• Does ActiveMargin™ provide for a robust random number generation scheme? |
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ActiveMargin™ provides the following random number generators by default
- Park-Miller
- Park-Miller with BD Shuffle
- L'Ecuyer
- Knuth
- Pseudo-DES Hashing
- Windows Default
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| • Does ActiveMargin™ allow for different distributions of returns during Monte Carlo generation? |
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ActiveMargin™ currently implements the following distributions
- Gaussian Distribution
- Mixed-Normal Distribution
Implementation of a Generalised Error Distribution is underway, and will be part of the next release.
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| • Does ActiveMargin™ allow for stochastic volatility during Monte Carlo simulations? |
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Yes. ActiveMargin™ considers the time series of implied volatilities to arrive at the volatility of the implied vols, as also the correlations with other risk factors. In doing so, ActiveMargin™ generates a volatility surface from available data on implied vols, risk reversal and strangle vols, and interpolates required vols from this surface. With such a methodology, ActiveMargin™ comprehensively covers vega risk on all option positions.
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