Free Monte carlo simulator for financial quotes?

Question

I am experimenting with an application I am writing in prolog , and I need to use monte carlo simulator that would output prices for different randomly generated scenarios. Does anyone know where to look for something that would do this for free ? (I am not look for a library to use such as QuantLib)

Thanx

Answer 1

I'm not sure if you'll be able to utilize it for your use case, but we just open sourced our decently-performant command line Monte Carlo simulator. https://github.com/monetate/monte-carlo-simulator

It simply reads a csv on stdin and outputs a csv of all the random scenarios on stdout.

Answer 2

There is a research project that might interest you: http://www-rocq.inria.fr/mathfi/Premia/index.html.

It's free and covering the pricing of most financial derivatives, using various numerical methods..

Answer 3

Without knowing exactly what you are trying to do it is difficult to recommend something specific. However http://cran.r-project.org/web/packages/ has many monte carlo packages for R.

Personally I use http://hackage.haskell.org/package/monte-carlo/ which is a toolkit for haskell. I have not found the off the shelf simulators to be very useful.

Answer 4

I'm not sure if you are after a financial simulator in prolog, but if you are willing to use a different language I would try R.

For a brief taster, have a look at the following links:

• R packages for financial applications.
• Applied finance with R conference