CapeTools (Full) Process Simulation

General Description

Functions to construct and simulate Equity, Future, FX or Commodity type stochastic processes.

The (Full) indicates that if one wishes to conduct 50000 simulations, all 50000 simulations will be simulated in one shot, via the ProcessViewer function.

All further functions that refers to the object constructed by the ProcessViewer function simply reads data from the object. No further simulation takes place.

The benefit of this method is that enough information is returned for you to conduct your own customised monte-carlo pricing within your own environment (you can additionally use the functions present within the CapeTools Generic MonteCarlo Pricer category of functions.). Because all the paths are retained, with a little more work, you can compute the risk parameters of your product (not present within the CapeTools Generic MonteCarlo Pricer category of functions.)

Unfortunately, this object will utilize a lot of memory if you specify a huge amount of paths to be simulated.

You may want to use the DeleteObject() function to remove the simulation object from memory once you have priced you product.

Alternatively, you may want to use the functions present within the CapeTools (Compact) Process Simulation category of functions. Here each time you execute the MCNextStep function from a constructed StepMonteCarlo object a new path is generated and the previous path destroyed.

This uses less memory, but makes it difficult for you to compute risk numbers using the original paths.