/commented by vladimir/
I'm used this parameters:
Credit[] portfolio = new Credit[5000]; Random rnd = new Random();
// Generate some test portfolio items.
for (int i = 0; i < portfolio.length; i++) {
portfolio[i] = new Credit(
50000 * rnd.nextDouble(), // Credit amount.
rnd.nextInt(1000), // Credit term in days.
rnd.nextDouble() / 10, // APR.
rnd.nextDouble() / 20 + 0.02 // EDF.
);
}
// Forecast horizon in days.
int horizon = 365;
// Number of Monte-Carlo iterations.
int iter = 1000000;
// Percentile.
double percentile = 0.95;
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