Monte-Carlo Models
The qablet package includes a wrapper class to use any Monte-Carlo model from the finmc
package.
The dataset for Monte-Carlo Models should include a common section (MC
), and a model dependent section.
The common section has the following parameters.
- PATHS: The number of Monte-Carlo paths.
- TIMESTEP: The incremental timestep of simulation (in years).
- SEED: The seed for the random number generator.
e.g.
"MC": {
"PATHS": 100_000,
"TIMESTEP": 1 / 250,
"SEED": 1,
},
The model dependent section should include whatever is required by the corresponding finmc model.
finmc models
The finmc
package contains Monte-Carlo implementations of many financial models derived from a common interface class.
You can price qablet contracts using finmc
models by creating a model instance as follows.
from finmc.models.heston import HestonMC
from qablet.base.mc import MCPricer
model = MCPricer(HestonMC)
See a complete example here.
See the documentattion of finmc
models here -
The dataset should follow the requirements of the corresponding finmc model. Additionally,
it should contain the PRICING_TS
component for the datetime that we are calculating price as of.
dataset = {
"BASE": "USD",
"PRICING_TS": pricing_dt,
...