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License: MIT License
Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )
License: MIT License
I noticed that when generating the scenario by multi-assets, you consider the correlations. But, seems that the correlation matrix is generated by mx.IdentityMatrix(), and this one seems not to be implemented? Right?
BTW, if you considered the correlation matrix, what method will be used to calibrate the corr matrix?
Thanks!
How can I install mxdevtool-python in ARM cpu computer? Need to build the whole from scratch in an ARM computer env? Will you release an arm version?
no a distribution for darwin version!
hi, I have tested the CIR1F model, seems the sigma value range can not be larger than 0.1, if set to 0.3, the error occur.
cir1f = xen.CIR1F('cir1f', r0=0.02, alpha=0.1, longterm=0.042, sigma=0.03)
Is that correct?
Thanks.
I search all document in the repository, and I found out that the if I use fitted curve, like below:
tenor_rates = [('3M', 0.0151, 0.01),
('6M', 0.0152, 0.01),
('9M', 0.0153, 0.01),
('1Y', 0.0154, 0.01),
('2Y', 0.0155, 0.01),
('3Y', 0.0156, 0.01),
('4Y', 0.0157, 0.01),
('5Y', 0.0158, 0.01),
('7Y', 0.0159, 0.01),
('10Y', 0.0160, 0.01),
('15Y', 0.0161, 0.01),
('20Y', 0.0162, 0.01)]
models = [hw1f]
corrMatrix = mx.IdentityMatrix(len(models))
timegrid1 = mx.TimeDateGrid_Equal(refDate=ref_date, maxYear=3, nPerYear=1)
results2 = xen.generate(models=models, calcs=None, corr=corrMatrix, timegrid=timegrid1,
rsg=sobol_rsg, filename=filename2, isMomentMatching=False)
ndarray = results2.toNumpyArr()
I found out that ndarray output only contained the very first tenor(3M tenor), may I ask how I can get the whole term tenors generated rates, like 9M, 1Y, 2Y, 3Y,....
hi, I noticed that you recreated the timegrid class, and what the detailed paremeters discriptions on both class init, say frequency_month,and frequency_day?
timegrid3 = mx.TimeGrid(refDate=ref_date, maxYear=10, frequency='endofmonth')
timegrid4 = mx.TimeGrid(refDate=ref_date, maxYear=10, frequency='custom', frequency_month=8, frequency_day=10)
what the meaning on frequency_month=8, frequency_day=10? and what is the different if frequency_month=1, frequency_day=1?
import mxdevtool as mx
File "E:\PyEnv\esgproEnv\lib\site-packages\mxdevtool_init_.py", line 7, in
from .mxdevtool import *
File "E:\PyEnv\esgproEnv\lib\site-packages\mxdevtool\mxdevtool.py", line 13, in
from . import _mxdevtool
ImportError: DLL load failed: The specified module could not be found.
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