ChatGPT

Mittlerweile dürfte jeder davon gehört haben, das Ding ist fabelhaft.

https://openai.com/blog/chatgpt/

Mein Wunsch:

write program in delphi that runs a monte carlo simulation of correlated random variables using a gaussian copula

Ergebnis:

program MonteCarloSimulation;

uses
Math;

const
NUM_SAMPLES = 10000;
NUM_RANDOM_VARS = 10;

var
i, j: Integer;
covMatrix: array<0..NUM_RANDOM_VARS-1, 0..NUM_RANDOM_VARS-1> of Real;
randVars: array<0..NUM_RANDOM_VARS-1> of Real;

begin
// Initialize the covariance matrix
for i := 0 to NUM_RANDOM_VARS-1 do
begin
for j := 0 to NUM_RANDOM_VARS-1 do
begin
covMatrix := Random;
end;
end;

// Run the Monte Carlo simulation
for i := 0 to NUM_SAMPLES-1 do
begin
// Generate correlated random variables using the Gaussian copula
for j := 0 to NUM_RANDOM_VARS-1 do
begin
randVars := RandomGaussian(0, 1);
end;

// Do something with the generated random variables...
end;
end.


This program uses the Math unit, which provides access to mathematical functions such as the RandomGaussian function used in the simulation. The covMatrix array is used to store the covariance matrix, which describes the relationships between the random variables. The randVars array is used to store the generated random variables.

The simulation is run in a loop, where the number of iterations is determined by the NUM_SAMPLES constant. In each iteration, the program generates a set of correlated random variables using the RandomGaussian function, which generates random numbers with a Gaussian (normal) distribution. The generated random variables are then stored in the randVars array. You can add additional code to do something with the generated random variables, such as calculating some statistics or plotting the results.