Monte Carlo — aprender-monte-carlo Finance + Business Simulation
Recipes for aprender-monte-carlo v0.31.2 — Monte Carlo simulation primitives optimized for financial and business forecasting (Geometric Brownian Motion, jump-diffusion, parametric VaR, scenario simulations).
Closes the ≥3 recipes per sister crate requirement from expand-cookbooks/subcrate-coverage.md.
Recipes
| # | Recipe | Citation |
|---|---|---|
| MC.1 | mc_stock_price_simulation_gbm | Black & Scholes (1973). DOI: 10.1086/260062 |
| MC.2 | mc_business_revenue_forecast | Savage (2009). The Flaw of Averages. ISBN: 978-0471381976 |
| MC.3 | mc_value_at_risk_historical_vs_parametric | Jorion (2007). Value at Risk (3rd ed). ISBN: 978-0071464956 |
API surface exercised
aprender::monte_carlo::prelude::{MonteCarloEngine, MonteCarloRng, GeometricBrownianMotion, TimeHorizon, VarianceReduction, percentile, VaR}- All deterministic via seeded RNG per IIUR
- Asserts known properties: GBM mean ≈ analytical, P50 ≤ P90, |hist_VaR − param_VaR| < ε
Provenance
Added during PMAT-082 (expand-cookbooks initiative, v6.1.0).