Navigation Bar
Place mouse on line with 
symbol to expand menu.
|
MCGRATM - MONTE CARLO GAUSSANGULAR RISK ANALYSIS
(An Excel Macro Included on CD with Book)
This computer program is supplied as an integral part of the book to serve as a learning aid for the reader. Users of this software should carefully read and understand the limitations placed on its use by:
- notices on the copyright page of the book1 (that follow the title page),
- the Software License on this web site,
- commercial licenses (one-time or annual) that include technical support and program changes are available, and
- special licenses are readily available for use in university or other basic research.
This software is described in detail in the book. It uses standard Monte Carlo Techniques which are briefly summarized below.
- All input data is fit to a simple two-break-point GaussangularTM PDF using A2 (which is proportional to the inverse of the Gaussangular standard deviation), xmin, xlikely, and xmax.
- Fishman's2 congruential PRNG (Pseudo Random Number Generator) is used with DTW031 = 2147483648#, DMDLS = 2147483647#, DA1 = 41160#, and DA2 = 950665216#.
- The metrics (before-tax net profit, after-tax cash flow, and the profitability index) are analyized using a discrete CDF.
References
- James F. Wright, Monte Carlo Risk Analysis and Due Diligence of New Business Ventures (New York: AMACOM, 2002).
- George S. Fishman, Monte Carlo Concepts, Algorithms, and Applications (New York: Springer Verlag, 1996).
|
