Class SimulationResult

java.lang.Object
com.quantfinlib.simulation.SimulationResult
public final class SimulationResult extends Object
Analytics over Monte Carlo terminal portfolio values: probabilities, VaR/CVaR, confidence intervals and scenario extremes.

  • Constructor Details

    • SimulationResult

      public SimulationResult(double initialValue, double[] finalValues)

  • Method Details

    • initialValue

      public double initialValue()

    • simulations

      public int simulations()

    • probabilityOfProfit

      public double probabilityOfProfit()

    • probabilityOfLoss

      public double probabilityOfLoss()

    • valueAtRisk

      public double valueAtRisk(double confidence)
      VaR at the given confidence as a positive loss fraction of the initial value.

    • conditionalValueAtRisk

      public double conditionalValueAtRisk(double confidence)
      CVaR: average loss fraction in the tail beyond the VaR quantile.

    • confidenceInterval

      public double[] confidenceInterval(double level)
      Two-sided confidence interval of terminal value, e.g. level = 0.90 → [p5, p95].

    • bestCase

      public double bestCase()

    • worstCase

      public double worstCase()

    • expectedValue

      public double expectedValue()

    • medianValue

      public double medianValue()

    • toString

      public String toString()
      Overrides:
      toString in class Object