Simulations as Blocks

[SeanMcOwen]

An example of this might be the best way to explain:

Imagine we have an MSML spec that allows us to run some simulations on credit portfolios to assess different scenarios and the average values of the portfolio. Then there might be some form of post-processing that determines percentile levels of risk.

But what if instead of having it be a post-processing step, we might be able to actually have a simulation block that is a special kind that implements running monte carlo runs of a wiring? Then we might be able to build up to something like:

Wiring 1: User balances credit portfolio
Wiring 2: Monte Carlo Simulation Block to find percentile risks
Wiring 3: User implements any hedging based on percentile risks to decrease overall exposure
Wiring 4: Time passes + changes in credit quality wiring

And repeat.

This is one example of a nested simulation block but the overall idea would be to have a formalized block definition that allows you to run entire simulations as blocks.