Monte Carlo Simulation Inspector

Rest on our quantitative expertise and unlock significant value using our unequaled Monte Carlo Simulation Inspector.

Its raison d’être is to provide detailed information on Monte Carlo pricings:

  • It computes risk-neutral as well as risk-neutral probabilities of event occurring (barrier crossing, early redemption, etc…)
  • It provides details on the price, the annual yield, the duration of the product, the number of cash flows, cash flow dates, forwards and zero-coupons for each cash flow
  • It can graphically display distributions of price, annual yield, cash flows, duration and export them to Excel for further investigation

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Figure 1: Price distribution, forwards and zero-coupon analysis in the Monte Carlo Simulation Inspector

The analysis also comprises additional information on underlying forward values and values of zero-coupons between the valuation date and each payment date.

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Figure 2: Cumulative distribution of the sum of undiscounted cash flows is one of the many available analytics

Results of Monte Carlo simulations are thus readily available and essential information such as barrier-crossing probability or early redemption probability can then be accessed from other pages of the software. They can be called from the Template tool and can be displayed in reporting documents. Again, LexiFi Apropos also embeds an export function that transfers the pricing details of a Monte Carlo simulation into an Excel file. It provides full transparency on the results and invites users to have a more thorough look at specific analytics.

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Figure 3: Pricing details of Monte Carlo simulations can be exported to Excel files

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