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Model[Simulation]"Model[Simulation]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Simulation.
This type supports both the corresponding structure expected by QuantLib in the course of applying QuantLib MonteCarlo and a pure Deriscope structure involved in the calculation of VaR and the pricing of tradables of type Structured Note
It supports the random number generators Random Generator and the optional usage of antithetic variable and brownian bridge.
In the special case of the quasi random Sobol generator, the technique of randomization is also supported as a means of calculating the associated standard error estimate.
The following functions are also available within Model[Simulation]: