standard

engine

Monte-Carlo engine.

Note

  • the discounting is deterministic by design

  • the implementation supports multiprocessing

class Engine(configuration: ConfigurationStandard, process: Process)[source]

Bases: object

Standard Monte-Carlo engine

__init__(configuration: ConfigurationStandard, process: Process)[source]
Parameters

  • configuration – Monte-Carlo configuration

  • process – stochastic process

initialisation(mc_paths: int, product: Product) → None[source]
Parameters

  • mc_paths – number of Monte-Carlo paths

  • product – financial product to price

price(product) → MCStatistics[source]

Pricing of the product by the Monte-Carlo engine :param product: product to price