IRStepMonteCarlo




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Creates a Interest Rate Step Monte Carlo object given a process object and a time line dates array.

When the MCNextStep() function is called against this object a new simulation path is generated for the process object.

This is a lighter object than the IRProcessViewer() object as it does not store all the simulation paths.

This function requires the input of an interest rate StochasticProcess object key, which must have been produced via a call to one of the process object construction functions present within the CapeTools IR Processes category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

The 'MandatoryDates' parameter is an array of dates (in ascending order).

These dates indicate the periods in time you wish to view fixing rates or, if pricing a generic Monte Carlo deal, the time points that you wish to associate event (payoff formulas) against.

The interest rate forward process object will set as it's forward time the last date held within the 'MandatoryDates' parameter.

The 'ValueDate' and 'dayCounter' parameters are needed in order to convert the date values in yearly timepoints.

The 'MinNoOfSteps' parameter provides the minimum number of steps that the discretization of the 'MandatoryDates' array will be performed.

Thus you can look at the 'MandatoryDates' parameter as the mandatory points that you wish to view or attach events to, in total however, there will be 'MinNoOfSteps' points.



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 : "LIRViewPRO"



Note: Within Excel, the function is named - CT.PRO.IR.StepMonteCarlo


High level graphic of IRStepMonteCarlo() 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. stochProcess parameter

    Key to an already constructed interest rate StochasticProcess object.
  4. ValueDate parameter

    Key to an already created Valuation Date Object. (Via the ValueDateObj() function).
  5. dayCounter parameter

    Used to calculate time in years.
  6. MandatoryDates parameter

    An array of Mandatory Event Dates (in ascending order). These dates indicate the periods in time you wish to view asset prices or, if pricing a generic Monte Carlo deal, the dates that you wish to associate event (payoff formulas) against. The function GenericMCPricer() is used to associate events to the dates represented here.
  7. MinNoOfSteps parameter

    The minimum number of steps that the discretization of the 'MandatoryDates' parameter will take. (Will be at least the number of points within the 'MandatoryDates' parameter array).
  8. MCMethod parameter

    The random generator type to use. Valid values are 'Pseudo' or 'LowDiscrepancy'.
  9. Seed parameter

    Seed value. If zero (0) is specified, a random seed will be generated.


Extended information

Function Syntax

VB Syntax 


String CTIRProcessSimC.IRStepMonteCarlo( _
String Key, _
Long Reload, _
String stochProcess, _
String ValueDate, _
DayCountEnum dayCounter, _
Variant MandatoryDates, _
Long MinNoOfSteps, _
String MCMethod, _
Long Seed)


Excel Spreadsheet Syntax 


=CT.PRO.IR.StepMonteCarlo(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell stochProcess,
Excel String Cell ValueDate,
Excel String Cell dayCounter,
XLRange MandatoryDates,
Excel Numeric Cell MinNoOfSteps,
Excel String Cell MCMethod,
Excel Numeric Cell Seed)


C++ Syntax 


static std::string IRStepMonteCarlo(
std::string Key,
long Reload,
std::string stochProcess,
std::string ValueDate,
DayCountEnum dayCounter,
CTRangeDataCPP MandatoryDates,
long MinNoOfSteps,
std::string MCMethod,
long Seed);


DotNET Syntax 


System.String CTIRProcessSimCSA.IRStepMonteCarlo(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String ValueDate,
CTIEnums.DayCountEnum dayCounter,
CTRangeData MandatoryDates,
System.Int32 MinNoOfSteps,
System.String MCMethod,
System.Int32 Seed);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
stochProcessStringTRUE
ValueDateStringTRUE
dayCounterDayCountEnumFALSE
MandatoryDatesRangeFALSE
MinNoOfStepsLongFALSE
MCMethodStringFALSE
SeedLongFALSE

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
KeyFALSEMyIRStepMonteCarlo
ReloadFALSE1
stochProcessFALSEstochProcessNAME.EXTTAG.TICKER (from a function call)
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
dayCounterFALSE30360
MandatoryDatesFALSEIRStepMonteCarlo_MandatoryDates_Range (creates a range object)
MinNoOfStepsFALSE50
MCMethodFALSEPseudo
SeedFALSE0


Example range for parameter : MandatoryDates

Within Excel, a range such as this can be passed directly into the MandatoryDates parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : MandatoryDates 


CTQL.CTRangeData IRStepMonteCarlo_MandatoryDates;


int[] arrBIRStepMonteCarlo_MandatoryDates = {
CTQL.Date.serialNumber("19/7/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2011", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrIRStepMonteCarlo_MandatoryDates =
new  CTQL.IntVector(arrBIRStepMonteCarlo_MandatoryDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
IRStepMonteCarlo_MandatoryDates = new  CTQL.CTRangeData(arrIRStepMonteCarlo_MandatoryDates, false);


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.Simulation20 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 IRStepMonteCarlo() 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.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




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 IRStepMonteCarlo() function call


MyIRStepMonteCarlo_1.LIRViewPRO.0

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