choubix

06-25-2008, 01:21 AM

hello,

I was coding a backtesting spreadsheet for some structured products until I realized the add in I wanted to use was nice yet not 100% accurate.

I 2x checked the volatility and expcted returns of the stock to the input and they are deviating too much from a "normal" result.

I found an add in that seems much better and that I undersntad. yet, even if it provides a monte carlo class to simulate the returns of the udnerlying stocks their is a gap: their is no analysis of the ouputs...

I understand hwo to do these things:

get the source data

generate random prices for X days/Months/Years

build my strategy depending on the random prices generated

calculate my ouputs

loop this (part of the monte carlo process)

yet: how do I analyse the ouputs I get during each iteration at the end of the whole monte carlo process? (like Internal Rate of return, Average payoff etcetc)

in the addins I tried before, in the cell that returns the output you had to add "+output()" so that the value of that cell waht being analyzed at the end of the process. how can i do something like that please?

I guess the analysis toolpack can be helpful but I really don't know where to start from...

thanks!

I was coding a backtesting spreadsheet for some structured products until I realized the add in I wanted to use was nice yet not 100% accurate.

I 2x checked the volatility and expcted returns of the stock to the input and they are deviating too much from a "normal" result.

I found an add in that seems much better and that I undersntad. yet, even if it provides a monte carlo class to simulate the returns of the udnerlying stocks their is a gap: their is no analysis of the ouputs...

I understand hwo to do these things:

get the source data

generate random prices for X days/Months/Years

build my strategy depending on the random prices generated

calculate my ouputs

loop this (part of the monte carlo process)

yet: how do I analyse the ouputs I get during each iteration at the end of the whole monte carlo process? (like Internal Rate of return, Average payoff etcetc)

in the addins I tried before, in the cell that returns the output you had to add "+output()" so that the value of that cell waht being analyzed at the end of the process. how can i do something like that please?

I guess the analysis toolpack can be helpful but I really don't know where to start from...

thanks!