IRProcessViewer




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CapeTools (Full) IR Process Simulation function list

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Creates an interest rate process viewer object.

Given an interest rate forward process object a mandatory set of event dates, an interest rate process viewer object will be created which typically generates simulation paths based on the given process.

You can then query the process viewer object for various statistics and display the various paths generated.

This function requires the input of an interest rate StochasticProcess object key, which must have been produced via a call to one of the 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 fxing rates.

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.



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 : "IRViewPRO"



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


High level graphic of IRProcessViewer() 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.
  7. NoOfSims parameter

    The number of simulations.
  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 CTIRProcessSimF.IRProcessViewer( _
String Key, _
Long Reload, _
String stochProcess, _
String ValueDate, _
DayCountEnum dayCounter, _
Variant MandatoryDates, _
Long NoOfSims, _
String MCMethod, _
Long Seed)


Excel Spreadsheet Syntax 


=CT.PRO.IR.IRProcessViewer(
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 NoOfSims,
Excel String Cell MCMethod,
Excel Numeric Cell Seed)


C++ Syntax 


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


DotNET Syntax 


System.String CTIRProcessSimFSA.IRProcessViewer(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String ValueDate,
CTIEnums.DayCountEnum dayCounter,
CTRangeData MandatoryDates,
System.Int32 NoOfSims,
System.String MCMethod,
System.Int32 Seed);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
stochProcessStringTRUE
ValueDateStringTRUE
dayCounterDayCountEnumFALSE
MandatoryDatesRangeFALSE
NoOfSimsLongFALSE
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
KeyFALSEMyIRProcessViewer
ReloadFALSE1
stochProcessFALSEstochProcessNAME.EXTTAG.TICKER (from a function call)
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
dayCounterFALSE30360
MandatoryDatesFALSEIRProcessViewer_MandatoryDates_Range (creates a range object)
NoOfSimsFALSE10
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 IRProcessViewer_MandatoryDates;


int[] arrBIRProcessViewer_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 arrIRProcessViewer_MandatoryDates =
new  CTQL.IntVector(arrBIRProcessViewer_MandatoryDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
IRProcessViewer_MandatoryDates = new  CTQL.CTRangeData(arrIRProcessViewer_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 IRProcessViewer() 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 IRProcessViewer() function call


MyIRProcessViewer_1.IRViewPRO.0

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