aprender-monte-carlo

CLI tool and utility library for Monte Carlo simulations.

This crate provides:

• CLI Interface: Run simulations from the command line
• CSV Data Loading: Load historical data from CSV files
• S&P 500 Data: Embedded historical S&P 500 data (1928-present)
• Business Revenue Modeling: Product revenue forecasting

Core Monte Carlo functionality

The core simulation engine, risk metrics, and models are provided by the main aprender crate's monte_carlo module. This crate re-exports those for convenience and adds CLI-specific functionality.

Quick Start (Library)

use aprender_monte_carlo::prelude::*;

// Load S&P 500 data
let sp500 = Sp500Data::load();

// Run bootstrap simulation
let model = EmpiricalBootstrap::new(100.0, sp500.monthly_returns());
let engine = MonteCarloEngine::reproducible(42).with_n_simulations(10_000);
let result = engine.simulate(&model, &TimeHorizon::years(10));

// Generate risk report
let report = RiskReport::from_paths(&result.paths, 0.02)?;
println!("{}", report.summary());

Quick Start (CLI)

# Run S&P 500 simulation
aprender-monte-carlo sp500 --years 30 --simulations 10000

# Load custom CSV data
aprender-monte-carlo csv --file returns.csv --initial 100000

# Business revenue forecast
aprender-monte-carlo revenue --file products.csv --quarters 4

aprender-monte-carlo

Monte Carlo simulations for finance, stock market, and business forecasting.

Part of the aprender machine learning ecosystem.

Features

• Stock price simulation using Geometric Brownian Motion (GBM)
• Historical S&P 500 data for backtesting
• Risk metrics (VaR, CVaR, Sharpe ratio)
• Variance reduction techniques

Installation

cargo install aprender-monte-carlo

Usage

# Run Monte Carlo simulation
aprender-monte-carlo simulate --ticker AAPL --days 252 --simulations 10000

# Calculate VaR
aprender-monte-carlo risk --ticker AAPL --confidence 0.95

License

MIT