CapeTools LMM Process Simulation
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In total there are 11 functions present within the CapeTools LMM Process Simulation category of functions.
General Description
Functions to construct and simulate interest rate type stochastic processes under the LMM model.
A single LIBOR path will be simulated each time you call the LMMNextPath function from a constructed LMMSimProcess object.
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.
However it would be difficult to compute risk numbers as the original path would have been wiped from memory (if generating risk via perturbation).
Alternatively, if you specified a number for the 'NoOfSims' parameter within the LMMSimProcess function, then under this scenario, if one wishes to conduct 50000 simulations, all 50000 simulations of LIBOR paths will be simulated in one shot and stored.
You then use a series of functions to extract information from the stored paths ( ie - LMMDisplayPath, LMMDisplayStep etc...).
However you may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.
Function list.
- LMMDisplayAverage - Displays the average value of the LIBOR rates for each time step of the simulations.
- LMMDisplayError - Displays the error estimate on the mean value of the LIBOR rates for each time step of the simulations.
- LMMDisplayKurtosis - Displays the kurtosis value of the LIBOR rates for each time step of the simulations.
- LMMDisplayMax - Displays the maximum value of the LIBOR rates for each time step of the simulations.
- LMMDisplayMin - Displays the minimum value of the LIBOR rates for each time step of the simulations.
- LMMDisplayPath - Displays the generated path given a Libor Market Model (LMM) process object and a path number (indexed from 1).
- LMMDisplaySTD - Displays the standard deviation value of the LIBOR rates for each time step of the simulations.
- LMMDisplaySkewness - Displays the skewness value of the LIBOR rates for each time step of the simulations.
- LMMDisplayStep - Displays the value of the LIBOR rates at a particular time step across all simulations.
- LMMDisplayVariance - Displays the variance value of the LIBOR rates for each time step of the simulations.
- LMMNextPath - Generates a new random path based on the LMM model.
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