Generates a new simulation path given a IRStepMonteCarlo() object.

Returns a three column array.

The first column is the stochastic fixing rates the second column are the stochastic discount factors and finally the last column contain the accrual factors.

Each row is the path that the process has taken over time.

An accrual factor is a stochastic factor that you would multiply your payoff by.

You then discount your payoff by the discount factor at the forward date (last date within the 'MandatoryDates' parameter stored within the IRStepMonteCarlo() function or the last date within the range returned by the IRMCDiscounts() function.

).

Variant CTIRProcessSimC.IRMCNextStep( _
String stepMC)

=CT.PRO.IR.MCNextStep(
Excel String Cell stepMC)

static CTRangeDataCPP IRMCNextStep(
std::string stepMC);

CTRangeData CTIRProcessSimCSA.IRMCNextStep(
System.String stepMC);

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.