A simple Spark application that calculates Value at Risk using the Monte Carlo method.
To make a jar:
mvn package
To run from a gateway node in a CDH5.1+ cluster:
spark-submit --class com.cloudera.datascience.montecarlorisk.MonteCarloRisk --master local \
target/montecarlo-risk-0.0.1-SNAPSHOT.jar \
<instruments file> <num trials> <parallellism> <factor means file> <factor covariances file>
e.g.
user@ubuntu:~/workspace/montecarlorisk$ /asidev/spark-latest/bin/spark-submit --class com.cloudera.datascience.montecarlorisk.MonteCarloRisk --master local target/montecarlo-risk-0.0.1-SNAPSHOT.jar /Users/yfang/workspace/montecarlorisk/data/instruments.csv 12000 8 /Users/yfang/workspace/montecarlorisk/data/means.csv /Users/yfang/workspace/montecarlorisk/data/covariances.csv
/asidev/spark-latest/bin/spark-submit --class com.cloudera.datascience.montecarlorisk.MonteCarloRisk --master local target/montecarlo-risk-0.0.1-SNAPSHOT.jar /Users/yfang/workspace/asi/data/master_style_assignment 1200 8 /Users/yfang/workspace/asi/data/mean /Users/yfang/workspace/asi/data/covariance
This will run the application in a single local process. If the cluster is running a Spark standalone
cluster manager, you can replace "--master local" with "--master spark://<master host>:<master port>".
If the cluster is running YARN, you can replace "--master local" with "--master yarn".