DemoTSMCValueAnalytical
[this page | pdf]
Function Description
Returns the analytic value (using MnBSCall) of the portfolio of
40 instruments used by MnDemoTSMC
NAVIGATION LINKS
Contents | Prev | Next
Output type / Parameter details
Output type: Double
Parameter Name | Variable Type | Description |
ImpliedVolatilities | Double() | Implied volatilities for the two indices |
PositionSizes | Double() | Position sizes for the 40 instruments in the portfolio |
Links to:
-
Interactively run function
-
Interactive instructions
-
Example calculation
-
Output type / Parameter details
-
Illustrative spreadsheet
-
Other Tri-segmented Monte Carlo Demonstration functions
-
Computation units used
Note: If you use any Nematrian web service either programmatically or interactively then you will be deemed to have agreed to the Nematrian website License Agreement