Sunday, June 28, 2009

User Review: Risk Engine Monte Carlo for MAC

I discovered a real gem this weekend for Mac users longing for Monte Carlo simulations in either iWorks Numbers or Excel 2008. Risk Engine developed by Ian Turner earlier this year has been released and is offered for $40 ($10 academic).

I keep VM Fusion on my Mac so that I can run some programs in Windows Excel that I can't handle with the Mac. Up until now that is how I have been doing Monte Carlo simulations, unless of course the model is simple enough to just use the excel functions.

After downloading and installing Risk Engine, Ian will email the license file to you. After a quick install you are up and running. The program even generates some nice looking histograms for you. There is a tutorial available which will step you through how to use the program. Once you master this tutorial you are on your way.

The program is somewhat limited on distributions but this may improve in the future as the program matures. The distributions handled are:

  • Gamma
  • Lognormal
  • Chi-Square
  • StudentT
  • Beta
  • Normal
  • Uniform
  • Triangular
  • User Defined Discrete
Two that I use from time to time Poisson and Binomial were missing from the list but I am hopeful a future upgrade will include it.

Another limitation of the program is speed. The program will do simulations cycles from one to hundreds of thousands. If you select 10,000 cycles be prepared to wait some time for an answer as the machine analyzes and collects the data. Models of 100-3000 seem fairly realistic to wait for. So if you are dealing with relatively small models this program is a good solution.

Finally, the program is a great value and I recommend its purchase if you are planning to do small to medium sized Monte Carlo analysis and want to do it in iWorks Numbers or Excel 2008 (I tested it on Excel 2004 and it worked for me on that as well).

Ian Turner can be followed on Twitter as Iansplashturner.
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