Latest Quantitative Macro Products
MicroF System of Systems Optimizer
The optimizer is used to find the global optimal solutions for the complex system based on system of systems concept. Linking variables, local variables and global variables are considered by cascading flow order. The decision making of complex system hierarchy is processed with probabilistic constrains.
The optimization objective function considers minimization of several uncertainty factors related to the overall system performance while satisfying target requirements specified. A probabilistic sufficiency factor approach is proposed in the form of constraints. The proposed formulation considers uncertainty effects analysis, performance sensitivity analysis and global optimization with optimal complexity and accuracy.
Each analysis system can be partitioned into several subsystems according to the different functions performed. The entire problem has been treated as a multi-disciplinary design optimization (MDO) for maximum robustness and performance achievement.At the super system level, performance objective function is considered by minimizing the variances between specified expected values of performance functions and their target values and uncertainty effects caused by global variables.
The probabilistic sufficiency factor approach represents a factor of safety relative to a target probability of failure. It is known that the use of probabilistic sufficiency factor as a design constraint boundary is much more accurate and reasonable, and this accelerates the convergence of reliability-based design optimization. The software is capable to apply to different industries.
MicroF Tool
MicroF Option Pricing Tool has the feature of calculating option price of every single grid on the tree. The macro is an independent utility tool which can be applied to option pricing with other tree formulations. With the optimal computational efficiency and accuracy, MicroF option pricing tool solve the problem of GRAPHING the n steps call/put option pricing Binomial tree. Download MicroF Option Pricing Calculator Tool Guide
MicroF Risk Management Tools are used to manage market risk and operational risk. Market risk tool is used to analyze risk factors, Value at Risk (VAR), etc. for specific symbols based on mathematics formulation, Monte Carlo method and historical data analysis; simulate the stochastic process based on classical Brownian Motion method. Operational risk tool is used to simulate economic capital and regulatory capital. Based on loss distributions, gaussian copula correlation, the capital allocation is processed to different business lines.
MicroF Loan Amortization Tool is used to calculate the monthly payment, interests, principles based on the user-defined formulation for different types of loans, but mainly focused on mortgage.