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)
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.
