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Monte Carlo Scn Generator for Financial Instruments
Posted: April 13th, 2010, 9:46 pm
by tso
Does any know of any good software that I can download/purchase to generate correlated Monte Carlo scenarios for various asset classes? Thanks.
Monte Carlo Scn Generator for Financial Instruments
Posted: October 21st, 2010, 5:41 pm
by strimp099
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.)?
Monte Carlo Scn Generator for Financial Instruments
Posted: October 21st, 2010, 6:34 pm
by renorm
What do you mean by correlated Monte Carlo scenarios?
Monte Carlo Scn Generator for Financial Instruments
Posted: October 22nd, 2010, 1:03 pm
by strimp099
I assumed he meant running a Cholesky decomposition on a correlation matrix to correlate the random variables.