Runs stochastic credit model

Runs the stochastic model. The number of simulations specified in config file. Option to run in parallel over a number of CPUs - specified by num_workers. Only first 3 parameters required. Subsequent parameters are only required if you want to overwrite the standard parameters for a specific scenario. e.g. different bond portfolio, rebalance strategy, maturity date etc.

run_stochastic_model(
  num_workers = 1,
  parameters,
  config,
  seed_number = NA,
  default_recovery = NA,
  correlation = NA,
  duration = NA,
  num_simulations = NA,
  maturity_cashflow = NA,
  model_concentration = NA,
  debug_outputs = NA,
  end_year_rebalance = NA,
  sector = NA,
  date = NA,
  transition_vector = NA,
  portfolio_name = NA,
  concentration_name = NA
)

Arguments

num_workers

Number of parallel workers to use (default = 1)

parameters

Parameters

config

Config

seed_number

Overwrite parameter for model run

default_recovery

Overwrite parameter for model run

correlation

Overwrite parameter for model run

duration

Overwrite parameter for model run

num_simulations

Overwrite parameter for model run

maturity_cashflow

Overwrite parameter for model run

model_concentration

Overwrite parameter for model run

debug_outputs

Overwrite parameter for model run

end_year_rebalance

Overwrite parameter for model run

sector

Overwrite parameter for model run

date

Overwrite parameter for model run

transition_vector

Overwrite parameter for model run

portfolio_name

Overwrite parameter for model run

concentration_name

Overwrite parameter for model run

Value

Modelling results

Examples

parameters <- get_sample_parameters()
config <- get_config()
model_results <- c()
model_results$model_scenario <- run_stochastic_model(
  num_workers = 1,
  parameters = parameters,
  config = config,
  portfolio_name = "1000_BBB",
  duration = 5,
  end_year_rebalance = 3
)
#> 1.45 sec elapsed