CapeTools (Full) IR Process Simulation
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In total there are 12 functions present within the CapeTools (Full) IR Process Simulation category of functions.
General Description
Functions to construct and simulate interest rate type stochastic processes.
The (Full) indicates that if one wishes to conduct 50000 simulations, all 50000 simulations of LIBOR paths will be simulated in one shot, via the IRProcessViewer function.
All further functions that refers to the object constructed by the IRProcessViewer function simply reads data from the object. No further simulation takes place.
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. Because all the paths are retained, with a little more work, you can compute the risk parameters of your product.
Unfortunately, this object will utilize a lot of memory if you specify a huge amount of paths to be simulated.
You may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.
Alternatively, you may want to use the functions present within the CapeTools (Compact) IR Process Simulation category of functions. Here each time you execute the IRMCNextStep function from a constructed IRStepMonteCarlo object a new LIBOR path is generated and the previous path destroyed.
This uses less memory, but makes it difficult for you to compute risk numbers using the original paths.
Function list.
- DisplayIRMCDiscounts - Displays the deterministic discount factors given a IRProcessViewer object.
- DisplayIRMCPath - Displays the generated path (stochastic discount factors, stochastic rate or stochastic accrual factors) given an IRProcessViewer object and a path number (starts from 1 all the way up to the number of simulations inputted within the IRProcessViewer() function).
- DisplayIRMCStep - Displays the value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) at a particular time step across all simulations.
- DisplayIRMCStochAverage - Displays the average value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochError - Displays the error estimate on the mean value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochKurtosis - Displays the kurtosis value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochMax - Displays the maximum value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochMin - Displays the minimum value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochSTD - Displays the standard deviation of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochSkewness - Displays the skewness value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- DisplayIRMCStochVariance - Displays the variance value of the requested stochastic variable (stochastic discount factors, stochastic rate or stochastic accrual factors) for each time step of the simulations.
- IRProcessViewer - Creates an interest rate process viewer object.
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