CapeTools Simple Processes
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In total there are 15 functions present within the CapeTools Simple Processes category of functions.
General Description
Functions to construct various Equity, Future, FX or Commodity type process objects. A process object simulates an asset value (or a correlated set of asset values) over time.
The following asset functions can be used :
- GBSProcess() -Generalized BlackScholes Process.
- BS73Process() - Black-Scholes (1973) stochastic process.
- BlackProcess() - Black (1976) stochastic process.
- GKProcess() - Garman-Kohlhagen (1983) stochastic process.
- Merton76Process() - Merton (1976) Process.
Some basic stochastic process objects that can be constructed are :
- GBMProcess() - Geometric Brownian Motion Process.
- OUProcess() - OrnsteinUhlenbeck Process.
- SQRTProcess() - Square Root Process.
- SQRTProcess() - Square Root Process.
Finally you can group a collection of stochastic process objects along with a correlation matrix via the following function :
- CorrArrayProcesses() - Creates an array of correlated one dimensional stochastic processes.
All of these objects can be passed to various pricing functions (see the CapeTools EngineOptions category of functions).
You can set up your own simulation of these processes by using the functions contained within the CapeTools (Full) Process Simulation or CapeTools (Compact) Process Simulation category of functions.
Additionally you can carry out your own generic pricing via the GenericMCPricer, GenericTreePricer or GenericPDEPricer functions.
Function list.
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