Front Arena - Monte Carlo function AEL
Submitted by admin on Tue, 06/09/2009 - 23:00
def monte_carlo(ael_entity, scenario_name, nr_of_scenarios, percentile, rfspecid,target_name=None,*rest):
FCS_DIR_RISK = ''
if environ.has_key('FCS_DIR_RISK'):
FCS_DIR_RISK = environ['FCS_DIR_RISK'] + '/'
tempfile.tempdir = FCS_DIR_RISK
tempfile.template = 'reduced'
reduced_file_name = tempfile.mktemp()
if target_name == '':
target_name = None
port = VaR(ael_entity)
if port.reduce(FCS_DIR_RISK+scenario_name, reduced_file_name, rfspecid):
result = port.monte_carlo(split(split(reduced_file_name,'/')[-1], '\\')[-1], nr_of_scenarios, percentile,target_name)
remove(reduced_file_name)
return result
else:
return 0.0
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