Package com.quantfinlib.simulation

package com.quantfinlib.simulation
Monte Carlo simulation: 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.
  • Classes
    Class
    Description
    MonteCarloSimulator
    Monte Carlo Portfolio Simulation.
    SimulationResult
    Analytics over Monte Carlo terminal portfolio values: probabilities, VaR/CVaR, confidence intervals and scenario extremes.