Simulations Category Group

CapeTools (Full) Process Simulation

General Description

Functions to construct and simulate Equity, Future, FX or Commodity type stochastic processes.

The (Full) indicates that if one wishes to conduct 50000 simulations, all 50000 simulations will be simulated in one shot, via the ProcessViewer function.

All further functions that refers to the object constructed by the ProcessViewer function simply reads data from the object. No further simulation takes place.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment (you can additionally use the functions present within the CapeTools Generic MonteCarlo Pricer category of functions.). Because all the paths are retained, with a little more work, you can compute the risk parameters of your product (not present within the CapeTools Generic MonteCarlo Pricer category of functions.)

Unfortunately, this object will utilize a lot of memory if you specify a huge amount of paths to be simulated.

You may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.

Alternatively, you may want to use the functions present within the CapeTools (Compact) Process Simulation category of functions. Here each time you execute the MCNextStep function from a constructed StepMonteCarlo object a new path is generated and the previous path destroyed.

This uses less memory, but makes it difficult for you to compute risk numbers using the original paths.

CapeTools (Compact) Process Simulation

General Description

Functions to construct and simulate Equity, Future, FX or Commodity type stochastic processes.

The (Compact) indicates that a single path will be simulated each time you call the MCNextStep function from a constructed StepMonteCarlo object.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment.

However it would be difficult to compute risk numbers as the original path would have been wiped from memory (if generating risk via perturbation).

Alternatively, you may want to use the functions present within the CapeTools (Full) Process Simulation category of functions. Under this scenario, if one wishes to conduct 50000 simulations, all 50000 simulations will be simulated in one shot, via the ProcessViewer function and all the paths are stored.

However you may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.

CapeTools (Full) IR Process Simulation

General Description

Functions to construct and simulate interest rate type stochastic processes.

The (Full) indicates that if one wishes to conduct 50000 simulations, all 50000 simulations of LIBOR paths will be simulated in one shot, via the IRProcessViewer function.

All further functions that refers to the object constructed by the IRProcessViewer function simply reads data from the object. No further simulation takes place.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment. Because all the paths are retained, with a little more work, you can compute the risk parameters of your product.

Unfortunately, this object will utilize a lot of memory if you specify a huge amount of paths to be simulated.

You may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.

Alternatively, you may want to use the functions present within the CapeTools (Compact) IR Process Simulation category of functions. Here each time you execute the IRMCNextStep function from a constructed IRStepMonteCarlo object a new LIBOR path is generated and the previous path destroyed.

This uses less memory, but makes it difficult for you to compute risk numbers using the original paths.

CapeTools (Compact) IR Process Simulation

General Description

Functions to construct and simulate interest rate type stochastic processes.

The (Compact) indicates that a single LIBOR path will be simulated each time you call the IRMCNextStep function from a constructed IRStepMonteCarlo object.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment.

However it would be difficult to compute risk numbers as the original path would have been wiped from memory (if generating risk via perturbation).

Alternatively, you may want to use the functions present within the CapeTools (Full) IR Process Simulation category of functions. Under this scenario, if one wishes to conduct 50000 simulations, all 50000 simulations of LIBOR paths will be simulated in one shot, via the IRProcessViewer function and all the paths are stored.

However you may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.

CapeTools LMM Process Simulation

General Description

Functions to construct and simulate interest rate type stochastic processes under the LMM model.

A single LIBOR path will be simulated each time you call the LMMNextPath function from a constructed LMMSimProcess object.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment.

However it would be difficult to compute risk numbers as the original path would have been wiped from memory (if generating risk via perturbation).

Alternatively, if you specified a number for the 'NoOfSims' parameter within the LMMSimProcess function, then under this scenario, if one wishes to conduct 50000 simulations, all 50000 simulations of LIBOR paths will be simulated in one shot and stored.

You then use a series of functions to extract information from the stored paths ( ie - LMMDisplayPath, LMMDisplayStep etc...).

However you may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.