afterworkguinness
Active Member
Hello,
The notes on the Linda Allen reading (Chapter 3) say the difference between a regular Monte Carlo simulation and a Structured Monte Carlo simulation is the structured one can "generate correlated scenarios based on a statistical distribution"
What are correlated scenarios ? Would I be correct in inferring they are scenarios that are related e.g.: increase in domestic interest rate and increase in FX forward price vs simply an increase in the domestic interest rate ?
Thanks and sorry for hogging the forum, I'm finding the Allen chapters to be very dense and somewhat confusing.
(BTW, I did try Google first to no avail)
Cheers
The notes on the Linda Allen reading (Chapter 3) say the difference between a regular Monte Carlo simulation and a Structured Monte Carlo simulation is the structured one can "generate correlated scenarios based on a statistical distribution"
What are correlated scenarios ? Would I be correct in inferring they are scenarios that are related e.g.: increase in domestic interest rate and increase in FX forward price vs simply an increase in the domestic interest rate ?
Thanks and sorry for hogging the forum, I'm finding the Allen chapters to be very dense and somewhat confusing.
(BTW, I did try Google first to no avail)
Cheers