C# Monte Carlo Incremental Risk Calculation optimisation, random numbers, parallel execution
- by m3ntat
My current task is to optimise a Monte Carlo Simulation that calculates Capital Adequacy figures by region for a set of Obligors.
It is running about 10 x too slow for where it will need to be in production and number or daily runs required. Additionally the granularity of the result figures will need to be improved down to desk possibly book…