mvk222

combination_counter

SyScSelection

Quasi-Monte-Carlo algorithm for systematic generation of shock scenarios from an arbitrary multivariate elliptical distribution. The algorithm selects a systematic mesh of arbitrary fineness that approximately evenly covers an isoprobability ellipsoid in d dimensions." - (Flood, Mark D. & Korenko, George G. "Systematic Scenario Selection", Office of Financial Research Working Paper #0005, 2013) This package is analogous to the Matlab Code published by Flood & Korenko in above-mentioned paper.