 Multivariate Analytics |
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Cholesky |
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Cholesky
Decomposition for real symmetric matrix. |
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Princo |
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Spectral
Decomposition, Eigenvalues, Eigenvectors & Principal Components. |
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Student-T |
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Multivariate
Student-T
and Student-T Variates for Fat-Tail / Normal-Mixture models.
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SVD |
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Singular
Value Decomposition for Numerically Unstable Square Matrices. |
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Unitized |
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Standardized Normalized Returns.
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Real-time Cholesky Decomposition Add-In.
Factorize real symmetric matrices via Cholesky
decomposition.
most intuitive & efficient way to
generate Multivariate Normal Distributions.
View Application Note
This AddIn works on all versions of Excel(R).
Download
Original Cholesky XLL Zip File
Zip file includes: Cholesky.xll (Add-In),
spreadsheet, on-line help and application example.
This AddIn works with Office 2012 and Above. (No limit on
Matrix size, multithreaded)
Download
Version 12 Cholesky AddIn msi installation package
Zip file includes: Cholesky.v12.xll (New Add-In),
spreadsheet, on-line help and application example.
View on-line help
Download Individual Components:
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Description
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C/C++
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Add-In
Original
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Cholesky. xll
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Download
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C/C++
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V12 Signed AddIn Office 2012 & Above
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Cholesky.v12.
xll
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This AddIn must be placed in
your Application Data/Microsoft/AddIn folder. Use the msi below instead!
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Download
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msi
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Cholesky V12 Installer package |
Cholesky.v12.msi
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Download
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chm
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On-Line
Documentation
ONLY I.E. Browsers
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Cholesky
chm
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On-Line
html Documentation
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Cholesky.chm
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xls
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Excel
Spreadsheet
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Cholesky.xls
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Eigenvalues and eigenvectors have numerous applications in financial risk
management.
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Correct Positive Definiteness of time series data.
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Validate and increase quality of Time Series data.
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Extract structural properties from Principal
Components.
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Extract cross-explanatory variables for Factor Analysis.
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Enhance Monte-Carlo speed and accuracy.
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Compute Marginal probability densities.
View Application Note
Excel C++ Add-in and Demo Spreadsheet with
application manual and on-line help.
Download Princo Zip File
Zip file includes: Princo.xll (Add-In), spreadsheet,
on-line help and application example.
Download Individual Components:
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Description
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Name
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C/C++
Add-In
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Princo.xll
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On-Line
Documentation ONLY I.E Browsers
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Princo
hlp
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On-Line
html Documentation
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Princo.chm
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Download
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Excel
Spreadsheet
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Princo.xls
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Real-time MultivariateStudentT Distribution Add-In.
Generate MultivariateStudentT distributions for
Normal Mixture Fat Tails Models.
View Application Note
Download
MultivariateStudentT Zip File
Zip file includes:
MultivariateStudentT normalimixture.xll (Add-In),
spreadsheet, on-line help and application example.
Download Individual Components:
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Singular Value Decomposition to solve ill
conditioned square matrices.
Excel C++ Add-in and Demo Spreadsheet with
application manual and on-line help.
Download SVD Zip File
Zip file includes: svd.xll (Add-In),
spreadsheet, on-line help and application example.
Download Individual Components:
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Description
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Name
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C/C++
Add-In
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svd
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On-Line
Documentation ONLY I.E Browsers
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svd
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Excel
Spreadsheet
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svd.xls
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Unitized Returns demonstrates how Cholesky or SVD
technology can be
bypassed altogether in order to compute variance / covariance or correlation by scaling returns and volatility to unity.
Unitized returns are perfect for Monte-Carlo simulation.
Better yet, they can be used to compute incremental Value-at-risk (VaR),
Marginal VaR as well incremental correlation in a real-time environment.
What
are Unitized - Normalized Variates
Excel C++ Add-in and Demo Spreadsheet with
application manual and on-line help.
Download Unitized Zip File
Zip file includes: Unitized.xll (Add-In),
spreadsheet, on-line help and application example.
Download Individual Components:
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Copyright 1996,1997,
1999-2012
Risksrv.com RiskServers SA All Rights Reserved
Terms of Use | About
Financial Instruments carry
many risks... & rewards for those who master
them!
Jan 2012: Following demand
Cholesky.xll has been updated.
These tools have been available free of charge for quite a few years now!
Unfortunately, Microsoft has decided to make AddIn maintenance a convoluted nightmare.
If you find some of these tools useful and want to be able to use them in the future, we will need to hear from You before they expire!
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