Skip to content
LQM Registry / simulation

Geometric Brownian Motion Simulator

Seeded stochastic path simulation with reproducible terminal distributions and sample paths.

Model keylq.simulation.geometric-brownian-motion
Version1.0.0
Runtimepython-process
Run governed modelTry browser demo
Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "initial_value",
        "drift",
        "volatility"
    ],
    "properties": {
        "initial_value": {
            "type": "number"
        },
        "drift": {
            "type": "number"
        },
        "volatility": {
            "type": "number"
        }
    }
}
Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "terminal_mean",
        "terminal_stddev",
        "terminal_quantiles",
        "sample_paths"
    ]
}
Default parameters
{
    "steps": 252,
    "scenarios": 1000,
    "dt": 0.00396825396825396803368590781246894039213657379150390625
}
Example input
{
    "initial_value": 100,
    "drift": 0.08000000000000000166533453693773481063544750213623046875,
    "volatility": 0.200000000000000011102230246251565404236316680908203125
}
Capabilities
cpu
← Back to public registry