QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
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 >:

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 std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Public Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel< SingleVariate, RNG, S >::path_generator_type path_generator_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::stats_type stats_type
 
typedef MonteCarloModel< SingleVariate, RNG, S >::result_type result_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
 
- Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from McSimulation< SingleVariate, RNG, S >
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_typesampleAccumulator (void) 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

TimeGrid timeGrid () const
 
boost::shared_ptr< path_generator_type > pathGenerator () const
 
boost::shared_ptr< path_pricer_type > pathPricer () const
 
- Protected Member Functions inherited from BarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual boost::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual boost::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual boost::shared_ptr< PricingEnginecontrolPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Protected Attributes

boost::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, RNG, S >
boost::shared_ptr< MonteCarloModel< SingleVariate, RNG, S > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
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.