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<title>QuantLib: MCBarrierEngine Class Template Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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>
<div class="dynheader">
Inheritance diagram for MCBarrierEngine:</div>
<div class="dynsection">
<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>
<map name="_m_c_barrier_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_barrier_option_1_1engine.html" title="Barrier-option engine base class" alt="" coords="5,7,69,33"><area shape="rect" href="class_quant_lib_1_1_mc_simulation.html" title="base class for Monte Carlo engines" alt="" coords="93,7,496,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<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" title="base option class">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#_test000080">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in literature. </dd></dl>
<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="0e4570ee9c204c900236c2894b387272"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::path_generator_type" ref="0e4570ee9c204c900236c2894b387272" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::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="c66a3645a3daa15dae3801668ccdd6f3"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::path_pricer_type" ref="c66a3645a3daa15dae3801668ccdd6f3" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::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="6488ee71b6b0a73fd160f892bba6cdbf"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::stats_type" ref="6488ee71b6b0a73fd160f892bba6cdbf" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a><br>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br>
::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="402ad623c5d0db986818cb9549c915a2"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::MCBarrierEngine" ref="402ad623c5d0db986818cb9549c915a2" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, 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> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, bool isBiased, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" 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="ac0bc663d50bdc0fd6771bb1ad2481e5"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::timeGrid" ref="ac0bc663d50bdc0fd6771bb1ad2481e5" 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="7751aec86337c68f4b4ee807247f5648"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::pathGenerator" ref="7751aec86337c68f4b4ee807247f5648" args="() const " -->
boost::shared_ptr<br>
< 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="c31ee5fed88466ab30babbb41b4f4df2"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::pathPricer" ref="c31ee5fed88466ab30babbb41b4f4df2" args="() const " -->
boost::shared_ptr<br>
< 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="56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::MCBarrierEngine::process_" ref="56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></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="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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="" -->
<a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
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