GBSProcess




http://www.QuantTools.com
CapeTools Simple Processes function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index


Creates a Generalized BlackScholes Process.

This class describes the stochastic process governed by : dS(t, S)=( r(t) - q(t) - ( ( sigma(t, S)^2 ) / 2 ) )*dt + sigma*dW_t. The string 'Key' resulting from a successful construction of this process object can be passed to the following functions : VanillaOption(), ContinuousAsianOption(), DiscreteAsianOption(), BarrierOption(), BasketOption(), CliquetOption() and DivVanillaOption().



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "GBSPRO"



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


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



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. ValueDate parameter

    Key to an already created Valuation Date Object. (Via the ValueDateObj() function).
  4. x0 parameter

    Initial value.
  5. rate parameter

    risk free rate.
  6. ext parameter

    External Rate (Dividend, foreign FX, holding cost) value.
  7. RateDayCount parameter

    The DayCounter of the 'rate' and 'ext' parameters.
  8. sigma parameter

    volatility value of the process.
  9. VolDayCount parameter

    The DayCounter of the 'sigma' parameter.


Extended information

Function Syntax

VB Syntax 


String CTProcesses.GBSProcess( _
String Key, _
Long Reload, _
String ValueDate, _
Double x0, _
Double rate, _
Double ext, _
DayCountEnum RateDayCount, _
Double sigma, _
DayCountEnum VolDayCount)


Excel Spreadsheet Syntax 


=CT.PRO.GBSProcess(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell ValueDate,
Excel Numeric Cell x0,
Excel Numeric Cell rate,
Excel Numeric Cell ext,
Excel String Cell RateDayCount,
Excel Numeric Cell sigma,
Excel String Cell VolDayCount)


C++ Syntax 


static std::string GBSProcess(
std::string Key,
long Reload,
std::string ValueDate,
double x0,
double rate,
double ext,
DayCountEnum RateDayCount,
double sigma,
DayCountEnum VolDayCount);


DotNET Syntax 


System.String CTProcessesSA.GBSProcess(
System.String Key,
System.Int32 Reload,
System.String ValueDate,
System.Double x0,
System.Double rate,
System.Double ext,
CTIEnums.DayCountEnum RateDayCount,
System.Double sigma,
CTIEnums.DayCountEnum VolDayCount);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
ValueDateStringTRUE
x0DoubleFALSE
rateDoubleFALSE
extDoubleFALSE
RateDayCountDayCountEnumFALSE
sigmaDoubleFALSE
VolDayCountDayCountEnumFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyGBSProcess
ReloadFALSE1
ValueDateFALSEValueDateNAME.EXTTAG.TICKER (from a function call)
x0FALSE80.0
rateFALSE0.05
extFALSE0.01
RateDayCountFALSEACT365F
sigmaFALSE0.20
VolDayCountFALSEACT365F


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 GBSProcess() 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 :





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 GBSProcess() function call


MyGBSProcess_3.GBSPRO.0

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.