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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_m_c_digital_engine.html">MCDigitalEngine</a></div>
<h1>MCDigitalEngine Class Template Reference<br>
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[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::MCDigitalEngine" --><!-- doxytag: inherits="QuantLib::MCVanillaEngine" --><code>#include <ql/PricingEngines/Vanilla/mcdigitalengine.hpp></code>
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Inheritance diagram for MCDigitalEngine:<p><center><img src="class_quant_lib_1_1_m_c_digital_engine__inherit__graph.png" border="0" usemap="#_m_c_digital_engine__inherit__map" alt="Inheritance graph"></center>
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<area href="class_quant_lib_1_1_m_c_vanilla_engine.html" shape="rect" coords="5,82,408,106" alt="">
<area href="class_quant_lib_1_1_vanilla_option_1_1engine.html" shape="rect" coords="100,7,167,31" alt="">
<area href="class_quant_lib_1_1_mc_simulation.html" shape="rect" coords="191,7,372,31" 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_digital_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::MCDigitalEngine< RNG, S ></h3>
Pricing engine for digital options using Monte Carlo simulation.
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Uses the Brownian <a class="el" href="class_quant_lib_1_1_bridge.html">Bridge</a> 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#_test000097">Tests:</a></b></dt><dd>the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing known good results. </dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
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<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73c5fc7ca4d26efb1369e5bd22193230"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_generator_type" ref="73c5fc7ca4d26efb1369e5bd22193230" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="cfdefae7af9f7d235fcd5d6b777c37b8"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_pricer_type" ref="cfdefae7af9f7d235fcd5d6b777c37b8" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="d1177b62aae874db0ed3a80a4dab22e3"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::stats_type" ref="d1177b62aae874db0ed3a80a4dab22e3" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="d21e33f5566adfc93ed66fc91ab67fb0"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::MCDigitalEngine" ref="d21e33f5566adfc93ed66fc91ab67fb0" args="(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)" -->
</td><td class="memItemRight" valign="bottom"><b>MCDigitalEngine</b> (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)</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="3b1a5b78f1ec7bca338566e909469de7"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::pathPricer" ref="3b1a5b78f1ec7bca338566e909469de7" args="() const" -->
boost::shared_ptr< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const</td></tr>
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