ismo-simulator v1.0.0

ISMO SIMULATOR

This is our repository for library that generates simulated quantile curves.

The module is based on the jStat module. In its documentation is described the function used in this module to represent martix, vectors and statistical distribution.

Using Simulator

const simulator = require('./simulator');
const param = {
  initAmount : 100,
  periodicAmount : 10,
  annualReturn : 0.0724,
  volatility : 0.1184,
  numberOfYears : 10
}
const curves = simulator.getSimul(param);

Curves is an array of curve. Each curve is an array containing all the values of the curve for each month. Each curve is a centile curve :

centiles = { 
                  topWorst    : 0.95,
                  topBest     : 0.75,
                  optimal     : 0.50,
                  bottomBest  : 0.25,
                  bottomWorst : 0.05 
                 };

The param object contains all the parameters needed to build the 5 curves :

initAmout: the common value y at the origin. periodicAmount: the monthly amount annualReturn: expected return of the profile. volatility: expected volatility of the profile. numbersOfYears: investment horizon. Determines the number of points for each curve (x12).