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Monte Carlo Simulation for Release 4.02 ( RELNBANK_402_RISK_MC )
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Monte Carlo Simulation for Release 4.02
Description
Release 4.02 supports a total of seven Monte Carlo simulation categories. There are four standard simulations:
- Bootstrapping
- Structurized Monte Carlo with Box Muller algorithm for generating the normally distributed samples
- Structurized Monte Carlo with Baum algorithm for generating the normally distributed samples
- Structurized Monte Carlo with Strata Gems algorithm from Michael Curran for generating the normally distributed samples
You can also define your own functions for generating the sample:
- You can implement your own function to generate normally distributed time series with a mean value of zero, a variance of one, and a covariance of zero (independent).
- You can also implement functions to generate the entire spread of market price changes. To describe the spread, SAP provides the following data:
- Covariance matrix for risk hierarchy
- Historic time series corresponding to risk hierarchy
- Covariance matrix and historic time series
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