MCDigitalEngine | quantlib.js

Pricing engine for digital 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

and

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 in case of cash-or-nothing at-hit digital payoff is tested by reproducing known good results.

Hierarchy

MCVanillaEngine
- MCDigitalEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

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

Overrides MCVanillaEngine.constructor
- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:45
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MCDigitalEngine

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_arguments

_arguments: Arguments

_brownianBridge

_brownianBridge: boolean

_controlVariate

_controlVariate: boolean

_isDisposed

_isDisposed: boolean = false

_maxSamples

_maxSamples: Size

_mcModel

_mcModel: MonteCarloModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_process

_process: StochasticProcess

_requiredSamples

_requiredSamples: Size

_requiredTolerance

_requiredTolerance: Real

_results

_results: Results

_seed

_seed: BigNatural

_timeSteps

_timeSteps: Size

_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

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

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

Inherited from MCVanillaEngine.calculate

Overrides VanillaOptionEngineMcSimulation.calculate
- Defined in ql/pricingengines/vanilla/mcvanillaengine.ts:69
Returns void

controlPathGenerator

controlPathGenerator(): PathGenerator | MultiPathGenerator

Inherited from VanillaOptionEngineMcSimulation.controlPathGenerator
- Defined in mixins/ql/pricingengines/vanillaoptionenginemcsimulation.ts:67
Returns PathGenerator | MultiPathGenerator

controlPathPricer

controlPathPricer(): PathPricer<Path | MultiPath>

Inherited from VanillaOptionEngineMcSimulation.controlPathPricer
- Defined in mixins/ql/pricingengines/vanillaoptionenginemcsimulation.ts:64
Returns PathPricer<Path | MultiPath>

controlPricingEngine

controlPricingEngine(): PricingEngine

Inherited from VanillaOptionEngineMcSimulation.controlPricingEngine
- Defined in mixins/ql/pricingengines/vanillaoptionenginemcsimulation.ts:70
Returns PricingEngine

controlVariateValue

controlVariateValue(): Real

Inherited from MCVanillaEngine.controlVariateValue

Overrides VanillaOptionEngineMcSimulation.controlVariateValue
- Defined in ql/pricingengines/vanilla/mcvanillaengine.ts:101
Returns Real

mcdeInit

mcdeInit(process: GeneralizedBlackScholesProcess, timeSteps: Size, timeStepsPerYear: Size, brownianBridge: boolean, antitheticVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, seed: BigNatural): MCDigitalEngine

- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:55
Parameters
- process: GeneralizedBlackScholesProcess
- timeSteps: Size
- timeStepsPerYear: Size
- brownianBridge: boolean
- antitheticVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- seed: BigNatural
Returns MCDigitalEngine

mcveInit

mcveInit(process: StochasticProcess, timeSteps: Size, timeStepsPerYear: Size, brownianBridge: boolean, antitheticVariate: boolean, controlVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, seed: BigNatural): MCVanillaEngine

Inherited from MCVanillaEngine.mcveInit
- Defined in ql/pricingengines/vanilla/mcvanillaengine.ts:35
Parameters
- process: StochasticProcess
- timeSteps: Size
- timeStepsPerYear: Size
- brownianBridge: boolean
- antitheticVariate: boolean
- controlVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- seed: BigNatural
Returns MCVanillaEngine

pathGenerator

pathGenerator(): PathGenerator

Inherited from MCVanillaEngine.pathGenerator

Overrides VanillaOptionEngineMcSimulation.pathGenerator
- Defined in ql/pricingengines/vanilla/mcvanillaengine.ts:92
Returns PathGenerator

pathPricer

pathPricer(): PathPricer<Path>

Overrides VanillaOptionEngineMcSimulation.pathPricer
- Defined in ql/pricingengines/vanilla/mcdigitalengine.ts:67
Returns PathPricer<Path>

timeGrid

timeGrid(): TimeGrid

Inherited from MCVanillaEngine.timeGrid

Overrides VanillaOptionEngineMcSimulation.timeGrid
- Defined in ql/pricingengines/vanilla/mcvanillaengine.ts:79
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 MCDigitalEngine

Properties

MC

RNG

S

_antitheticVariate

_arguments

_brownianBridge

_controlVariate

_isDisposed

_maxSamples

_mcModel

_observables

_observers

_process

_requiredSamples

_requiredTolerance

_results

_seed

_timeSteps

_timeStepsPerYear

calculate1

Type declaration

Parameters

requiredTolerance: Real

requiredSamples: Size

maxSamples: Size

Returns void

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

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

reset