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<title>MCDigitalEngine< RNG, S > Class Template Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_digital_engine.html">MCDigitalEngine</a> </li>
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<a href="#pub-types">Public Types</a> |
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<div class="title">MCDigitalEngine< RNG, S > Class Template Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::MCDigitalEngine" --><!-- doxytag: inherits="MCVanillaEngine< SingleVariate, RNG, S >" -->
<p>Pricing engine for digital options using Monte Carlo simulation.
<a href="class_quant_lib_1_1_m_c_digital_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/mcdigitalengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for MCDigitalEngine< RNG, S >:</div>
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<div class="center"><img src="class_quant_lib_1_1_m_c_digital_engine__inherit__graph.png" border="0" usemap="#_m_c_digital_engine_3_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_m_c_vanilla_engine.html" title="MCVanillaEngine\< SingleVariate, RNG, S \>" alt="" coords="5,6,275,37"/></map>
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<p><a href="class_quant_lib_1_1_m_c_digital_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adbe9b93b6c3876a6f4ba5321ef098b08"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_generator_type" ref="adbe9b93b6c3876a6f4ba5321ef098b08" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br class="typebreak"/>
::<a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af24f9f2c0de053e45d36f3d549af4d5b"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::path_pricer_type" ref="af24f9f2c0de053e45d36f3d549af4d5b" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br class="typebreak"/>
::<a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ada2759e0be1476c26ab996d38fbeae01"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::stats_type" ref="ada2759e0be1476c26ab996d38fbeae01" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_m_c_vanilla_engine.html">MCVanillaEngine</a><br class="typebreak"/>
< <a class="el" href="struct_quant_lib_1_1_single_variate.html">SingleVariate</a>, RNG, S ><br class="typebreak"/>
::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac473f3fbb40c358c4f0e39cfe2d9b21f"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::MCDigitalEngine" ref="ac473f3fbb40c358c4f0e39cfe2d9b21f" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, 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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool brownianBridge, bool antitheticVariate, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, BigNatural seed)</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abf026e9653b3378977ccb6884fa70708"></a><!-- doxytag: member="QuantLib::MCDigitalEngine::pathPricer" ref="abf026e9653b3378977ccb6884fa70708" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class RNG = PseudoRandom, class S = Statistics><br/>
class QuantLib::MCDigitalEngine< RNG, S ></h3>
<p>Pricing engine for digital options using Monte Carlo simulation. </p>
<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 class="test"><dt><b><a class="el" href="test.html#_test000133">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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