simulate_monte_carlo_pfe
Runs Monte Carlo simulation to project Potential Future Exposure (PFE) profiles and Peak Forward Exposure across multi-year tenors for a portfolio of trades.
Instructions
Executes high-performance Monte Carlo simulation (using native C++20 multithreaded core) to project Potential Future Exposure (PFE) profiles and Peak Forward Exposure across multi-year tenors (0.25y to 30y).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| trades | Yes | List of trades to simulate exposure for | |
| volatility | No | Annualized market volatility factor | |
| portfolio_id | Yes | Portfolio identifier | |
| mean_reversion | No | Mean reversion speed for rate/asset diffusion | |
| num_simulations | No | Number of Monte Carlo paths (default 10,000) |