Simulated Values
Key Simulated Values in Simulation Report refers to a table containing the simulated underlying variables plus various dependent quantities as these are generated during a simulation in the form of data contained in objects of type Simulation Node, as described below.
Every simulation involves the generation of several samples (also known as "scenarios" or "paths"), the exact number of which is specified at Scenarios
Each sample is essentially a discrete time path of u underlying variables U₁ , U₂ , ... , Uᵤ over r specific times t₁ , t₂ , ... , tᵣ
For example, the simulation may reference the market share prices of two different stocks A and B, in which case the simulation generates discrete time paths of u = 2 underlying variables.
In the case of a knock-out barrier that is observed monthly over a period of 4 months, the discrete time paths involve the 4 times t₁ , t₂ , t₃ , t₄ separated from each other by one month.
One specific sample corresponds to the array of share price pairs:
(x₁ , y₁) , (x₂ , y₂) , (x₃ , y₃) , (x₄ , y₄)
where (xᵢ , yᵢ) are the simulated share prices of A and B respectively at time tᵢ.
In the general case, contingent on the simulated share prices U₁ , U₂ , ... , Uᵤ at a time tᵢ, several things may or may not happen.
Certain events may be triggered and potential payoff amounts may need to be calculated and paid out.
All quantities characterizing the underlying variables, triggered (or not triggered) events and payoff amounts pertaining to a particualr time tᵢ are referred summarily as a "node" and represented by an object of type Simulation Node
In the above example of the two stocks A and B, each sample will involve exactly 4 nodes.
The table here contains directly objects of type Simulation Node only if it has been so requested by setting Compact Report = true in the input object of type Model[Simulation]
In the default case where Compact Report = false, the contents of each Model[Simulation] object are directly listed in the table.
Most of the text labels reported in the table correspond directly to the same-named Keys found in Model[Simulation] and therefore their description can be found in those keys.
Note, two columns are allocated to each sample and the number of reported samples is controlled by the entry in Reported Scenarios in the input object of type Model[Simulation]
Also note that in the default case only the nodes that carry a financial significance in the respective sample are reported with all other nodes being skipped.
It is possible to have all nodes reported by setting Report All Nodes = true in the input object of type Model[Simulation]