LMMNextPath

LMMNextPath

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CapeTools LMM Process Simulation function list

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Generates a new random path based on the LMM model.

This function will return a 2 column array of rates and discount factors.

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

High level graphic of LMMNextPath() function with parameters. Blue square node is the actual function with the parameters ordered.

Parameter Description

viewer parameter

Key to an already constructed Libor Market Model (LMM) process object.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
viewer	String	TRUE

Example Inputs

ArgName	IsOptional (Excel only)	Example
viewer	FALSE	viewerNAME.EXTTAG.TICKER (from a function call)

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 LMMNextPath() 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 :

CALUKExchange() ( CT.QL.Curves20 )
CALEURO() ( CT.QL.Curves20 )
ValueDateObj() ( CT.QL.Utils20 )
CreateDepoTemplate() ( CT.QL.Curves20 )
CreateSwapTemplate() ( CT.QL.Curves20 )
MKTYC_D() ( CT.QL.Curves20 )
CreateIndex() ( CT.QL.Curves20 )
LMMProcess2() ( CT.QL.Models20 )
LMMLinearExpVolModel2() ( CT.QL.Models20 )
LMMLinearExpCorrModel2() ( CT.QL.Models20 )
LMMSimProcess() ( CT.QL.Simulation20 )
LMMNextPath() ( CT.QL.Simulation20 )

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 LMMNextPath() function call

Example
FixingDate	StartDate	EndDate	Coverage	Rate	DCF
38917	38919	39013	0.257534	0.0374143	0.92761
39009	39013	39104	0.249315	0.0401741	0.91874
39100	39104	39195	0.249315	0.0388855	0.890456
39191	39195	39286	0.249315	0.0320476	0.873819
39282	39286	39377	0.249315	0.031587	0.868878
39373	39377	39468	0.249315	0.0349056	0.863004
39464	39468	39559	0.249315	0.0227166	0.858816
39555	39559	39650	0.249315	0.0221233	0.856702
39646	39650	39742	0.252055	0.0224229	0.849675
39738	39742	39834	0.252055	0.0320022	0.842939
39832	39834	39924	0.246575	0.0324191	0.832747
39920	39924	40015	0.249315	0.0368045	0.828658
40011	40015	40107	0.252055	0.0415438	0.817087
40105	40107	40199	0.252055	0.0396075	0.811585
40197	40199	40289	0.246575	0.0443924	0.803453
40287	40289	40380	0.249315	0.0475977	0.790353
40378	40380	40472	0.252055	0.0511564	0.77738
40470	40472	40564	0.252055	0.0428884	0.766897
40562	40564	40654	0.246575	0.0308238	0.759583
40652	40654	40745	0.249315	0.0359037	0.75268