IRStepMonteCarlo Example JS

J# Example - IRStepMonteCarlo

// ##################################################################################

// The first function here IRStepMonteCarlo(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( IRStepMonteCarloPart() ).

// which contains the answer that we are looking for.

// The first function here is simply an example of how to construct the parameters

// in order acquire either a string Key (that is to be passed to other functions)

// or a computed result.

// If you are viewing this source code from the chm or web help file you can use the

// outlining features to collapse certain sections of the code for better readability.

// ##################################################################################

import System.*;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

import CTQL.*; // You need to add a reference to the QuantToolsNET.v2.dll also

// Some global parameter in order to append to user defined keys.

// We use it here to ensure that we have unique Keys (in the case several of our examples

// use the same key-name)

// In normal use, a user defined string will be used and so this variable will be pointless.

static int nCTIRProcessSimCGlobal = 0;

// Used by function parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();

String szTickedKeyName;

public String JS_EX_IRStepMonteCarlo()

{

nCTIRProcessSimCGlobal += 1;

String szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// UK date calendar used within the UK stock exchange.

String MyCALUKExchange;

MyCALUKExchange =

CALUKExchangePart();

// EURO calendar used for holiday adjustments.

String MyEuroCal;

MyEuroCal =

CALEUROPart();

// Creates a Deposit template which is almost identical to a Libor

// Index, but without the YieldCurve information.

String MyDepoTPL;

MyDepoTPL =

CreateDepoTemplatePart(

MyCALUKExchange,

MyEuroCal);

// Creates a Swap template which is almost identical to the definition

// of the parameters of a swap contract, but without the swap duration,

// buysell, and YieldCurve information.

String MySwapTPL;

MySwapTPL =

CreateSwapTemplatePart(

MyEuroCal,

MyDepoTPL);

// Creates a yield curve using market rates (No cross-currency

// Swaps).

String MyYCInterpOnDCF;

MyYCInterpOnDCF =

MKTYC_DPart(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String MyNewIndex;

MyNewIndex =

CreateIndexPart(

MyCALUKExchange,

MyEuroCal,

MyYCInterpOnDCF);

// Creates a Single-factor Hull-White (extended Vasicek) Forward

// ShortRate Model process object.

String MyHullWhite1FProcess;

MyHullWhite1FProcess =

HullWhite1FProcessPart(

MyNewIndex,

MyYCInterpOnDCF);

// Creates a Interest Rate Step Monte Carlo object given a process

// object and a time line dates array.

String MyIRStepMonteCarlo;

MyIRStepMonteCarlo =

IRStepMonteCarloPart(

MyHullWhite1FProcess,

MyValuationDate);

// This is the result we are looking for.

return MyIRStepMonteCarlo;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

// ///////////////////////////////////////////////////////////////////

private String IRStepMonteCarloPart(

String MyHullWhite1FProcess,

String MyValuationDate)

{

// Create example range for parameter IRStepMonteCarlo_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);

// Key value to use as a handle for the created object

String MyIRStepMonteCarlo = "MyIRStepMonteCarlo" + "_" + System.Convert.ToString(nCTIRProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Used to calculate time in years.

CTIEnums.DayCountEnum dayCounter = CTIEnums.DayCountEnum.DayCount_30360;

// The minimum number of steps that the discretization of the 'MandatoryDates'

// parameter will take.

int MinNoOfSteps = 50;

// The random generator type to use.

String MCMethod = "Pseudo";

// Seed value.

int Seed = 0;

// Excel function call would be this - "CT.PRO.IR.StepMonteCarlo()"

// Creates a Interest Rate Step Monte Carlo object given a process

// object and a time line dates array.

String rIRStepMonteCarlo;

rIRStepMonteCarlo = CTQL.CTIRProcessSimCSA.IRStepMonteCarlo(

MyIRStepMonteCarlo,

Reload,

MyHullWhite1FProcess,

MyValuationDate,

dayCounter,

IRStepMonteCarlo_MandatoryDates,

MinNoOfSteps,

MCMethod,

Seed);

return rIRStepMonteCarlo;

}