A monte carlo simulation for extrapolated returns.
Project description
fullmonte
Monte Carlo simulations for extrapolated returns.
Dependencies :globe_with_meridians:
Python 3.11.6:
Raison D'être :thought_balloon:
fullmonte is a python library that implements the simulation and plotting of a monte carlo run on a financial return assuming normal distributions.
Installation :inbox_tray:
This is a python package hosted on pypi, so to install simply run the following command:
pip install fullmonte
Usage example :eyes:
A quick example of how to use this library is the following:
from fullmonte import simulate, plot
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
# Create some test data with a $100,000 initial investment
pct_ret = np.random.uniform(-0.1, 0.1, 252 * 10)
ret = np.concatenate((np.array([100000.0]), pct_ret + 1.0)).cumprod()
# Simulate monte carlo
df = simulate(pd.Series(ret))
print(df)
# Plot the monte carlo simulations
plot(df)
plt.show()
This will produce the following:
License :memo:
The project is available under the MIT License.
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