The Scenario Visualizer

Stochastic scenarios of future interest rates and equity returns are a common tool in risk management and financial reporting.  A scenario generator can seem like a black box, but all scenario generators are by no means the same. 

The Scenario Visualizer is a software application that provides a look inside the black box.  Intended as an educational tool, it provides not only an explanation of the formulas used by several different scenario generators, but also provides implemented generators to play with.  This allows the student to:

• Change parameters and initial conditions for any generator and see the effect on the generated scenarios both individually and as a collection
• Compare the results of different forms of generators
• Better understand and appreciate generator features such as regime-switching and stochastic volatility
• Better understand the relationship between real-world and risk-neutral generators

The software includes a recommended set or exercises or experiments that help the user learn and appreciate the features and behavior of varoius generators.  An extended explanation of the relationship between real-world and risk-neutral generators is also included.

Visualization tools include graphics showing scenario dispersion over time, the distribution at future points in time, individual scenario paths, the implied yield curve based on the forward rate path, the relation between short term and long term interest rates over time, and statistics about the persistence of high or low interest rates.

The Scenario Visualizer is now available for Windows computers.  Click here to purchase and download your copy in the secure store operated for us by FastSpring.

 

Classroom use

The Scenario Visualizer is intended for educational use and costs only $29 per copy.  Even so, special discounted pricing is available for classroom use.  Send inquiries here.

 

Screen shots

Some screen shots of the program are available.