How can I start with Monte Carlo simulations for financial data in Perl?

Question

I need to create a Monte Carlo simulator for some financial transactions. Inputs will be:

• average percentage of transactions that become profitable
• average profit per transaction
• number of transactions over a period of time

I looked at the Math :: Random :: MT :: Auto Perl module , but I don’t know how to formulate the input for the simulator.

Can anyone offer some tips on getting started with the data I'm working with?

Answer 1

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:

#!/usr/bin/perl

use strict; use warnings;
use List::Util qw( sum );

my @projects = map { mk_project() } 1 .. 1_000;

for my $i (1 .. 10) {
    my $r = rand;
    my @profits = map { $_->($r) } @projects;
    my $avg_profits = sum( @profits ) / @profits;
    my $n_profitable = grep { $_ >= 0 } @profits;
    print "Profits: $avg_profits\tProfitable: $n_profitable\n";
}

sub mk_project {
    my $m = rand;
    return sub {
        my ($r) = @_;
        return 10*($r - $m);
    }
}