

MCDigitalEngine	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Size	timeSteps,
		Size	timeStepsPerYear,
		bool	brownianBridge,
		bool	antitheticVariate,
		Size	requiredSamples,
		Real	requiredTolerance,
		Size	maxSamples,
		BigNatural	seed
	)

Definition at line 134 of file mcdigitalengine.hpp.

Member Function Documentation

◆ pathPricer()

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

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 158 of file mcdigitalengine.hpp.

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Public Types

Public Member Functions

Protected Member Functions

Additional Inherited Members