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

#include <mcbarrierengine.hpp>

Inheritance diagram for MCBarrierEngine< RNG, S >:

Collaboration diagram for MCBarrierEngine< RNG, S >:

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 Types inherited from Observer
typedef set_type::iterator	iterator

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

void	calculate () const override

Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

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
TimeGrid	timeGrid () const override

ext::shared_ptr< path_generator_type >	pathGenerator () const override

ext::shared_ptr< path_pricer_type >	pathPricer () const override

Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const

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

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Size	timeSteps_

Size	timeStepsPerYear_

Size	requiredSamples_

Size	maxSamples_

Real	requiredTolerance_

bool	isBiased_

bool	brownianBridge_

BigNatural	seed_

Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_

BarrierOption::results	results_

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

bool	antitheticVariate_

bool	controlVariate_

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

static Real	maxError (Real error)

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.

Definition at line 57 of file mcbarrierengine.hpp.

Member Typedef Documentation

◆ path_generator_type

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

Definition at line 62 of file mcbarrierengine.hpp.

◆ path_pricer_type

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

Definition at line 64 of file mcbarrierengine.hpp.

◆ stats_type

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

Definition at line 66 of file mcbarrierengine.hpp.

Constructor & Destructor Documentation

◆ MCBarrierEngine()

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

Definition at line 186 of file mcbarrierengine.hpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 78 of file mcbarrierengine.hpp.

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◆ timeGrid()

TimeGrid timeGrid

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 217 of file mcbarrierengine.hpp.

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◆ pathGenerator()

ext::shared_ptr< path_generator_type > pathGenerator ( ) const

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 94 of file mcbarrierengine.hpp.

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◆ pathPricer()

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

overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 234 of file mcbarrierengine.hpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 104 of file mcbarrierengine.hpp.

◆ timeSteps_

Size timeSteps_

protected

Definition at line 105 of file mcbarrierengine.hpp.

◆ timeStepsPerYear_

Size timeStepsPerYear_

protected

Definition at line 105 of file mcbarrierengine.hpp.

◆ requiredSamples_

Size requiredSamples_

protected

Definition at line 106 of file mcbarrierengine.hpp.

◆ maxSamples_

Size maxSamples_

protected

Definition at line 106 of file mcbarrierengine.hpp.

◆ requiredTolerance_

Real requiredTolerance_

protected

Definition at line 107 of file mcbarrierengine.hpp.

◆ isBiased_

bool isBiased_

protected

Definition at line 108 of file mcbarrierengine.hpp.

◆ brownianBridge_

bool brownianBridge_

protected

Definition at line 109 of file mcbarrierengine.hpp.

◆ seed_

BigNatural seed_

protected

Definition at line 110 of file mcbarrierengine.hpp.

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ path_generator_type

◆ path_pricer_type

◆ stats_type

Constructor & Destructor Documentation

◆ MCBarrierEngine()

Member Function Documentation

◆ calculate()

◆ timeGrid()

◆ pathGenerator()

◆ pathPricer()

Member Data Documentation

◆ process_

◆ timeSteps_

◆ timeStepsPerYear_

◆ requiredSamples_

◆ maxSamples_

◆ requiredTolerance_

◆ isBiased_

◆ brownianBridge_

◆ seed_