DisplayLastMCTable

DisplayLastMCTable

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CapeTools Generic MonteCarlo Pricer function list

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Displays the pricing grid details from the last step of the Monte Carlo pricer.

The first column represents the Time (in years), the rest of the columns are the actual results from the last MonteCarlo pricing simulation.

The PV is in the bottom right cell.

Nice tool for debugging your PayOff table cells.

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

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

Parameter Description

MCPricer parameter

Key to an already constructed Generic Monte Carlo Pricer object.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
MCPricer	String	TRUE

Example Inputs

ArgName	IsOptional (Excel only)	Example
MCPricer	FALSE	MCPricerNAME.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.GenericPricing20 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 DisplayLastMCTable() 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 :

ValueDateObj() ( CT.QL.Utils20 )
InterpObject1D() ( CT.QL.Utils20 )
InterpObject2D() ( CT.QL.Utils20 )
GBSProcess() ( CT.QL.Simulation20 )
CorrArrayProcesses() ( CT.QL.Simulation20 )
GenericMCPricer() ( CT.QL.GenericPricing20 )
DisplayLastMCTable() ( CT.QL.GenericPricing20 )

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 DisplayLastMCTable() function call

Example
0	85.05	100.011	92.5305	0
0.50411	88.9618	117.41	103.186	0
1	100.647	152.462	126.554	0
1.50411	118.676	158.461	138.568	0
2	111.893	141.75	126.821	0
2.50411	110.671	162.778	136.724	0
3.00274	131.596	173.54	152.568	0
3.50685	152.631	194.262	173.447	0
4.00274	157.753	181.398	169.575	0
4.50685	193.176	222.125	207.651	0
5.00274	254.8	259.863	257.331	0
5.50685	275.868	260.924	268.396	9.51456