|
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:
|
