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You're reading from  Practical Machine Learning Cookbook

Product typeBook
Published inApr 2017
Reading LevelIntermediate
PublisherPackt
ISBN-139781785280511
Edition1st Edition
Languages
Python
Tools
Apache Spark
Concepts
Machine Learning
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Author (1)
Atul Tripathi
Atul Tripathi
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Atul Tripathi

Atul Tripathi has spent more than 11 years in the fields of machine learning and quantitative finance. He has a total of 14 years of experience in software development and research. He has worked on advanced machine learning techniques, such as neural networks and Markov models. While working on these techniques, he has solved problems related to image processing, telecommunications, human speech recognition, and natural language processing. He has also developed tools for text mining using neural networks. In the field of quantitative finance, he has developed models for Value at Risk, Extreme Value Theorem, Option Pricing, and Energy Derivatives using Monte Carlo simulation techniques.
Read more about Atul Tripathi

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Monte Carlo simulations - calibrated Hull and White short-rates

Monte Carlo simulation is a stochastic simulation of system behavior. The simulation uses sampling experiments to be performed on the model and it then conducts numerical experiments using the computer to obtain a statistical understanding of the system behavior.

Getting ready

In order to perform Monte Carlo simulations for calibrated hull and white short-rates, data is taken from sample code that has been shipped with QuantLib 0.3.10, market data used to construct the term structure of interest rates and swaption volatility matrix with corresponding maturities and tenors.

Step 1 - installing the packages and libraries

Load the following packages:

    >install.packages("RQuantLib", type="binary")
    >install.packages("ESGtoolkit")
    >library(RQuantLib)
    >library(ESGtoolkit)

Note

Version info: Code for this page was tested in R version 3.2.2 (2015-08-14)

In order to make part of the Quantlib package accessible to...

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Practical Machine Learning Cookbook
Published in: Apr 2017Publisher: PacktISBN-13: 9781785280511
© 2017 Packt Publishing Limited All Rights Reserved

Author (1)

author image
Atul Tripathi

Atul Tripathi has spent more than 11 years in the fields of machine learning and quantitative finance. He has a total of 14 years of experience in software development and research. He has worked on advanced machine learning techniques, such as neural networks and Markov models. While working on these techniques, he has solved problems related to image processing, telecommunications, human speech recognition, and natural language processing. He has also developed tools for text mining using neural networks. In the field of quantitative finance, he has developed models for Value at Risk, Extreme Value Theorem, Option Pricing, and Energy Derivatives using Monte Carlo simulation techniques.
Read more about Atul Tripathi

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