Simulation Toolbox features

  • A complete pack to run and analyze Monte Carlo simulations
  • A full range of distributions, including those commonly used in finance and actuarial science
  • Routines to fit the distribution parameters from data and to select the best distribution from a list of distributions
  • Automatic report generators: histogram, running average chart, summary tables, time series charts and dispersion charts
  • Simulation of time series, such as Geometric Brownian Motion, Arithmetic Mean Reversion, Geometric Mean Reversion, Geometric Curve Reversion, etc.
  • High-quality random number generators: Mersenne Twister, RanLux and Generalized Feedback Shift Register Generator
  • Variance reduction (to increase simulation precision): Antithetic simulation and low discrepancy sequences (Fauré and Halton)
  • Counters and lag operators for simulations
  • Possibility to use Monte Carlo simulation combined with Optimization to find best decisions under uncertainty

Actuarial Toolbox features

  • Pre-loaded actuarial tables and the ability to load a custom table
  • Commonly used actuarial routines: life expectancy, annuity, assurance, pensions, multiple decrements tables, etc.
  • Deterministic or stochastic calculations for liability and cash flow projections
  • Retirement plan calculator including disability and inheritance benefits
  • Calculation of present value of cash flows using flat interest rate curves or time-varying interest rate curves
  • Easiness of usage of one-dimensional or two-dimensional generational tables, like the RP-2000 or the newest RP-2014 tables and projection scales
  • Life insurance premium calculator

Financial Toolbox features

  • Data feeding: Built-in integration with historical and real-time data available in public finance databases
  • Portfolio selection: traditional Markowitz Mean-Variance framework and more advanced techniques like Mean-CVaR portfolios and the Black and Litterman framework
  • A wide range of utility functions to create Asset-Liability Management (ALM) models and solve complex asset allocation problems
  • Extensive range of options and futures pricing and risk formulas: plain vanilla derivatives and more complex ones, like options on options, options on futures, commodity options, complex barrier options, etc.
  • Market models for pricing assets: Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT)
  • Comprehensive interest rate models: cubic spline, flat forward, Vasicek, CIR, Nelson & Siegel, Svensson, Heath-Jarrow-Morton (HJM)
  • Amortization and accumulation schedule reports under several alternatives
  • Conversion tools facilities: spot to forward rates, forward rates to discount factors, spot rates to accumulated factors, etc.
  • Business days math: almost a hundred pre-loaded holidays calendars designed to speed up Excel business days calculations

Econometrics Toolbox features

  • Forecasting using dozens of methods like multiplicative and additive Holt-Winters, ARIMA, GARCH, multiple regression, time regression, moving averages, exponential moving average (EWMA), etc.
  • Regression models: linear, logistic, probit, binomial-complementary loglog, poisson-log, negative binomial-log, gamma-reciprocal, inverse gaussian-reciprocal squared regression models
  • Data mining: automatically select the “best” set of explanatory variables
  • Sophisticated machine learning methods such as the Support Vector Machines (SVM), useful for classification and regression analysis
  • Easy investigation of data properties: automatic line charts, correlogram, density plots, seasonality charts, summary stats, hypothesis tests, etc.
  • Direct transformation of series (first and second differences, seasonal differences, log, exp, etc.) without data replication
  • Series subsetting facilities for model estimation
  • Treatments for missing values

And more...

  • Complete range of linear algebra routines
  • Univariate and multivariate optimization routines: Nelder-Mead, Golden Search, Brent and linear programming algorithms available as Excel functions
  • Automatic sensitivity analysis: analyze effects of changes in function inputs via partial derivatives and other measurements
  • Calculus: numerical differentiation and integration
  • Automatic function plot: plot any Excel formula in a given interval under Chebyshev nodes or equally spaced nodes
  • Data manipulation routines: select diagonals, copy alternate rows, transform matrices to vectors, etc.
  • Math colors: Cells and charts highlighting according to the distribution of selected data
  • Automatic display all returned data from formulas that return more than one value
  • Access to all SAFE TOOLBOXES® functions via VBA
  • Performance measurement: calculates the time spent on the computer to evaluate a given function

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