StepMonteCarlo Example CS

C# Example - StepMonteCarlo

// ##################################################################################

// The first function here StepMonteCarlo(), contains a series of

// function calls leading upto the main function call, the second function

// within this file ( StepMonteCarloPart() ).

// which contains the answer that we are looking for.

// The first function here is simply an example of how to construct the parameters

// in order acquire either a string Key (that is to be passed to other functions)

// or a computed result.

// If you are viewing this source code from the chm or web help file you can use the

// outlining features to collapse certain sections of the code for better readability.

// ##################################################################################

using System;

// Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

// and using the reduced version (in the case of declaring enumerations).

// This is just to demostrate both types of coding.

using CTQL; // You need to add a reference to the QuantToolsNET.v2.dll also

// Some global parameter in order to append to user defined keys.

// We use it here to ensure that we have unique Keys (in the case several of our examples

// use the same key-name)

// In normal use, a user defined string will be used and so this variable will be pointless.

static int nCTProcessSimCGlobal;

// Used by function parameters that take an optional range value.

// In Excel we simply omit the value, within the API functions,

// we pass an empty range object

static CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();

public string CS_EX_StepMonteCarlo()

{

nCTProcessSimCGlobal += 1;

string szErrorMsg = "";

try

{

// Creates a centralized valuation date object.

string MyValuationDate;

MyValuationDate =

ValueDateObjPart();

// Creates a Generalized BlackScholes Process.

string MyGBSProcess;

MyGBSProcess =

GBSProcessPart(

MyValuationDate);

// Creates a Generalized BlackScholes Process.

string My2ndGBSProcess;

My2ndGBSProcess =

GBSProcess__2Part(

MyValuationDate);

// Creates a Generalized BlackScholes Process.

string My3rdGBSProcess;

My3rdGBSProcess =

GBSProcess__3Part(

MyValuationDate);

// Creates a Generalized BlackScholes Process.

string My4thGBSProcess;

My4thGBSProcess =

GBSProcess__4Part(

MyValuationDate);

// Creates a Generalized BlackScholes Process.

string My5thGBSProcess;

My5thGBSProcess =

GBSProcess__5Part(

MyValuationDate);

// Creates an array of correlated one dimensional stochastic processes.

string MyCorrArrayProcesses;

MyCorrArrayProcesses =

CorrArrayProcessesPart(

MyGBSProcess,

My2ndGBSProcess,

My3rdGBSProcess,

My4thGBSProcess,

My5thGBSProcess);

// Creates a Step Monte Carlo object given a process object and

// a time line dates array.

string MyStepMonteCarlo;

MyStepMonteCarlo =

StepMonteCarloPart(

MyCorrArrayProcesses,

MyValuationDate);

// This is the result we are looking for.

return MyStepMonteCarlo;

}

catch(Exception e)

{

szErrorMsg = e.Message;

throw e;

}

// ///////////////////////////////////////////////////////////////////

private string StepMonteCarloPart(

string MyCorrArrayProcesses,

string MyValuationDate)

{

// Create example range for parameter StepMonteCarlo_MandatoryDates

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);

// Key value to use as a handle for the created object

string MyStepMonteCarlo = "MyStepMonteCarlo" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Used to calculate time in years.

CTIEnums.DayCountEnum dayCounter = CTIEnums.DayCountEnum.DayCount_30360;

// The minimum number of steps that the discretization of the 'MandatoryDates'

// parameter will take.

int MinNoOfSteps = 50;

// The random generator type to use.

string MCMethod = "Pseudo";

// Seed value.

int Seed = 0;

// Excel function call would be this - "CT.PRO.StepMonteCarlo()"

// Creates a Step Monte Carlo object given a process object and

// a time line dates array.

string rStepMonteCarlo;

rStepMonteCarlo = CTQL.CTProcessSimCSA.StepMonteCarlo(

MyStepMonteCarlo,

Reload,

MyCorrArrayProcesses,

MyValuationDate,

dayCounter,

StepMonteCarlo_MandatoryDates,

MinNoOfSteps,

MCMethod,

Seed);

return rStepMonteCarlo;

}

// ///////////////////////////////////////////////////////////////////

private string CorrArrayProcessesPart(

string MyGBSProcess,

string My2ndGBSProcess,

string My3rdGBSProcess,

string My4thGBSProcess,

string My5thGBSProcess)

