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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_digital_engine.html">MCDigitalEngine</a></div>
<h1>MCDigitalEngine Class Template Reference<br>
<small>
[<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:</div>
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<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>
<map name="_m_c_digital_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="Pricing engine for vanilla options using Monte Carlo simulation." alt="" coords="5,7,429,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<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.
<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#_test000113">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>
<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="dbe9b93b6c3876a6f4ba5321ef098b08"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_generator_type" ref="dbe9b93b6c3876a6f4ba5321ef098b08" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="f24f9f2c0de053e45d36f3d549af4d5b"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_pricer_type" ref="f24f9f2c0de053e45d36f3d549af4d5b" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="da2759e0be1476c26ab996d38fbeae01"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::stats_type" ref="da2759e0be1476c26ab996d38fbeae01" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</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="048f1c57a8c89476f99e7355e5bd17fb"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::MCDigitalEngine" ref="048f1c57a8c89476f99e7355e5bd17fb" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &, 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> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, 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, <a class="el" href="namespace_quant_lib.html#e3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> 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="bf026e9653b3378977ccb6884fa70708"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::pathPricer" ref="bf026e9653b3378977ccb6884fa70708" args="() const " -->
boost::shared_ptr<br>
< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
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