StepMonteCarlo Example CPPNET
 C++.NET 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 <mscorlib.dll>// If you add a reference via the Visual Studio project, // then the following line is not needed.#using <QuantToolsNET.v2.dll> using namespace System;// 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(); public: String* CPPNET_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; Int32 arrBStepMonteCarlo_MandatoryDates[] = { CTQL::Date::serialNumber(S"19/7/2005", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2006", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/7/2006", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2007", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/7/2007", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2008", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/7/2008", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2009", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/7/2009", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2010", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/7/2010", S"dd/mm/yyyy"), CTQL::Date::serialNumber(S"19/1/2011", S"dd/mm/yyyy") // Array Data }; CTQL::IntVector* arrStepMonteCarlo_MandatoryDates = new CTQL::IntVector(__try_cast<Array*>(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 = String::Format(S"{0}_{1}", S"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. CTQL::CTIEnums::DayCountEnum dayCounter = CTQL::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 = S"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() )
