QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
MCBarrierEngine< RNG, S > Class Template Reference

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

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

+ Inheritance diagram for MCBarrierEngine< RNG, S >:
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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 boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- 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

 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::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
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_typesampleAccumulator () 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_typepathGenerator () const override
 
ext::shared_ptr< path_pricer_typepathPricer () const override
 
- Protected Member Functions inherited from BarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual ext::shared_ptr< path_pricer_typepathPricer () const=0
 
virtual ext::shared_ptr< path_generator_typepathGenerator () const=0
 
virtual TimeGrid timeGrid () const=0
 
virtual ext::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual ext::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual ext::shared_ptr< PricingEnginecontrolPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Protected Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
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< SingleVariate, PseudoRandom, Statistics >
ext::shared_ptr< MonteCarloModel< SingleVariate, PseudoRandom, Statistics > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< SingleVariate, PseudoRandom, Statistics >
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

Definition at line 62 of file mcbarrierengine.hpp.

◆ path_pricer_type

Definition at line 64 of file mcbarrierengine.hpp.

◆ 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
overrideprotected

Definition at line 217 of file mcbarrierengine.hpp.

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◆ pathGenerator()

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

Definition at line 94 of file mcbarrierengine.hpp.

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◆ pathPricer()

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

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.