Monte Carlo Scn Generator for Financial Instruments

tso · April 13th, 2010, 9:46 pm

Does any know of any good software that I can download/purchase to generate correlated Monte Carlo scenarios for various asset classes? Thanks.

strimp099 · October 21st, 2010, 5:41 pm

It took me about two weeks to learn Python and write my own. Are the pricing models closed form? What types of instruments are you pricing? What type of sequence are you using (Sobol, Niederreiter, etc.)?

renorm · October 21st, 2010, 6:34 pm

What do you mean by correlated Monte Carlo scenarios?

strimp099 · October 22nd, 2010, 1:03 pm

I assumed he meant running a Cholesky decomposition on a correlation matrix to correlate the random variables.