Package com.quantfinlib.simulation
@NullMarked
package com.quantfinlib.simulation
Monte Carlo simulation of portfolio and multi-asset price paths.
MonteCarloSimulator runs GBM scenarios
(single portfolio or correlated multi-asset via Cholesky) in parallel
across cores, deterministic per seed;
SimulationResult provides the outcome
analytics — probability of profit/loss, VaR/CVaR, confidence intervals,
best/worst/expected/median terminal values.-
ClassDescriptionMonte Carlo simulation of geometric Brownian motion, single- and multi-asset, in parallel; results are deterministic for a given seed regardless of thread scheduling (each scenario has its own
SplittableRandomstream derived from the seed).Monte Carlo estimate: mean, its standard error, and the number of independent samples.Payoff of one simulated path.Analytics over Monte Carlo terminal portfolio values: probabilities, VaR/CVaR, confidence intervals and scenario extremes.