- QuantLib
- MCBarrierEngine
Pricing engine for barrier options using Monte Carlo simulation. More...
#include <ql/pricingengines/barrier/mcbarrierengine.hpp>
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_ |
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