numerix Class

Create numerix object to set up Numerix CAIL environment

Description

The numerix object makes the Numerix^® engine directly accessible from MATLAB^®. To use the capabilities of Numerix CAIL, you must have CAIL client software installed on your local desktop.

In addition, you must add the Numerix library file to MATLAB path to use the documentation examples:

• Add <Numerix software package installation root>/lib to <matlabroot>/toolbox/local/librarypath.txt

  or

• Place <Numerix software package installation root>/lib/NxProjava.dll in the folder <matlabroot>/bin/win64

To learn how value classes affect copy operations, see Copying Objects.

Creation

N = numerix(DATADIRECTORYPATH) constructs the numerix object and sets up the Numerix CrossAsset Integration Layer (CAIL) environment given the path, DATADIRECTORYPATH.

Properties

The following properties are from the numerix class.

Path — Path for DATADIRECTORYPATH

character vector

Defines the path for DATADIRECTORYPATH, specified as a character vector. This path is the location of the templates and is created by the client installation of CAIL. A template defines the interface; it encapsulates the instructions for performing calculations, the calculation's required and optional input parameters, and the calculation's outputs.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

RepositoryPath — Path for RepositoryPath

character vector

RepositoryPath defines the path location for the repository folder in a file system, specified as a character vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

Repository — Define repositories

vector

Repositories are collections of templates and are defined as a folder in a file system, specified as a vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: double

Context — CAIL application context in which to perform the calculations

vector

The calculation context manages all the CAIL information, specified as a vector. Context contains the location of the template repository and is responsible for creating a CAIL application context in which to perform the calculations.

Attributes:

GetAccess	public
SetAccess	public

Data Types: double

LookupsPath — Path for the numeric instruments data types

character vector

Defines the path for the numeric instruments data types, specified as a character vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

MarketsPath — Path for logical schema for naming market data

character vector

Defines a path for the logical schema for naming all the market data, specified as a character vector. MarketsPath enables you to provide a data dictionary to map business market data to CAIL to reduce the task of inputting market data into CAIL objects directly.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

FixingsPath — Path for schema for naming historical fixing data for rates and prices

character vector

Defines the path for the schema for naming historical fixing data for rates and prices, specified as a character vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

TradesPath — Path to trade instrument definitions

character vector

Defines the path to the trade instrument definitions, specified as a character vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: char

Parameters — Calculation parameters and market data

vector

Defines the calculation parameters and market data, if available, specified as a vector.

Attributes:

GetAccess	public
SetAccess	public

Data Types: double

Methods

Public Methods

parseResults

Converts Numerix CAIL data to MATLAB data types

Examples

Construct a Numerix Object

Initialize Numerix CAIL environment.

import com.numerix.integration.*;
import com.numerix.integration.implementation.*;

Construct a numerix object.

n = numerix('i:\NumeriX_java_10_3_0\data')

n = 

              Path: 'i:\NumeriX_java_10_3_0\data'
    RepositoryPath: 'i:\NumeriX_java_10_3_0\data\Repository'
        Repository: [1x1 com.numerix.integration.implementation.FileSystemRepository]
           Context: [1x1 com.numerix.integration.implementation.LocalCalculationContext]
       LookupsPath: 'i:\NumeriX_java_10_3_0\data\Data\LookupRules'
       MarketsPath: 'i:\NumeriX_java_10_3_0\data\Data\Markets'
       FixingsPath: 'i:\NumeriX_java_10_3_0\data\Data\Fixings'
        TradesPath: 'i:\NumeriX_java_10_3_0\data\Data\Trades'
        Parameters: [1x1 com.numerix.integration.implementation.CalculationParameters]

More About

CrossAsset Integration Layer (CAIL)

The CrossAsset Integration Layer (CAIL) is an application programming interface (API), which extends the data-driven approach of Numerix.

The calculation workflow of CAIL is:

1. Select a trade template for a specified deal or trade from the repository. The trade template specifies a set of inputs, a set of outputs, and the dependencies on other information (model, market data, calendar, and so on).

2. Provide the input parameters to the trade template and call the calculation context. The calculation context follows the dependency path to collect the needed information and produces the output specified by the template.

Version History

Introduced in R2013b