StepMonteCarlo Example JS
 J# 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. // ################################################################################## import 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.import 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 = 0;// 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 objectstatic CTQL.CTRangeData oEmptyRange = new CTQL.CTRangeData();String szTickedKeyName; public String JS_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; } catch(System.ApplicationException e) { szErrorMsg = e.get_Message(); } } // ///////////////////////////////////////////////////////////////////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;} |
High level view of the code structure (resulting in the final function call to StepMonteCarlo() )
