Scenario Info
Overview
The options used when creating the scenario are:
Item | Variable Name | Example |
---|---|---|
Scenario ID | scenario_id | "TESTSCENID1" |
Result ID | result_id | "TESTRESULTID1" |
ReferenceDate | reference_date | "20150902" |
ScenarioNum | scenario_num | 30 |
Delimiter | delimiter | "SPACE" |
MaxYear | maxyear | 30 |
RandomType | rnd_type | "SOBOL" |
RandomSubtype | rnd_subtype | "SOBOL" |
RandomSeed | rnd_seed | 1 |
RandomSkip | rnd_skip | 0 |
MomentMatching | moment_match | False |
Frequency | frequency | "monthly" |
FrequencyMonth | frequency_month | 10 |
FrequencyDay | frequency_day | 11 |
NPerYear | n_peryear | 52 |
BaseCurrency | base_currency | "USD" |
UseCPU Num | thread_num | 1 |
Scenario Num
This is the number of scenarios to be created. You usually use 200, 500, or 1,000 units. and it's minimum is 20 to 100,000.
sen1.general.scenario_num = 1000 # default = 30
Referenc eDate
The reference date of the scenario, which is the date corresponding to the start date. The base date format must be in the form yyyymmdd.
sen1.general.reference_date = '20181011' # default = 20150902
Delimiter
The separator text to be used when generating the scenario result file. Not used in Python Version.
sen1.general.delimiter = '|' # default = 'SPACE'
MaxYear
The scenario will be created up to the base date + (final maturity) year. The minimum value is 1 year, and the maximum is 120 years.
sen1.general.maxyear = 10 # default = 30
NPerYear
When the interval is set to 'custom', this is the number of intervals per year. When the interval is created as a decimal point, it is mapped to a date corresponding to the nearest integer part.
sen1.general.n_peryear = 52 # default = 30
Random Type
Sets the random number to use. Sobl, Crude can be used.
sen1.general.rnd_type = 'sobol' # default = 'sobol'
Random Subtype
Sets the detail type of the selected random type. You can make detailed settings as below.
- Sobol : ...
- Crude : 메르센, ...
sen1.general.rnd_subtype = 'jackel' # default = 'jackel'
Random Seed
This is the initial value(seed) used when generating a random number. When the initial values are fixed, a random number is generated in the same order.
sen1.general.rnd_seed = 0 # default = 1
Random Seed
This is a random number after skipping the set number of times based on the scenario.
예시) 10 -> 10번의 시나리오를 건너뜀
sen1.general.rnd_skip = 10 # default = 0
Moment Matching
Adjust posteriorly so that the theoretical(population) mean of each model is equal to the calculated(sample) mean of the generated scenarios.
sen1.general.moment_match = True # default = False
Frequency
Sets the interval of the interval. The frequency used is as follows. You must set the month or day you want to set as the year or month.
- monthly
- everyfourmonth
sen1.general.frequency = 'monthly' # default = 'monthly'
Frequency Month
Used when the interval period is set to years. This is the fixed month of the month.
sen1.general.frequency_monthly = 2 # default = 1
Frequency Day
Used when the interval period is set to year or month. This is a fixedly generated interval.
sen1.general.frequency_day = 1 # default = 1
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