Class MCLDDoubleBarrierEngine

Namespace: NanoQL.Experimental

Assembly: NanoQL.dll

MCDoubleBarrierEngine on low-discrepancy draws with QuantLib's default statistics: MCLDDoubleBarrierEngine, named as QuantLib-Python names its siblings, QuantLib's MCDoubleBarrierEngine<LowDiscrepancy>, its calculations closed at LowDiscrepancy and GeneralStatistics.

[Experimental("NQL0001")]
public static class MCLDDoubleBarrierEngine

Inheritance: object

MCLDDoubleBarrierEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(DoubleBarrierOption, EvaluationContext, GeneralizedBlackScholesProcess, int?, int?, bool, bool, int?, double?, int?, long)

Prices a double barrier option by Monte Carlo.

public static OneAssetOptionResults Calculate(DoubleBarrierOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, int? timeSteps, int? timeStepsPerYear, bool brownianBridge, bool antitheticVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed)

Parameters

option DoubleBarrierOption: The option.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The Black-Scholes process.
timeSteps int?: The number of time steps, or null for steps per year.
timeStepsPerYear int?: The number of time steps per year, or null for a number of steps.
brownianBridge bool: Whether the draws are ordered by a Brownian bridge.
antitheticVariate bool: Whether antithetic variates are used.
requiredSamples int?: The number of samples, or null.
requiredTolerance double?: The absolute tolerance, or null; it takes precedence.
maxSamples int?: The most samples for a tolerance, or null for no limit.
seed long: The seed, in [1, 4294967295].

Returns

OneAssetOptionResults: The option's results, the NPV and the error estimate; the expired results when it has expired.

Exceptions

ArgumentNullException: The option, the context or the process is null.
ArgumentException: The time steps are given neither or both ways, or aren't positive.
ArgumentOutOfRangeException: A number of samples is negative, or the seed is outside its range.
NanoQLException: The exercise isn't European, the spot isn't positive or lies on or beyond a barrier ("barrier touched"), the payoff isn't plain vanilla, the type is a KIKO or a KOKI, neither a tolerance nor a number of samples is given, or the samples can't reach the tolerance.