Monte Carlo Simulation¶

Stating the Problem¶

In this example we consider a portfolio of plain vanilla options.

We are interested in simulating various scenarios for the underlying market observables and the perform the following analysis:

• calculate all the transactions within the portfolio
• filter cashflow transaction from or to a particular portfolio node
• price the cashflow transactions
• aggregate the prices

The Impementation¶

• scenarios are simulated with a multivariate Black-Scholes model
• The scenarios form an Enumerator, where each scenario is itself an Enumerator of quotes events.
• These Enumerators are transformed by mapping, folding and filtering operaters, which are implemented as Iteratees.

The source source code.

Running ths code yield the following output: