Monte Carlo implementation in FRP

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GDK
Posts: 15
Joined: Wed Jun 07, 2017 10:29 pm

Monte Carlo implementation in FRP

Post by GDK »

Hi Jim,

I believe the documentation says that FRP performs 10,000 realizations. I think I've read in this forum that a new realization is drawn for each FRP plan year. Does that therefore mean that FRP performs 10,000 realizations for each plan year, and a 30 year FRP plan would therefore be the product of 300,000 realizations?

Thanks again for the great tool!
jimr
Posts: 729
Joined: Thu Feb 28, 2008 6:48 pm

Re: Monte Carlo implementation in FRP

Post by jimr »

The simulation runs 10,000 iterations or paths through the plan and it does draw a new realization for the return variable for each plan year of each path.

So you are correct that a 30 year plan would be the product of 300,000 realizations.
GDK
Posts: 15
Joined: Wed Jun 07, 2017 10:29 pm

Re: Monte Carlo implementation in FRP

Post by GDK »

Got it, thanks Jim!
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