Practical Machine Learning Cookbook

Monte Carlo simulations - calibrated Hull and White short-rates

Monte Carlo simulation is a stochastic simulation of system behavior. The simulation uses sampling experiments to be performed on the model and it then conducts numerical experiments using the computer to obtain a statistical understanding of the system behavior.

Getting ready

In order to perform Monte Carlo simulations for calibrated hull and white short-rates, data is taken from sample code that has been shipped with QuantLib 0.3.10, market data used to construct the term structure of interest rates and swaption volatility matrix with corresponding maturities and tenors.

Step 1 - installing the packages and libraries

Load the following packages:

    >install.packages("RQuantLib", type="binary") ...