MCBarrierEngine< RNG, S >

NAME

MCBarrierEngine< RNG, S > − Pricing engine for barrier options using Monte Carlo simulation.

SYNOPSIS

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

Inherits BarrierOption::engine, and McSimulation< SingleVariate, 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 Member Functions

MCBarrierEngine (const boost::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

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 timeSteps_
Size timeStepsPerYear_
Size requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool isBiased_
bool brownianBridge_
BigNatural seed_

Additional Inherited Members

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.

Author

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