{

// Create example range for parameter CorrArrayProcesses_stochProcesses

CTQL.CTRangeData CorrArrayProcesses_stochProcesses;

string[] arrBCorrArrayProcesses_stochProcesses = {

MyGBSProcess,

My2ndGBSProcess,

My3rdGBSProcess,

My4thGBSProcess,

My5thGBSProcess // Array Data

};

CTQL.StringVector arrCorrArrayProcesses_stochProcesses =

new CTQL.StringVector(arrBCorrArrayProcesses_stochProcesses);

// Second parameter determines whether the array is a column array (false) or a row array (true)

CorrArrayProcesses_stochProcesses = new CTQL.CTRangeData(arrCorrArrayProcesses_stochProcesses, false);

// Create example range for parameter CorrArrayProcesses_corrMatrix

CTQL.CTRangeData CorrArrayProcesses_corrMatrix =

new CTQL.CTRangeData();

System.Text.StringBuilder CorrArrayProcesses_corrMatrix_builder =

new System.Text.StringBuilder(100);

// We could set the value for each cell individually, but for display

// purposes, this is quicker and more informative.

CorrArrayProcesses_corrMatrix_builder.Append("{");

CorrArrayProcesses_corrMatrix_builder.Append("1 | 0.7612 | 0.7799 | 0.7994 | 0.8274 ;");

CorrArrayProcesses_corrMatrix_builder.Append("0.7612 | 1 | 0.7859 | 0.8047 | 0.8341 ;");

CorrArrayProcesses_corrMatrix_builder.Append("0.7799 | 0.7859 | 1 | 0.8101 | 0.8422 ;");

CorrArrayProcesses_corrMatrix_builder.Append("0.7994 | 0.8047 | 0.8101 | 1 | 0.8477 ;");

CorrArrayProcesses_corrMatrix_builder.Append("0.8274 | 0.8341 | 0.8422 | 0.8477 | 1");

CorrArrayProcesses_corrMatrix_builder.Append("}");

CorrArrayProcesses_corrMatrix.RangeFromStr

(

CorrArrayProcesses_corrMatrix_builder.ToString()

);

// Key value to use as a handle for the created object

string MyCorrArrayProcesses = "MyCorrArrayProcesses" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Excel function call would be this - "CT.PRO.CorrArrayProcesses()"

// Creates an array of correlated one dimensional stochastic processes.

string rCorrArrayProcesses;

rCorrArrayProcesses = CTQL.CTProcessesSA.CorrArrayProcesses(

MyCorrArrayProcesses,

Reload,

CorrArrayProcesses_stochProcesses,

CorrArrayProcesses_corrMatrix);

return rCorrArrayProcesses;

}

// ///////////////////////////////////////////////////////////////////

private string ValueDateObjPart()

{

// Key value to use as a handle for the created object

string MyValuationDate = "MyValuationDate" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Valuation Date (typically equal to Today's date)

CTQL.Date ValueDate = new CTQL.Date("19/7/2005", "dd/mm/yyyy");

// Excel function call would be this - "CT.DATE.ValueDateObj()"

// Creates a centralized valuation date object.

string rValueDateObj;

rValueDateObj = CTQL.CTUtilsSA.ValueDateObj(

MyValuationDate,

Reload,

ValueDate.serialNumber());

return rValueDateObj;

}

// ///////////////////////////////////////////////////////////////////

private string GBSProcessPart(

string MyValuationDate)

{

// Key value to use as a handle for the created object

string MyGBSProcess = "MyGBSProcess" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial value.

double x0 = 80.0;

// risk free rate.

double rate = 0.05;

// External Rate (Dividend, foreign FX, holding cost) value.

double ext = 0.01;

// The DayCounter of the 'rate' and 'ext' parameters.

CTIEnums.DayCountEnum RateDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// volatility value of the process.

double sigma = 0.20;

// The DayCounter of the 'sigma' parameter.

