1. Cash Flow Engine Reference Guide
  2. Boundaries and Limitations
  3. Oracle Asset Liability Management
  4. Stochastic (Monte Carlo)/ Historical Simulation

5.1.19 Stochastic (Monte Carlo)/ Historical Simulation

  • There is a maximum of 2,100 rate paths.
  • The Value at Risk (VaR) Term has a maximum of 10 years.
  • Historical/Monte Carlo Simulation is a single factor modeling of interest rates of Reporting Currency. Run Historical/ Monte Carlo calculation for a Single currency where Functional Currency = Reporting Currency.