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Missing Price Estimation
Expectation maximization (EM), linear interpolation, omit-day, prior-day, and nearest-day methods are provided to accurately replace missing prices.
Multiple CMF Methodologies
You can use strict-nearby, rolling-nearby, linear, or log-linear interpolation to construct constant maturity futures. Also, the same methods may be applied to price returns instead of prices themselves.
Decay Factor Optimization
The decay factor can be automatically optimized to minimize the forecasting error. Or you can specify a fixed decay factor and tolerance to control the weight given to prior price observations.
Adjustable Observation Window
Backtesting and other analyses are easy to conduct because you can specify the starting and ending dates of the observation period.
Variable Confidence and Horizon
Specify any confidence level and set the forecast horizon to any period between one day and several years.
Zero-Coupon Yield Curve Generation
MakeVC converts quoted rates on coupon-bearing bonds and swaps to zero-coupon rates, accounting for payment frequency and day-count basis.
Currency Rebasing
Results can be expressed in local currency terms or rebased to any specified currency. You can also specify which asset classes to rebase.
Cholesky Decomposition
You can calculate a volatility-correlation matrix and its Cholesky decomposition. The Cholesky matrix is useful for generating correlated random variables in Monte Carlo simulation.
Matrix Adjustment
You can check if a volatility-correlation matrix is positive-definite and, if not, automatically shift its eigenvalues to make it positive-definite.
Seasonality Adjustment
You can specify a seasonal parameter to use data only from particular season. This adjustment permits more accurate forecasts for time series whose volatility fluctuates greatly with the seasons.
Comprehensive Diagnostics
Detailed progress messages, error messages, and tables of summary statistics are displayed during calculations.
Multiple Interfaces
MakeVC comes with several interfaces: a set of Excel Add-ins, a Windows graphical interface, command-line functions, and a programming library.
Flexibility
MakeVC is optimized to work with FEA VaRworks but can be used in any risk management system. The RiskMetrics format is also supported.
Multiple Equities per Currency
MakeVC supports the definition of multiple equity assets per local currency. Basket options are valued with either FEA's extremely fast analytic SPAV algorithm or control-variate Monte Carlo simulation.
View the MakeVC product profile .
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