The Nematrian Function Library
Tri-segmented Monte Carlo Demonstration Functions
[this page | pdf | back links]
The Nematrian function library includes a range of tools that
are useful for demonstrating concepts underlying tri-segmented Monte Carlo.
The web functions available include ones set out in the
table below. To see a complete list of functions currently available in the
Nematrian online toolkit please go to list of types of available
functions or complete
list of individual functions.
NAVIGATION LINKS
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Web function | Short description of function |
MnDemoTSMC | Returns an array containing estimated portfolio value, estimated (run-off) quantile and estimated control variate variance ratio |
MnDemoTSMCSimGen | Returns an array of simulations for use with DemoTSMC |
MnDemoTSMCStrikes | Returns the strikes of the instruments used by DemoTSMC |
MnDemoTSMCTerms | Returns the terms of the instruments used by DemoTSMC |
MnDemoTSMCUnderlyings | Returns codes for the underlyings of the instruments used by DemoTSMC |
MnDemoTSMCValueAnalytical | Returns analytically calculated value of portfolio used by DemoTSMC |
MnDemoTSMCValueSim | Returns an array of payoff present values for DemoTSMC |