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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_m_c_barrier_engine.html">MCBarrierEngine</a></div>
<h1>MCBarrierEngine Class Template Reference<br>
<small>
[<a class="el" href="group__barrierengines.html">Barrier option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::MCBarrierEngine" --><!-- doxytag: inherits="QuantLib::BarrierOption::engine,QuantLib::McSimulation" --><code>#include <ql/PricingEngines/Barrier/mcbarrierengine.hpp></code>
<p>
Inheritance diagram for MCBarrierEngine:<p><center><img src="class_quant_lib_1_1_m_c_barrier_engine__inherit__graph.png" border="0" usemap="#_m_c_barrier_engine__inherit__map" alt="Inheritance graph"></center>
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<area href="class_quant_lib_1_1_generic_engine.html" shape="rect" coords="6,156,552,180" alt="">
<area href="class_quant_lib_1_1_pricing_engine.html" shape="rect" coords="222,81,336,105" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="230,7,328,31" alt="">
<area href="class_quant_lib_1_1_mc_simulation.html" shape="rect" coords="336,231,718,255" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_m_c_barrier_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class RNG = PseudoRandom, class S = Statistics><br>
class QuantLib::MCBarrierEngine< RNG, S ></h3>
Pricing engine for barrier options using Monte Carlo simulation.
<p>
Uses the Brownian-bridge correction for the barrier found in <em> Going to Extremes: Correcting Simulation Bias in Exotic <a class="el" href="class_quant_lib_1_1_option.html">Option</a> Valuation - D.R. Beaglehole, P.H. Dybvig and G. Zhou Financial Analysts Journal; Jan/Feb 1997; 53, 1. pg. 62-68 </em> and <em> Simulating path-dependent options: A new approach - M. El Babsiri and G. Noel Journal of Derivatives; Winter 1998; 6, 2; pg. 65-83 </em><p>
<dl compact><dt><b><a class="el" href="test.html#_test000066">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in literature. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2ffd5364cd5ea790e6f0b3224b7230f7"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::path_generator_type" ref="2ffd5364cd5ea790e6f0b3224b7230f7" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a><<br>
RNG >, S >::path_generator_type </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d02a1b7a0413e5b25bd099f7a04e68bd"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::path_pricer_type" ref="d02a1b7a0413e5b25bd099f7a04e68bd" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a><<br>
RNG >, S >::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1bfbbcc87e4a174bf8d53eb275e9811"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::stats_type" ref="e1bfbbcc87e4a174bf8d53eb275e9811" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a><<br>
RNG >, S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="391b1255e87854fc5bf0d1d32bd6c365"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::MCBarrierEngine" ref="391b1255e87854fc5bf0d1d32bd6c365" args="(Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed)" -->
</td><td class="memItemRight" valign="bottom"><b>MCBarrierEngine</b> (Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, bool isBiased, BigNatural seed)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="082ff96da379d5e17436372ccb3c0972"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::calculate" ref="082ff96da379d5e17436372ccb3c0972" args="() const" -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9820e026a481e4c1cb95b4d89345101c"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::timeGrid" ref="9820e026a481e4c1cb95b4d89345101c" args="() const" -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c0cf27107fcea39724da36ace1a9f52b"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::pathGenerator" ref="c0cf27107fcea39724da36ace1a9f52b" args="() const" -->
boost::shared_ptr< path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b3c83dc4a16d8a3fcb18743ead98900c"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::pathPricer" ref="b3c83dc4a16d8a3fcb18743ead98900c" args="() const" -->
boost::shared_ptr< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="776341b8a9e5975e519450f192367294"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::maxTimeStepsPerYear_" ref="776341b8a9e5975e519450f192367294" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>maxTimeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="937ea3e2dae694ac2df5226b1b349b22"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::requiredSamples_" ref="937ea3e2dae694ac2df5226b1b349b22" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e92c9f4ec24db42ea6eceb5919e9dea5"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::maxSamples_" ref="e92c9f4ec24db42ea6eceb5919e9dea5" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a336fe20be7a7fe0b17df1565bbc2f1a"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::requiredTolerance_" ref="a336fe20be7a7fe0b17df1565bbc2f1a" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="abbe3d4626abdf7bea7fe47a976ac186"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::isBiased_" ref="abbe3d4626abdf7bea7fe47a976ac186" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>isBiased_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="237ba632601944316deef578c245e825"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::brownianBridge_" ref="237ba632601944316deef578c245e825" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="654936ea7a7e268c1d02b452e80c7fdb"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::seed_" ref="654936ea7a7e268c1d02b452e80c7fdb" args="" -->
BigNatural </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
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