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Background documentationUser-Defined Procedures Locate the document in its SAP Library structure

You can use simulation categories 50-53 to integrate user-defined functions into the structured Monte Carlo simulation via an RFC interface. The simulation categories are assigned to the following functions:

Simulation Category

Features

50: Structurized Monte Carlo with user-defined algorithm for generating normally-distributed random numbers

Generates standard, normally-distributed random numbers

51: Structurized Monte Carlo, completely user-defined

Generates correlated time series of the risk factors

Transfers the covariance matrix

52: Monte Carlo bootstrapping, user-defined

Generates correlated time series of the risk factors

Transfers the historic time series of the risk factors

53: Structurized bootstrapping, user-defined

Generates correlated time series of the risk factors

Transfers the covariance matrix and the historic time series of the risk factors

There are two example functions for the interface. You can access these via the function modules MONTE_CARLO_USEREXIT_STEP_1 and MONTE_CARLO_USEREXIT_STEP_2:

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