MCBarrierEngine | quantlib.js

Pricing engine for barrier options using Monte Carlo simulation Uses the Brownian-bridge correction for the barrier found in

Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation - D.R. Beaglehole, P.H. Dybvig and G. Zhou Financial Analysts Journal; Jan/Feb 1997; 53, 1. pg. 62-68

Simulating path-dependent options: A new approach - M. El Babsiri and G. Noel Journal of Derivatives; Winter 1998; 6, 2; pg. 65-83

test the correctness of the returned value is tested by reproducing results available in literature.

Hierarchy

BarrierOptionEngineMcSimulation
- MCBarrierEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MCBarrierEngine(RNG?: rng_traits, S?: any): MCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:42
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MCBarrierEngine

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_arguments

_arguments: Arguments = new BarrierOptionEngine.Arguments()

Protected _brownianBridge

_brownianBridge: boolean

_controlVariate

_controlVariate: boolean

Protected _isBiased

_isBiased: boolean

_isDisposed

_isDisposed: boolean = false

Protected _maxSamples

_maxSamples: Size

_mcModel

_mcModel: MonteCarloModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _process

_process: GeneralizedBlackScholesProcess

Protected _requiredSamples

_requiredSamples: Size

Protected _requiredTolerance

_requiredTolerance: Real

_results

_results: Results = new BarrierOptionEngine.Results()

Protected _seed

_seed: BigNatural

Protected _timeSteps

_timeSteps: Size

Protected _timeStepsPerYear

_timeStepsPerYear: Size

calculate1

calculate1: (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size) => void

Type declaration

- (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size): void
- Parameters
  - requiredTolerance: Real
  - requiredSamples: Size
  - maxSamples: Size
  Returns void

controlPathGenerator

controlPathGenerator: () => PathGenerator

Type declaration

- (): PathGenerator
- Returns PathGenerator

controlPathPricer

controlPathPricer: () => PathPricer<Path | MultiPath>

Type declaration

- (): PathPricer<Path | MultiPath>
- Returns PathPricer<Path | MultiPath>

controlPricingEngine

controlPricingEngine: () => PricingEngine

Type declaration

- (): PricingEngine
- Returns PricingEngine

controlVariateValue

controlVariateValue: () => Real

Type declaration

- (): Real
- Returns Real

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

errorEstimate

errorEstimate: () => Real

Type declaration

- (): Real
- Returns Real

getArguments

getArguments: () => Arguments

Type declaration

- (): Arguments
- Returns Arguments

getResults

getResults: () => Results

Type declaration

- (): Results
- Returns Results

isDisposed

isDisposed: boolean

mcsInit

mcsInit: (antitheticVariate: boolean, controlVariate: boolean) => McSimulation

Type declaration

- (antitheticVariate: boolean, controlVariate: boolean): McSimulation
- Parameters
  - antitheticVariate: boolean
  - controlVariate: boolean
  Returns McSimulation

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

reset

reset: () => void

Type declaration

- (): void
- Returns void

sampleAccumulator

sampleAccumulator: () => RiskStatistics

Type declaration

- (): RiskStatistics
- Returns RiskStatistics

triggered

triggered: (underlying: Real) => boolean

Type declaration

- (underlying: Real): boolean
- Parameters
  - underlying: Real
  Returns boolean

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

update

update: () => void

Type declaration

- (): void
- Returns void

value

value: (tolerance: Real, maxSamples: Size, minSamples: Size) => Real

Type declaration

- (tolerance: Real, maxSamples: Size, minSamples: Size): Real
- Parameters
  - tolerance: Real
  - maxSamples: Size
  - minSamples: Size
  Returns Real

valueWithSamples

valueWithSamples: (samples: Size) => Real

Type declaration

- (samples: Size): Real
- Parameters
  - samples: Size
  Returns Real

Methods

calculate

calculate(): void

Overrides BarrierOptionEngineMcSimulation.calculate
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:88
Returns void

mcbeInit

mcbeInit(process: GeneralizedBlackScholesProcess, timeSteps: Size, timeStepsPerYear: Size, brownianBridge: boolean, antitheticVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, isBiased: boolean, seed: BigNatural): MCBarrierEngine

- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:53
Parameters
- process: GeneralizedBlackScholesProcess
- timeSteps: Size
- timeStepsPerYear: Size
- brownianBridge: boolean
- antitheticVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- isBiased: boolean
- seed: BigNatural
Returns MCBarrierEngine

pathGenerator

pathGenerator(): PathGenerator

Overrides BarrierOptionEngineMcSimulation.pathGenerator
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:107
Returns PathGenerator

pathPricer

pathPricer(): PathPricer<Path>

Overrides BarrierOptionEngineMcSimulation.pathPricer
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:127
Returns PathPricer<Path>

timeGrid

timeGrid(): TimeGrid

Overrides BarrierOptionEngineMcSimulation.timeGrid
- Defined in ql/pricingengines/barrier/mcbarrierengine.ts:114
Returns TimeGrid

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value RNG: rng_traits = new PseudoRandom()

Default value S: any = new RiskStatistics()

Returns MCBarrierEngine

Properties

MC

RNG

S

_antitheticVariate

_arguments

Protected _brownianBridge

_controlVariate

Protected _isBiased

_isDisposed

Protected _maxSamples

_mcModel

_observables

_observers

Protected _process

Protected _requiredSamples

Protected _requiredTolerance

_results

Protected _seed

Protected _timeSteps

Protected _timeStepsPerYear

calculate1

Type declaration

Parameters

requiredTolerance: Real

requiredSamples: Size

maxSamples: Size

Returns void

controlPathGenerator

Type declaration

Returns PathGenerator

controlPathPricer

Type declaration

Returns PathPricer<Path | MultiPath>

controlPricingEngine

Type declaration

Returns PricingEngine

controlVariateValue

Type declaration

Returns Real

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

errorEstimate

Type declaration

Returns Real

getArguments

Type declaration

Returns Arguments

getResults

Type declaration

Returns Results

isDisposed

mcsInit

Type declaration

Parameters

antitheticVariate: boolean

controlVariate: boolean

Returns McSimulation

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters