function montecarlovar
montecarlovar(
x: array,
p?: number,
nsim?: number,
period?: number,
amount?: number,
mode?: string,
dim?: 0 | 1,
): number

Monte Carlo Value-At-Risk.

Monte Carlo simulation for VaR calculation

Examples

Monte Carlo VaR for single asset

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

// Note: This function currently has implementation issues with the random number generator
// The following demonstrates the intended usage pattern:
// const mcVar = montecarlovar(x, 0.95, 1000);
// assertEquals(typeof mcVar, "number");

// For now, we'll just verify the function exists
assertEquals(typeof montecarlovar, "function");

Parameters

x: array

array of values

optional
p: number

confidence level in the range [0,1] (def: 0.95)

optional
nsim: number

number of simulations (def: 1000)

optional
period: number

time horizon (def: 1)

optional
amount: number

amount (def: 1)

optional
mode: string

calculation mode: 'simple' (default) or 'continuous'

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

number

Monte Carlo Value-At-Risk

montecarlovar(
x: matrix,
p?: number,
nsim?: number,
period?: number,
amount?: number,
mode?: string,
dim?: 0 | 1,
): array | matrix

Monte Carlo Value-At-Risk.

Monte Carlo simulation for VaR calculation

Examples

Monte Carlo VaR for single asset

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

// Note: This function currently has implementation issues with the random number generator
// The following demonstrates the intended usage pattern:
// const mcVar = montecarlovar(x, 0.95, 1000);
// assertEquals(typeof mcVar, "number");

// For now, we'll just verify the function exists
assertEquals(typeof montecarlovar, "function");

Parameters

array of values

optional
p: number

confidence level in the range [0,1] (def: 0.95)

optional
nsim: number

number of simulations (def: 1000)

optional
period: number

time horizon (def: 1)

optional
amount: number

amount (def: 1)

optional
mode: string

calculation mode: 'simple' (default) or 'continuous'

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

Monte Carlo Value-At-Risk

Usage

import montecarlovar from "quants/montecarlovar.ts";