LMMSimProcess Example JS

J# Example - LMMSimProcess

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

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

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

// within this file ( LMMSimProcessPart() ).

// 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 nCTLMMProcessesGlobal = 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_LMMSimProcess()

{

nCTLMMProcessesGlobal += 1;

String szErrorMsg = "";

try

{

// 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 centralized valuation date object.

String MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// 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 MyMiniYC;

MyMiniYC =

MKTYC_D__3Part(

MyValuationDate,

MyDepoTPL,

MySwapTPL);

// Creates a new Index code.

String MyNewIndex2;

MyNewIndex2 =

CreateIndex__2Part(

MyCALUKExchange,

MyEuroCal,

MyMiniYC);

// Creates a Libor Forward Model Process container object.

String MyLMMProcess2;

MyLMMProcess2 =

LMMProcess2Part(

MyNewIndex2);

// Creates a an extended linear-exponential volatility model for

// the libor market model.

String My3rdLMMLinearExpVolModel2;

My3rdLMMLinearExpVolModel2 =

LMMLinearExpVolModel2__3Part(

MyLMMProcess2);

// Creates an extended exponential correlation model for the libor

// market model.

String My2ndLMMLinearExpCorrModel2;

My2ndLMMLinearExpCorrModel2 =

LMMLinearExpCorrModel2__2Part(

MyLMMProcess2);

// Given volatility and correlation specification objects, creates

// a Libor Forward Market Simulation Process object to be used

// within the 'CapeTools LMM Process Simulation' or 'CapeTools

// Generic IR LMM MonteCarlo Pricer' category of functions.

String MyLMMSimProcess;

MyLMMSimProcess =

LMMSimProcessPart(

MyLMMProcess2,

My3rdLMMLinearExpVolModel2,

My2ndLMMLinearExpCorrModel2);

// This is the result we are looking for.

return MyLMMSimProcess;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

catch(System.ApplicationException e)

{

szErrorMsg = e.get_Message();

}

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

private String LMMSimProcessPart(

String MyLMMProcess2,

String My3rdLMMLinearExpVolModel2,

String My2ndLMMLinearExpCorrModel2)

{

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

String MyLMMSimProcess = "MyLMMSimProcess" + "_" + System.Convert.ToString(nCTLMMProcessesGlobal);

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

// to a positive value.

int Reload = 1;

// The number of simulations.

int NoOfSims = 10;

// Seed value.

int Seed = 0;

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

// Given volatility and correlation specification objects, creates

// a Libor Forward Market Simulation Process object to be used

// within the 'CapeTools LMM Process Simulation' or 'CapeTools

// Generic IR LMM MonteCarlo Pricer' category of functions.

String rLMMSimProcess;

rLMMSimProcess = CTQL.CTLMMProcessesSA.LMMSimProcess(

MyLMMSimProcess,

Reload,

MyLMMProcess2,

My3rdLMMLinearExpVolModel2,

My2ndLMMLinearExpCorrModel2,

NoOfSims,

Seed);

return rLMMSimProcess;

}