SINGAPORE – 26 SEPTEMBER 2012 – Numerical Technologies today announced the release of NtRand® 3.3. NtRand®, a free Microsoft Excel add-in RNG (random number generator) based on the Mersenne Twister algorithm, can be used in pricing financial derivatives and in risk management studies. In the new version, NtRand® has greatly improved the precision of its distribution functions by adopting the calculation algorithm of Boost, the pioneering C++ open source library.
The precision of each distribution function in NtRand® 3.3 now closely approximates the precision of its corresponding Excel 2007 and 2010 function.* For the probability density function and cumulative distribution function of a normal distribution, NtRand® 3.3 can produce accurate values within the range of -37σ~37σ, which is an improvement from the previous range of -8σ~8σ. The enhanced functions are:
- NTBETADIST
- NTCHIDIST
- NTCHISQDIST
- NTGAMMADIST
- NTJOHNSONSUDIST
- NTJOHNSONINV
- NTLOGNORMDIST
- NTLOGNORMINV
- NTNORMDIST
- NTNORMINV
- NTTDIST
- NTTRUNCNORMDIST
- NTTRUNCNORMINV
- NTWEIBULLDIST
- NTWEIBULLINV
In addition to the above enhancements, NtRand 3.3 introduces seven functions:
- NTBETAINV
- NTCHIIDISTINV
- NTCHISQINV
- NTFDISTINV
- NTGAMMAINV
- NTPOISSONDISTINV
- NTTDUSTINV
For more information about NtRand® or to download a copy, visit www.ntrand.com.
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* (relative error : [latex]10^{-15}\sim 10^{-16}[/latex]) http://www.csdassn.org/software_reports.cfm
Numerical Technologies is a financial risk management software company and consulting firm that specializes in high-performance computing (HPC), parallel Monte Carlo simulation, and financial modeling. Since 1998, we have been helping some of the largest banks and insurance companies globally to quantify risk, identify opportunities, and meet economic and regulatory capital requirements. Numerical Technologies holds office in Singapore and Tokyo.