Price Simulator Settings

When this is provided and the prices field is not set the price simulator will be called to fill in the prices field before the simulation will be performed.

The price simulator has a lot of settings for information about these please read more in the Price Simulator section of the documentation.

Make sure to use the example below for the formatting when setting these settings.

Format

name	type
type	object
required	true

Example

priceSimulator:
  maturity: 1.0
  random_seed_price: 42
  random_seed_sigma: 42
  random_seed_black_swan: 42
  volatility_mode: "cccgarch"
  historicalDataBlockRange: [16085600, 16100000]
  settings:
    market_drift: [0, 1]
    enable_black_swan_event: false
    black_swan_must_happen_by: 0.8
    black_swan_cannot_happen_before: 0.3
    black_swan_range: [0.3, 0.5]
    black_swan_step_length: 100
    black_swan_kappa: 0.3
    black_swan_theta: 0.02
    black_swan_xi: 0.1
    volatility_scale: 1.0
    max_percentage_change: 0.2
    max_value_percentage: 1.0
    min_value_percentage: 1.0