EconomicScenarioGenerators.BlackScholesMerton
— TypeBlackScholesMerton(r,q,σ,initial)
An equity price model where initial
is the initial value of the security.
r
is the risk free rateq
is the dividend yieldσ
is the volatility for the unit period
Example
julia> m = BlackScholesMerton(0.01,0.02,.15,100.)
BlackScholesMerton{Float64, Float64, Float64}(0.01, 0.02, 0.15, 100.0)
julia> s = ScenarioGenerator(1/252,1.,m,Random.Xoshiro(123))
ScenarioGenerator{Float64, BlackScholesMerton{Float64, Float64, Float64}, Xoshiro}(0.003968253968253968, 1.0, BlackScholesMerton{Float64, Float64, Float64}(0.01, 0.02, 0.15, 100.0), Xoshiro(0xfefa8d41b8f5dca5, 0xf80cc98e147960c1, 0x20e2ccc17662fc1d, 0xea7a7dcb2e787c01))
julia> collect(s)
253-element Vector{Float64}:
100.0
99.38331866043562
98.01039338118557
⋮
88.57032295705861
88.40149667285587
EconomicScenarioGenerators.ConstantElasticityofVariance
— TypeConstantElasticityofVariance(r,q,σ,β,initial)
Where initial
is the initial value of the security.
EconomicScenarioGenerators.Correlated
— TypeCorrelated(v::Vector{ScenarioGenerator},copula,RNG::AbstractRNG)
An iterator which uses the given copula to correlate the outcomes of the underling ScenarioGenerators. The copula returns the sampled CDF which the individual models will interpret according to their own logic (e.g. the random variate for the BlackScholesMerton model assumes a normal variate within the diffusion process).
The time
and timestep
of the underlying ScenarioGenerators are asserted to be the same upon construction.
A Correlated
can be iterate
d or collect
ed. It will iterate through each sub-scenario generator and yield the time series of each (as opposed to iterating through each timestep for all models at each step).
Examples
using EconomicScenarioGenerators, Copulas
m = BlackScholesMerton(0.01,0.02,.15,100.)
s = ScenarioGenerator(
1, # timestep
30, # projection horizon
m, # model
)
ss = [s,s] # these don't have to be the exact same
g = ClaytonCopula(2,7)
c = Correlated(ss,g)
# collect a vector of two correlated paths.
collect(c)
EconomicScenarioGenerators.CoxIngersollRoss
— TypeCoxIngersollRoss(a,b,σ,initial::FinanceCore.Rate)
A one-factor interest rate model. Parameters:
- `a` characterizes the speed of mean reversion
- `b` is the long term mean level
- `σ` is the instantaneous volatility
Via Wikipedia: https://en.wikipedia.org/wiki/Cox%E2%80%93Ingersoll%E2%80%93Ross_model
Can be reinterpreted as a yield curve from Yields.jl with YieldCurve(s::ScenarioGenerator)
Example
julia> m = CoxIngersollRoss(0.136,0.0168,0.0119,Yields.Continuous(0.01))
CoxIngersollRoss{FinanceCore.Rate{Float64, Continuous}}(0.136, 0.0168, 0.0119, FinanceCore.Rate{Float64, Continuous}(0.01, Continuous()))
julia> s = EconomicScenarioGenerators.ScenarioGenerator(
0.5, # timestep
30., # projection horizon
m
);
julia> collect(s)
61-element Vector{FinanceCore.Rate{Float64, Continuous}}:
FinanceCore.Rate{Float64, Continuous}(0.01, Continuous())
FinanceCore.Rate{Float64, Continuous}(0.010355508443426625, Continuous())
⋮
FinanceCore.Rate{Float64, Continuous}(0.01170589378629289, Continuous())
julia> YieldCurve(s)
⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀Yield Curve (Yields.BootstrapCurve)⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀
┌────────────────────────────────────────────────────────────┐
0.018 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│ Zero rates
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠤⠒⠒⠒⠒⠦⢄⡀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⡤⠒⠉⠀⠀⠀⠀⠀⠀⠀⠀⠈⠑⠢⢄⣀⡀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⡤⠋⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠉⠉⠉⠉⠉⠉⠓⠒⠒⠒⠒⠒⠒⠒⠒⠒⠒│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⡤⠖⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⡠⠔⠊⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⠔⠋⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
Continuous │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⣀⡠⠤⠊⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⢀⡤⠊⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⢀⡔⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⢀⠎⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⢀⡎⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⢠⠎⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠢⠔⠃⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
0.009 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
└────────────────────────────────────────────────────────────┘
⠀0⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀time⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀30⠀
EconomicScenarioGenerators.HullWhite
— TypeHullWhite(a,σ,curve::Yields.AbstractYield)
An interest model that should be market consistent with the given curve
.
