CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR), and Expected Shortfall (ES) statistics. The portfolio losses are obtained simulating the default times of obligors and simulating the EADs and LGDs of their assets.
Trad4 is a fully concurrent, thread safe, graph based programming language that scales linearly on multiple cores. It is initially intended for deployment in the financial industry to model real-time risk. Trad4 is proposed as an alternative to the Von Neumann model of computer architecture. It is a new way of arranging programs in memory and a new style of flow-of-control.
MonteCarlito is a free Excel-add-in (Windows and OS X) to do Monte-Carlo-simulations. It features statistical analysis of simulation runs (mean, median, standard error, and skewness), histograms, direct output to an Excel spreadsheet, and a high-speed simulation mode with minimized windows.
SIMPLE_1 (SIMulation Program for Logistics Engin'g) is a discrete/continuous network-oriented simulation language with general-purpose programming language features. The Linux version of this software includes a project management system to automate integration of user-developed C/C++ code into SIMPLE_1 network models. A user's C/C++ code is interfaced with the SIMPLE_1 modeling language through information embedded in comments in the user's header file(s). SIMPLE_1 produces executable files with the help of the C++ compiler.
Haxial Calculator is a high precision mathematical assistant that evaluates normal (infix) expressions to practically any accuracy. Results can be viewed in normal, fraction, or scientific forms, and it allows you to work in any radix. Worksheets enable you to solve larger problems in a more suitable environment, as well as allowing you to save your work. It also incorporates unit and radix conversion utilities and complete support for variables. Haxial Calculator employs a user interface that allows you to freely type expressions with the keyboard instead of mimicking the button presses of a hand-held calculator.
AutoAbacus is a powerful equation solving library that finds solutions to equation sets. Equations are passed to AutoAbacus as text, and the program attempts to find a solution that satisfies all constraints. The equations can be linear or polynomial, and can include arbitrary functions. By profiling the types of equations in the system and their dependencies on each other, AutoAbacus uses appropriate solution methods to solve individual subsets of equations. Applications range from use in a business rules engine to solving engineering equation systems.
The MATNEM Toolbox is a set of MATLAB objects and classes which provides an interface to the Numerical Econometrics Library, a library of econometric routines written in the C language. The aim of the project is to provide an easy, quick, and object-oriented interface for applied econometric analysis. The NEM library also ensures a good level of performance. Among other features, the MATNEM toolbox contains time series data objects, ultra high-frequency data management algorithms, nonlinear estimation routines (ARMA, multiplicative error models (GARCH, ACD)), and frequentist model averaging algorithms (linear regression model, multiplicative error models (GARCH, ACD)).