PseudoHestonMCEngine





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Creates a Pseudo MonteCarlo Heston Engine for pricing european options.

The simulation terminates when either the required tolerance is reached or the maximum number of simulations breached.

The string 'Key' resulting from a successful construction of this engine object can be passed to the VanillaOption() function in order to create an VanillaOption object that can be priced via the PrcObjVanillaOption() function.

Be advised that the corresponding stochastic process object that is to be passed to the VanillaOption() function ('stochProcess' parameter) to support this engine has to be a Heston process object ( HestonProcess() or HestonProcess2() ).



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "PMCHESENG"



Note: Within Excel, the function is named - CT.ENG.PseudoHestonMCEngine




High level graphic of PseudoHestonMCEngine() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. NoOfSteps parameter

    Number of TOTAL steps for a single simulation. If this parameter is populated then the 'maxStepsPerYear' parameter must be set to zero (0). Same is true for the reverse case.
  4. maxStepsPerYear parameter

    Maximum number of steps PER YEAR. If this parameter is populated then the 'NoOfSteps' parameter must be set to zero (0).
  5. Seed parameter

    Seed value.
  6. AntitheticVariate parameter

    With antithetic variate?
  7. Tolerance parameter

    The required tolerance
  8. MaxSamples parameter

    Maximum number of samples.


Extended information

Function Syntax

VB Syntax


String CTEngine.PseudoHestonMCEngine( _
String Key, _
Long Reload, _
Long NoOfSteps, _
Long maxStepsPerYear, _
Long Seed, _
Boolean AntitheticVariate, _
Double Tolerance, _
Long MaxSamples)


Excel Spreadsheet Syntax


=CT.ENG.PseudoHestonMCEngine(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell NoOfSteps,
Excel Numeric Cell maxStepsPerYear,
Excel Numeric Cell Seed,
Excel Boolean Value Cell AntitheticVariate,
Excel Numeric Cell Tolerance,
Excel Numeric Cell MaxSamples)


C++ Syntax


static std::string PseudoHestonMCEngine(
std::string Key,
long Reload,
long NoOfSteps,
long maxStepsPerYear,
long Seed,
bool AntitheticVariate,
double Tolerance,
long MaxSamples);


DotNET Syntax


System.String CTEngineSA.PseudoHestonMCEngine(
System.String Key,
System.Int32 Reload,
System.Int32 NoOfSteps,
System.Int32 maxStepsPerYear,
System.Int32 Seed,
System.Boolean AntitheticVariate,
System.Double Tolerance,
System.Int32 MaxSamples);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
NoOfStepsLongFALSE
maxStepsPerYearLongFALSE
SeedLongFALSE
AntitheticVariateBooleanFALSE
ToleranceDoubleFALSE
MaxSamplesLongFALSE


Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyPseudoHestonMCEngine
ReloadFALSE1
NoOfStepsTRUE91
maxStepsPerYearTRUE0
SeedFALSE1234
AntitheticVariateFALSEtrue
ToleranceFALSE0.01
MaxSamplesFALSE40000


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.EnginePricing20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the PseudoHestonMCEngine() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the PseudoHestonMCEngine() function call


MyPseudoHestonMCEngine_16.PMCHESENG.0

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