Class ReturnSimulation

Monte Carlo return simulation with optional seed for reproducibility.

Index

Constructors

Properties

dframe jumpsLamda jumpsMu jumpsSigma meanAnnualReturn meanAnnualVol numberOfSims seed? tradingDays tradingDaysInYear

Accessors

realizedMeanReturn realizedVol results

Methods

toDateColumns fromGbm fromLognormal fromMertonJumpGbm fromNormal

Constructors

constructor

new ReturnSimulation(
    params: {
        dframe: number[][];
        jumps_lamda?: number;
        jumps_mu?: number;
        jumps_sigma?: number;
        mean_annual_return: number;
        mean_annual_vol: number;
        number_of_sims: number;
        seed?: number;
        trading_days: number;
        trading_days_in_year: number;
    },
): ReturnSimulation
Parameters
- params: {
      dframe: number[][];
      jumps_lamda?: number;
      jumps_mu?: number;
      jumps_sigma?: number;
      mean_annual_return: number;
      mean_annual_vol: number;
      number_of_sims: number;
      seed?: number;
      trading_days: number;
      trading_days_in_year: number;
  }
Returns ReturnSimulation
- Defined in src/simulation.ts:57

Properties

`Readonly`dframe

dframe: number[][]

`Readonly`jumpsLamda

jumpsLamda: number

`Readonly`jumpsMu

jumpsMu: number

`Readonly`jumpsSigma

jumpsSigma: number

`Readonly`meanAnnualReturn

meanAnnualReturn: number

`Readonly`meanAnnualVol

meanAnnualVol: number

`Readonly`numberOfSims

numberOfSims: number

`Optional` `Readonly`seed

seed?: number

`Readonly`tradingDays

tradingDays: number

`Readonly`tradingDaysInYear

tradingDaysInYear: number

Accessors

realizedMeanReturn

get realizedMeanReturn(): number
Returns number
- Defined in src/simulation.ts:88

realizedVol

get realizedVol(): number
Returns number
- Defined in src/simulation.ts:99

results

get results(): number[][]
Returns number[][]
- Defined in src/simulation.ts:81

Methods

toDateColumns

toDateColumns(
name: string,
options?: { asReturns?: boolean; end?: string; start?: string },
): { columns: { name: string; values: number[] }[]; dates: string[] }
Parameters
- name: string
- Optionaloptions: { asReturns?: boolean; end?: string; start?: string }
Returns { columns: { name: string; values: number[] }[]; dates: string[] }
- Defined in src/simulation.ts:252

`Static`fromGbm

fromGbm(
    number_of_sims: number,
    mean_annual_return: number,
    mean_annual_vol: number,
    trading_days: number,
    trading_days_in_year?: number,
    seed?: number,
): ReturnSimulation
Parameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
- Optionalseed: number
Returns ReturnSimulation
- Defined in src/simulation.ts:141

`Static`fromLognormal

fromLognormal(
    number_of_sims: number,
    mean_annual_return: number,
    mean_annual_vol: number,
    trading_days: number,
    trading_days_in_year?: number,
    seed?: number,
): ReturnSimulation
Parameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
- Optionalseed: number
Returns ReturnSimulation
- Defined in src/simulation.ts:172

`Static`fromMertonJumpGbm

fromMertonJumpGbm(
    number_of_sims: number,
    trading_days: number,
    mean_annual_return: number,
    mean_annual_vol: number,
    jumps_lamda: number,
    jumps_sigma?: number,
    jumps_mu?: number,
    trading_days_in_year?: number,
    seed?: number,
): ReturnSimulation
Parameters
- number_of_sims: number
- trading_days: number
- mean_annual_return: number
- mean_annual_vol: number
- jumps_lamda: number
- jumps_sigma: number = 0
- jumps_mu: number = 0
- trading_days_in_year: number = 252
- Optionalseed: number
Returns ReturnSimulation
- Defined in src/simulation.ts:203

`Static`fromNormal

fromNormal(
    number_of_sims: number,
    mean_annual_return: number,
    mean_annual_vol: number,
    trading_days: number,
    trading_days_in_year?: number,
    seed?: number,
): ReturnSimulation
Parameters
- number_of_sims: number
- mean_annual_return: number
- mean_annual_vol: number
- trading_days: number
- trading_days_in_year: number = 252
- Optionalseed: number
Returns ReturnSimulation
- Defined in src/simulation.ts:111