Via Wikipedia: https://en.wikipedia.org/wiki/Hull%E2%80%93White_model
EconomicScenarioGenerators.ScenarioGenerator
— TypeScenarioGenerator(timestep::M,endtime::N,model,RNG::AbstractRNG) where {M<:Real, N<:Real}
A ScenarioGenerator
is an iterator which yields the time series of the model. It takes the parameters of the scenario generation such as timestep
and endtime
(the time horizon). model
is any EconomicModel from the EconomicScenarioGenerators
package.
A ScenarioGenerator
can be iterate
d or collect
ed.
Examples
m = Vasicek(0.136,0.0168,0.0119,Continuous(0.01)) # a, b, σ, initial Rate
s = ScenarioGenerator(
1, # timestep
30, # projection horizon
m, # model
)
EconomicScenarioGenerators.Vasicek
— TypeVasicek(a,b,σ,initial::FinanceCore.Rate)
A one-factor interest rate model. Parameters:
a
characterizes the speed of mean reversionb
is the long term mean levelσ
is the instantaneous volatility
See more on Wikipedia: https://en.wikipedia.org/wiki/Vasicek_model
Can be reinterpreted as a yield curve from Yields.jl with YieldCurve(s::ScenarioGenerator)
Example
julia> m = Vasicek(0.136,0.0168,0.0119,Yields.Continuous(0.01))
Vasicek{FinanceCore.Rate{Float64, Continuous}}(0.136, 0.0168, 0.0119, FinanceCore.Rate{Float64, Continuous}(0.01, Continuous()))
julia> s = EconomicScenarioGenerators.ScenarioGenerator(
0.5, # timestep
30., # projection horizon
m
);
julia> collect(s)
61-element Vector{FinanceCore.Rate{Float64, Continuous}}:
FinanceCore.Rate{Float64, Continuous}(0.01, Continuous())
FinanceCore.Rate{Float64, Continuous}(0.010455802777823464, Continuous())
⋮
FinanceCore.Rate{Float64, Continuous}(-0.0027467625238898194, Continuous())
julia> YieldCurve(s)
⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀Yield Curve (Yields.BootstrapCurve)⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀
┌────────────────────────────────────────────────────────────┐
0.03 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│ Zero rates
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⢀⡠⠤⠤⣀⣀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⣀⣀⠀⠀⠀⠀⠀⠀⠀⠀⣀⠤⠖⠒⠒⠒⠋⠉⠉⠉⠉│
│⠀⠀⠀⠀⠀⠀⠀⡠⠒⠒⠒⠒⠒⠒⠒⠒⠢⠤⠤⠊⠁⠀⠀⠀⠀⠀⠉⠑⠢⣄⣀⡠⠤⠤⠤⠤⠖⠊⠉⠁⠀⠉⠉⠑⠒⠉⠉⠉⠉⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⡜⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
Continuous │⠀⠀⠀⠀⠀⡸⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⢠⠃⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⣀⣀⠇⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠉⠉⠁⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
│⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
0 │⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀│
└────────────────────────────────────────────────────────────┘
⠀0⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀time⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀⠀30⠀