Class MonteCarloSimulator

java.lang.Object

com.quantfinlib.simulation.MonteCarloSimulator

public final class MonteCarloSimulator
extends Object

Monte Carlo Portfolio Simulation. Runs tens of thousands to hundreds of thousands of GBM scenarios in parallel across all cores; results are deterministic for a given seed regardless of thread scheduling.

Constructor Summary

Constructors

Constructor	Description
MonteCarloSimulator()
MonteCarloSimulator(long seed)

Method Summary

Modifier and Type	Method	Description
SimulationResult	simulate(double initialValue, double annualReturn, double annualVol, int horizonDays, int simulations)	Single-asset / whole-portfolio GBM simulation with daily steps.
SimulationResult	simulatePortfolio(double initialValue, double[] weights, double[] dailyMeanReturns, double[][] dailyCovariance, int horizonDays, int simulations)	Correlated multi-asset portfolio simulation using daily mean returns and daily covariance (e.g. estimated from historical returns).

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MonteCarloSimulator

public MonteCarloSimulator()

MonteCarloSimulator

public MonteCarloSimulator(long seed)

Method Details

simulate

public SimulationResult simulate(double initialValue,
 double annualReturn,
 double annualVol,
 int horizonDays,
 int simulations)

Single-asset / whole-portfolio GBM simulation with daily steps.

Parameters:

initialValue - starting portfolio value

annualReturn - annualized drift (e.g. 0.08)

annualVol - annualized volatility (e.g. 0.15)

horizonDays - trading days to simulate

simulations - number of scenarios (10_000+ recommended)

simulatePortfolio

public SimulationResult simulatePortfolio(double initialValue,
 double[] weights,
 double[] dailyMeanReturns,
 double[][] dailyCovariance,
 int horizonDays,
 int simulations)

Correlated multi-asset portfolio simulation using daily mean returns and daily covariance (e.g. estimated from historical returns).