@railpath/finance-toolkit/dist/risk/calculateMonteCarloVaR.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateMonteCarloVaR = calculateMonteCarloVaR;
const calculateHistoricalVaR_1 = require("./calculateHistoricalVaR");
/**
 * Monte Carlo VaR - Simulates future returns
 */
function calculateMonteCarloVaR(returns, confidenceLevel, simulations) {
    const mean = returns.reduce((sum, val) => sum + val, 0) / returns.length;
    const variance = returns.reduce((sum, val) => sum + Math.pow(val - mean, 2), 0) / (returns.length - 1);
    const stdDev = Math.sqrt(variance);
    // Generate simulated returns using Box-Muller transform
    const simulatedReturns = [];
    for (let i = 0; i < simulations; i++) {
        const u1 = Math.random();
        const u2 = Math.random();
        const z = Math.sqrt(-2 * Math.log(u1)) * Math.cos(2 * Math.PI * u2);
        simulatedReturns.push(mean + z * stdDev);
    }
    return (0, calculateHistoricalVaR_1.calculateHistoricalVaR)(simulatedReturns, confidenceLevel);
}