StepMonteCarlo Example CPP
 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. // ################################################################################## #include <string>#include <exception>#include <sstream>#include <iomanip>// Point the "additional includes directory" within your editor to the following paths ( where <InstallFolder> is your installation folder)// <InstallFolder>/Libs/Headers/ (For the library header files)// <InstallFolder>/Libs/Client/ (For the client helper header and source files)// The helper files are optional and you can include only those files needed for your functionality// Each helper header/source file pair corresponds to a single QuantTools category of functions.// Include QuantTools library header files#include <QuantTools_all.hpp>// Include Client Helper QuantTools header files #include <QuantToolsClient_all.hpp>// For Debug builds add a reference to the CTQuantToolsCPPAPI20D.lib// For Release builds add a reference to the CTQuantToolsCPPAPI20.lib// You add a reference via the ProjectProperties->Linker->Input menu item// 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 long nCTProcessSimCGlobal = 0;// Used by parameters that take an optional range value. // In Excel we simply omit the value, within the API functions, // we pass an empty range objectCTRangeDataCPP oEmptyRange;std::string szTickedKeyName;std::ostringstream szTemp; std::string CPP_EX_StepMonteCarlo() { nCTProcessSimCGlobal += 1; std::string szErrorMsg = ""; try { // Creates a centralized valuation date object. std::string MyValuationDate; MyValuationDate = ValueDateObjPart(); // Creates a Generalized BlackScholes Process. std::string MyGBSProcess; MyGBSProcess = GBSProcessPart( MyValuationDate); // Creates a Generalized BlackScholes Process. std::string My2ndGBSProcess; My2ndGBSProcess = GBSProcess__2Part( MyValuationDate); // Creates a Generalized BlackScholes Process. std::string My3rdGBSProcess; My3rdGBSProcess = GBSProcess__3Part( MyValuationDate); // Creates a Generalized BlackScholes Process. std::string My4thGBSProcess; My4thGBSProcess = GBSProcess__4Part( MyValuationDate); // Creates a Generalized BlackScholes Process. std::string My5thGBSProcess; My5thGBSProcess = GBSProcess__5Part( MyValuationDate); // Creates an array of correlated one dimensional stochastic processes. std::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. std::string MyStepMonteCarlo; MyStepMonteCarlo = StepMonteCarloPart( MyCorrArrayProcesses, MyValuationDate); // This is the result we are looking for. return MyStepMonteCarlo;  } catch(std::exception e) { szErrorMsg = e.what(); throw; } catch(...) { throw; } } // ///////////////////////////////////////////////////////////////////std::string StepMonteCarloPart( std::string MyCorrArrayProcesses, std::string MyValuationDate){ // Create example range for parameter StepMonteCarlo_MandatoryDates // Column vector of 12 rows (indexed from 0, highest index of 11) CTRangeDataCPP StepMonteCarlo_MandatoryDates(12, 1); StepMonteCarlo_MandatoryDates.SetValue(0, 0, CT::Date::serialNumber("19/7/2005", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(1, 0, CT::Date::serialNumber("19/1/2006", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(2, 0, CT::Date::serialNumber("19/7/2006", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(3, 0, CT::Date::serialNumber("19/1/2007", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(4, 0, CT::Date::serialNumber("19/7/2007", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(5, 0, CT::Date::serialNumber("19/1/2008", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(6, 0, CT::Date::serialNumber("19/7/2008", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(7, 0, CT::Date::serialNumber("19/1/2009", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(8, 0, CT::Date::serialNumber("19/7/2009", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(9, 0, CT::Date::serialNumber("19/1/2010", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(10, 0, CT::Date::serialNumber("19/7/2010", "dd/mm/yyyy")); StepMonteCarlo_MandatoryDates.SetValue(11, 0, CT::Date::serialNumber("19/1/2011", "dd/mm/yyyy")); std::ostringstream szTemp; szTemp.str(""); szTemp << std::setw(0) << nCTProcessSimCGlobal; // Key value to use as a handle for the created object std::string MyStepMonteCarlo = std::string("MyStepMonteCarlo") + std::string("_") + szTemp.str(); // When creating this object for the first time, set this parameter // to a positive value. long Reload = 1; // Used to calculate time in years. DayCountEnum dayCounter = DayCount_30360; // The minimum number of steps that the discretization of the 'MandatoryDates' // parameter will take. long MinNoOfSteps = 50; // The random generator type to use. std::string MCMethod = "Pseudo"; // Seed value. long 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. std::string rStepMonteCarlo; rStepMonteCarlo = 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() )
