DemoTSMCValueSim
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Function Description
Returns an array of (nUnderlying + nAdded)
terms representing computed present values of payoffs for simulations of the portfolio
payoffs used by MnDemoTSMC
NAVIGATION LINKS
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Output type / Parameter details
Output type: Double()
| Parameter Name | Variable Type | Description |
| nUnderlying | Integer | Number of underlying simulations |
| nAdded | Integer | Number of added simulations |
| nDims | Integer | Number of dimensions per simulaton |
| BaseSimulationsUAndA | Double() | Base simulations (unit normal random variables) |
| ImpliedVolatilities | Double() | Implied volatilities for the two indices |
| PositionSizes | Double() | Position sizes for the 40 instruments in the portfolio |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Tri-segmented Monte Carlo Demonstration functions
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Computation units used
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