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Correlated Multi-Asset GBM Simulator

Seeded multi-asset geometric Brownian motion using a validated covariance matrix and Cholesky-correlated innovations.

Model keylq.simulation.correlated-gbm
Version1.0.0
Runtimepython-process
Run governed modelTry browser demo
Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "initial_values",
        "drifts",
        "covariance"
    ]
}
Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "terminal_summary",
        "sample_paths",
        "steps",
        "scenarios",
        "assets"
    ]
}
Default parameters
{
    "steps": 60,
    "scenarios": 500,
    "dt": 0.00396825396825396803368590781246894039213657379150390625,
    "sample_paths": 4
}
Example input
{
    "initial_values": [
        100,
        80
    ],
    "drifts": [
        0.070000000000000006661338147750939242541790008544921875,
        0.040000000000000000832667268468867405317723751068115234375
    ],
    "covariance": [
        [
            0.040000000000000000832667268468867405317723751068115234375,
            0.0120000000000000002498001805406602215953171253204345703125
        ],
        [
            0.0120000000000000002498001805406602215953171253204345703125,
            0.022499999999999999167332731531132594682276248931884765625
        ]
    ]
}
Capabilities
cpusimulationmultivariate
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