Excel: Monte Carlo Simulation

The Smart Monte Carlo Excel add-in allows you to study all kinds of processes using the Monte Carlo method. Functions generating random numbers with a certain distribution rule have been added for this purpose. 12 functions are available at the moment:

• Uniform distribution - RandomUniform(a;b)
• Normal distribution - RandomNormal(m;s)
• LogNormal distribution - RandomLogNormal(a;b)
• Exponential distribution - RandomExponential(lam)
• Cauchy distribution - RandomCauchy(m;s)
• Gamma distribution - RandomGamma(a;b)
• Beta distribution - RandomBeta(a;b)
• Student distribution - RandomStudent(f)
• F-distribution - RandomF(f1;f2)
• Chi-Square distribution - RandomChi2(f)
• Poisson distribution - RandomPoisson(lam)
• Binomial distribution - RandomBinomial(n;pi)
• Geometric distribution - RandomGeometric(pi)

These functions are similar to the RAND() function, i.e. a new random value is calculated whenever anything changes in the project calculations (for example, modifying or adding formulas in a cell). Thus, the possibility to use random processes is added to the entire calculation power of Excel.

After you completely implement the logic of your project in Excel, you can explore the process using the Monte Carlo method. Start the Simulation Tool using the menu or the toolbar button:

You can edit the list of cells to be explored in the new dialog box. After you create the list of cells, you should select the number of iterations and click the Run button.

During each iteration, all cells in the project, including random values, will be recalculated. The Smart Monte Carlo add-in keeps the values of all cells being explored and uses this data to calculate the statistical characteristics. It is possible to export all source data and statistical indicators to a new Excel worksheet.

It should be mentioned that the larger the number of iterations is, the closer the statistical indicators obtained with the Monte Carlo Simulation method are to the real values. We recommend that you select the maximum number of iterations - 10000.

Single License: $125 per Copy
Size: 1.0 Mb

See also: Random Number Generator