CTIEnums.DayCountEnum VolDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.PRO.GBSProcess()"

// Creates a Generalized BlackScholes Process.

string rGBSProcess;

rGBSProcess = CTQL.CTProcessesSA.GBSProcess(

MyGBSProcess,

Reload,

MyValuationDate,

x0,

rate,

ext,

RateDayCount,

sigma,

VolDayCount);

return rGBSProcess;

}

// ///////////////////////////////////////////////////////////////////

private string GBSProcess__2Part(

string MyValuationDate)

{

// Key value to use as a handle for the created object

string My2ndGBSProcess = "My2ndGBSProcess" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial value.

double x0 = 100.0;

// risk free rate.

double rate = 0.055;

// External Rate (Dividend, foreign FX, holding cost) value.

double ext = 0.01;

// The DayCounter of the 'rate' and 'ext' parameters.

CTIEnums.DayCountEnum RateDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// volatility value of the process.

double sigma = 0.21;

// The DayCounter of the 'sigma' parameter.

CTIEnums.DayCountEnum VolDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.PRO.GBSProcess()"

// Creates a Generalized BlackScholes Process.

string rGBSProcess__2;

rGBSProcess__2 = CTQL.CTProcessesSA.GBSProcess(

My2ndGBSProcess,

Reload,

MyValuationDate,

x0,

rate,

ext,

RateDayCount,

sigma,

VolDayCount);

return rGBSProcess__2;

}

// ///////////////////////////////////////////////////////////////////

private string GBSProcess__3Part(

string MyValuationDate)

{

// Key value to use as a handle for the created object

string My3rdGBSProcess = "My3rdGBSProcess" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial value.

double x0 = 120.0;

// risk free rate.

double rate = 0.06;

// External Rate (Dividend, foreign FX, holding cost) value.

double ext = 0.025;

// The DayCounter of the 'rate' and 'ext' parameters.

CTIEnums.DayCountEnum RateDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// volatility value of the process.

double sigma = 0.22;

// The DayCounter of the 'sigma' parameter.

CTIEnums.DayCountEnum VolDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.PRO.GBSProcess()"

// Creates a Generalized BlackScholes Process.

string rGBSProcess__3;

rGBSProcess__3 = CTQL.CTProcessesSA.GBSProcess(

My3rdGBSProcess,

Reload,

MyValuationDate,

x0,

rate,

ext,

RateDayCount,

sigma,

VolDayCount);

return rGBSProcess__3;

}

// ///////////////////////////////////////////////////////////////////

private string GBSProcess__4Part(

string MyValuationDate)

{

// Key value to use as a handle for the created object

string My4thGBSProcess = "My4thGBSProcess" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial value.

double x0 = 60.0;

// risk free rate.

double rate = 0.45;

// External Rate (Dividend, foreign FX, holding cost) value.

double ext = 0.02;

// The DayCounter of the 'rate' and 'ext' parameters.

CTIEnums.DayCountEnum RateDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// volatility value of the process.

double sigma = 0.21;

// The DayCounter of the 'sigma' parameter.

CTIEnums.DayCountEnum VolDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.PRO.GBSProcess()"

// Creates a Generalized BlackScholes Process.

string rGBSProcess__4;

rGBSProcess__4 = CTQL.CTProcessesSA.GBSProcess(

My4thGBSProcess,

Reload,

MyValuationDate,

x0,

rate,

ext,

RateDayCount,

sigma,

VolDayCount);

return rGBSProcess__4;

}

// ///////////////////////////////////////////////////////////////////

private string GBSProcess__5Part(

string MyValuationDate)

{

// Key value to use as a handle for the created object

string My5thGBSProcess = "My5thGBSProcess" + "_" + System.Convert.ToString(nCTProcessSimCGlobal);

// When creating this object for the first time, set this parameter

// to a positive value.

int Reload = 1;

// Initial value.

double x0 = 110.0;

// risk free rate.

double rate = 0.04;

// External Rate (Dividend, foreign FX, holding cost) value.

double ext = 0.01;

// The DayCounter of the 'rate' and 'ext' parameters.

CTIEnums.DayCountEnum RateDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// volatility value of the process.

double sigma = 0.19;

// The DayCounter of the 'sigma' parameter.

CTIEnums.DayCountEnum VolDayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed;

// Excel function call would be this - "CT.PRO.GBSProcess()"

// Creates a Generalized BlackScholes Process.

string rGBSProcess__5;

rGBSProcess__5 = CTQL.CTProcessesSA.GBSProcess(

My5thGBSProcess,

Reload,

MyValuationDate,

x0,

rate,

ext,

RateDayCount,

sigma,

VolDayCount);

return rGBSProcess__5;

}