BlackScholesMerton(r,q,σ,initial)

An equity price model where initial is the initial value of the security.

• r is the risk free rate
• q is the dividend yield
• σ 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

ConstantElasticityofVariance(r,q,σ,β,initial)

Where initial is the initial value of the security.

Correlated(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 iterated or collected. 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)

CoxIngersollRoss(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⠀           

HullWhite(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

ScenarioGenerator(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 iterated or collected.

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
    )

Vasicek(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

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⠀