Model[Simulation]


"Model[Simulation]" is a special type of Model
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with functions Model[Simulation] Functions, keys Model[Simulation] keys and example object SimMdl

TYPE INCLUSION RELATIONSHIPS

Model Probability Measure

Model Simulation

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AVAILABLE FUNCTIONS

Create

Random Generator Values

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AVAILABLE CREATE FUNCTION KEYS

Absolute Tolerance

Antithetic

Brownian Bridge

Calibration Samples

Compact Report

Control Variate

Discretization

Early Exercise

Force Discretization

Histogram Buckets

Lsm Basis System

Parallelization

Polynomial Order

Quantile Probs

Random Generator

Randomized Averages

Randomized Runs

Report All Nodes

Report Distribution

Report Quantile Std Devs

Report Quantiles

Reported Scenarios

Scenarios

Seed

Simulation Type

Sobol Constraints

Steps

Use Brownian Bridge

Use Control Variate

Use LSM

Vol Time DC

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TYPICAL OBJECTS OF TYPE Model[Simulation]

SimMdl

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This type represents modelling assumptions relating to the type Simulation that may be needed during some valuation algorithm.
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 Product
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.