Creates a Step Monte Carlo object given a process object and a time line dates array.

When the MCNextStep() function is called against this object a new simulation path is generated for all the process objects.

This is a lighter object than the ProcessViewer() object as it does not store all the simulation paths.

This function requires the input of a StochasticProcess object key, which must have been produced via a call to one of the 'Simple' process object construction functions present within the CapeTools Simple Processes category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

If you wish to use the GenericMCPricer() function which does require this object as input, you can only use the GBSProcess(), GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess, GKProcess2() or CorrArrayProcesses() ( the latter populated with only GBSProcess(), GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess() or GKProcess2() objects ) functions.

The 'MandatoryDates' and 'MinNoOfSteps' parameters are very important here.

The 'MandatoryDates' parameter is an array of dates (in ascending order).

These dates indicate the periods in time you wish to view asset prices or, if pricing a generic Monte Carlo deal, the time points that you wish to associate event (payoff formulas) against.

The function GenericMCPricer() is used to associate events to the timepoints represented within this array.

The 'ValueDate' and 'dayCounter' parameters are needed in order to convert the date values in yearly timepoints.

The 'MinNoOfSteps' parameter provides the minimum number of steps that the discretization of the 'MandatoryDates' array will be performed.

Thus you can look at the 'MandatoryDates' parameter as the mandatory points that you wish to view or attach events to, in total however, there will be 'MinNoOfSteps' points.

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 : "LViewPRO"

String CTProcessSimC.StepMonteCarlo( _
String Key, _
Long Reload, _
String stochProcess, _
String ValueDate, _
DayCountEnum dayCounter, _
Variant MandatoryDates, _
Long MinNoOfSteps, _
String MCMethod, _
Long Seed)

=CT.PRO.StepMonteCarlo(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell stochProcess,
Excel String Cell ValueDate,
Excel String Cell dayCounter,
XLRange MandatoryDates,
Excel Numeric Cell MinNoOfSteps,
Excel String Cell MCMethod,
Excel Numeric Cell Seed)

static std::string StepMonteCarlo(
std::string Key,
long Reload,
std::string stochProcess,
std::string ValueDate,
DayCountEnum dayCounter,
CTRangeDataCPP MandatoryDates,
long MinNoOfSteps,
std::string MCMethod,
long Seed);

System.String CTProcessSimCSA.StepMonteCarlo(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String ValueDate,
CTIEnums.DayCountEnum dayCounter,
CTRangeData MandatoryDates,
System.Int32 MinNoOfSteps,
System.String MCMethod,
System.Int32 Seed);

CTQL.CTRangeData StepMonteCarlo_MandatoryDates;


int[] arrBStepMonteCarlo_MandatoryDates = {
CTQL.Date.serialNumber("19/7/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2007", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2008", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2009", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/7/2010", "dd/mm/yyyy"),
CTQL.Date.serialNumber("19/1/2011", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrStepMonteCarlo_MandatoryDates =
new  CTQL.IntVector(arrBStepMonteCarlo_MandatoryDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
StepMonteCarlo_MandatoryDates = new  CTQL.CTRangeData(arrStepMonteCarlo_MandatoryDates, false);

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.