Fairmat repository1.9
Version1.0.5
Version date19.04.2013
Requirements
Documentation View
Source Source

Historical Simulator

License: Free
Author: Fairmat srl

Historical Simulator plug-in allows you to simulate underlying asset trajectories using historical time series (i.e. stored in CSV files on the file system) data.
The plug-in can either simulate forward prices by translating forward the recorded price series, or can boostrap historical returns. Possible applications can be to check the behaviour of a deal using historical realizations, or to build cases where Monte Carlo simulation is mixed with deterministic trajectories.

Tags: Stochastic Process, Bootstrap
Downloads: 748