MCSimulator
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Assumptions
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Asset #1
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Asset #2
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Initial price (S0)
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$10.00
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$10.00
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Exp. annual return (mu)
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12.0%
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12.0%
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Annual volatility (sigma)
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30%
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30%
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Interval in days (t)
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1
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Interval, annualized
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0.0040
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Correlation
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0.60
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day 0
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day 1
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day 2
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day 3
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day 4
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day 5
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day 6
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day 7
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day 8
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day 9
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day 10
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day 11
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day 12
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day 13
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day 14
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day 15
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day 16
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day 17
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day 18
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day 19
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day 20
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day 21
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day 22
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day 23
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day 24
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day 25
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day 26
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day 27
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day 28
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day 29
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day 30
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Variable #1, independent random (m1)
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-0.40
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-0.92
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-1.38
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1.69
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0.48
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-0.10
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0.28
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-0.32
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-1.37
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-0.23
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0.89
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0.18
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-0.06
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-2.30
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0.28
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0.52
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-0.12
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-0.15
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-0.75
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-1.12
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-1.29
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1.12
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-0.74
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1.77
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-0.42
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0.18
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-0.32
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-0.11
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0.83
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0.30
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1.12
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Variable #2, independent random (m2)
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0.03
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0.05
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0.35
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0.84
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-0.22
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0.80
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0.55
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0.67
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1.44
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-0.57
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1.62
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-1.03
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0.02
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0.32
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-0.89
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-0.95
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1.03
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-0.72
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0.10
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0.71
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0.10
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1.69
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-0.20
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2.57
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1.03
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-0.02
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1.43
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1.91
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1.04
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-1.06
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-2.20
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Variable #1 transfored (n1)
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-0.40
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-0.92
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-1.38
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1.69
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0.48
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-0.10
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0.28
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-0.32
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-1.37
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-0.23
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0.89
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0.18
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-0.06
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-2.30
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0.28
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0.52
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-0.12
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-0.15
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-0.75
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-1.12
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-1.29
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1.12
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-0.74
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1.77
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-0.42
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0.18
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-0.32
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-0.11
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0.83
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0.30
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1.12
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Variable #2 transfored (n2)
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-0.22
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-0.52
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-0.55
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1.69
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0.11
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0.58
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0.60
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0.34
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0.33
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-0.59
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1.83
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-0.72
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-0.02
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-1.12
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-0.54
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-0.45
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0.75
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-0.67
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-0.37
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-0.11
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-0.69
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2.03
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-0.61
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3.11
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0.57
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0.09
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0.95
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1.46
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1.33
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-0.67
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-1.08
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MCS Asset #1
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$10.00
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$9.83
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$9.58
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$9.89
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$9.98
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$9.97
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$10.03
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$9.97
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$9.72
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$9.68
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$9.85
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$9.88
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$9.88
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$9.45
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$9.51
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$9.61
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$9.59
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$9.57
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$9.44
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$9.24
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$9.02
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$9.22
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$9.09
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$9.40
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$9.33
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$9.36
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$9.31
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$9.30
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$9.45
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$9.51
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$9.71
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MCS Asset #2
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$10.00
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$9.91
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$9.81
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$10.13
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$10.15
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$10.27
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$10.39
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$10.46
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$10.53
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$10.42
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$10.79
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$10.64
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$10.65
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$10.43
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$10.32
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$10.24
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$10.39
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$10.26
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$10.20
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$10.18
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$10.05
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$10.44
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$10.33
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$10.94
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$11.07
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$11.09
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$11.29
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$11.61
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$11.91
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$11.76
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$11.53
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