CapeTools (Compact) IR Process Simulation
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In total there are 3 functions present within the CapeTools (Compact) IR Process Simulation category of functions.
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.
Function list.
- IRMCGetTimeSteps - Return the TimeLine array (in years).
- IRMCNextStep - Generates a new simulation path given a IRStepMonteCarlo() object.
- IRStepMonteCarlo - Creates a Interest Rate Step Monte Carlo object given a process object and a time line dates array.
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